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Financial Stress and Economic Activity Relationship In Turkey: Post-2002 Period(Türkiye’de Finansal Stres ve Ekonomik Aktivite İlişkisi: 2002 Sonrasi Dönem)

Year 2015, Volume: 22 Issue: 2, 567 - 580, 12.01.2016
https://doi.org/10.18657/yecbu.95272

Abstract

The global financial crisis has hit emerging markets more deeply than advanced economies. This has directed the focus of post-crisis literature to the stress of the financial system. Therefore, exploring the methods to measure and monitor the instability of Turkey’s financial system will provide early warning signals of possible factors causing financial stress, thereby facilitating the implementation of appropriate policy measures. In this regard, we constructed a financial stress index in this paper. Our financial stress index composes of several sub-indexes for measuring the instabilities of different financial markets (such as stock market, foreign exchange market, banking sector, and public sector). The implications of financial stress on Turkish economic activity examined empirically. According to our study results, there is a one way direct causal relationship between financial stress and economic activity. The results of impulse response function reveal that random shocks in financial stress have a negative and diminishing impact on economic activity.

Global finansal krizin gelişmekte olan ülkeler üzerindeki etkileri, gelişmiş ülkelere göre daha şiddetli olmuştur. Bu durum kriz sonrası literatürünün ağırlıklı olarak finansal sistem stresi üzerinde yoğunlaşmasına neden olmuştur. Dolayısıyla, Türk finansal sistemindeki istikrarsızlığın ölçülmesi ve izlenmesi, olası stres kaynaklarına yönelik erken bir uyarı sistemi sağlayarak, doğru politikaların yürütülmesini kolaylaştıracaktır. Bu çerçevede çalışmamızda öncelikle farklı piyasalardaki istikrarsızlıkları (hisse senedi ve döviz piyasası ile bankacılık ve kamu sektörü) kapsayacak şekilde bir finansal stres endeksi oluşturulmuştur. Çalışma sonuçlarımıza göre Türkiye’de ilgili dönemde finansal stresten ekonomik aktiviteye doğru tek yönlü bir nedensel ilişki bulunmaktadır. Hesaplanan etki tepki fonksiyonu ise finansal streste meydana gelen rassal şokun ekonomik aktiviteyi olumsuz etkilediğini ortaya koymuştur.

 

References

  • Balakrishnan, R., Danninger,S., Elekdağ.,S and Tytell, I (2011). The Transmission of Financial Stress from Advanced to Emerging Economies. Emerging Markets Finance and Trade 47. pp. 40–68.
  • Beck, T. and R. Levine (2002). “Industry Growth and Capital Accumulation: Does Having a Market or Bank-Based System Matter?, Journal of Financial Economics, 64, 147-180.
  • Beck, T. and R. Levine (2004). “Stock Markets, Banks and Growth: Panel Evidence”, Journal of Banking and Finance, 28, 423-442.
  • Beetsma, R. and M. Giuliodori (2012). “The Changing Macroeconomic Response to Stock Market Volatility Shocks”. Journal of Macroeconomics 34, 281–293.
  • Beltratti, A. and C. Morona (2006). “Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility”. Journal of Econometrics 131, 151–177
  • Bernanke, B. S. and M. Gertler (1996). “The Financial Accelerator and the Flight to Quality”. Review of Economics and Statistics 78, 1-15.
  • Bernanke, B. S., M. Gertler and, S. Gilchrist (1999). “The Financial Accelerator in a Quantitative Business Cycle Framework”. In J. B. Taylor and M. Woodford, (Eds.). Handbook of Macroeconomics. Amsterdam: Elsevier.
  • Blanco, L. R. (2009). “The Finance Growth Link in Latin America”, Southern Economic Journal, 76(1), 224-248.
  • Boyd, J. H. and E. C. Prescott (1986). “Financial Intermediary-Coalitions”, Journal of Economic Theory, 38(2), 211-232.
  • Boyd, J. H. and B. D. Smith (1998). “The Evolution of Debt and Equity Markets in Economic Development”, Economic Theory, 12, 519-560.
  • Brunnermeier, M., and L. H, Pedersen (2007). “Market Liquidity and Funding Liquidity”, NBER Working Papers, No. 12939.
  • Cardarelli, R., Elekdağ S and Lall, S (2011). “Financial Stress and Economic Contractions”, Journal of Financial Stability, 7, 78-97.
  • Cecchetti, S., M. Mohanty and F. Zampolli (2011). “The Real Effects of Public Debt”, BIS Working Papers, No. 352.
  • Çevik, E. İ., Diboğlu S. and Kenç T (2013). “Measuring Financial Stress in Turkey”, Journal of Policy Modeling, 35(2): 370-383.
  • Claessens, S. M., Köse, A. and Terrones, M. E. (2008). “Financial Stress and Economic Activity”. Journal of BRSA Banking and Financial Markets, 2, 11-24.
  • Clarida, R. C., J. Davis and Pedersen, N (2009). “Currency Carry Trade Regimes: Beyond the Fama Regression”, Journal of International Money and Finance, 28, 1375-1389.
  • Deutsche Bundesbank (2014). Exchange Rates and Financial Stress, Deutsche Bundesbank Monthly Report, July, 15-29.
  • Ekinci, A. (2013). “Türkiye Finansal Stres Endeksi”, Doğuş Üniversitesi Dergisi, 14(2), 213-229.
  • Elekdağ, S., Kanlı İ. B, (2010). “Finansal Stres ve İktisadi Faaliyet”, Türkiye Cumhuriyeti Merkez Bankası Ekonomi Notları, 2010/6.
  • Granger, C. (1969). “Investigation Causal Relation by Econometric Models and Cross Spectral Methods”, Econometrica, 37, 424-438.
  • Hakkio, C and Keaton W (2009). “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?”. Federal Reserve Bank of Kansas City Economic Review.
  • Hollo, D., M. Kremer and M. Lo Duca (2012). “CISS – A Composite Indicator of Systemic Stress in the Financial System”. European Central Bank Working Paper Series No. 1426. Frankfurt am Main.
  • Illing, M. and Y. Liu. (2006). “Measuring Financial Stress in a Developed Country: An Application to Canada”. Journal of Financial Stability 2. 243–265.
  • Kiyotaki, N. and J. Moore (1997). “Credit Cycles”. Journal of Political Economy, 105(2), 211–48.
  • La Porta, R., F. Lopez-De-Silanes, A. Shleifer and R.W. Vishny, (1998). “Law and Finance”, Journal of Political Economy. 106(6), 1113-1155.
  • Luintel, K.B., Khan M., Arestis P. and Konstantinos T (2008). “Financial structure and Economic Growth”. Journal of Development Economics. 86, 181-200.
  • Nelson, W. R. and R. Perli (2007). “Selected Indicators of Financial Stability”. Irving Fisher Committee's Bulletin on Central Bank Statistics 23, 92-105.
  • Rajan, R. and L. Zingales (2003). “Banks and Markets: The Changing Character of European Finance”, NBER Working Papers, No. 9595.
  • Reinhard, C. and K. Rogoff (2009). This Time is Different: Eight Centuries of Financial Folly, Princeton University Press.
  • Rigobon, R. and B. Sack (2003). “Measuring The Reaction of Monetary Policy to The Stock Market”, Quarterly Journal of Economics, 118, 639-669.
  • Sorge, M., (2004). “Stress Testing Financial Systems: an Overview of Current Methodologies”. BIS Working Papers, No. 165.

Nejla ADANUR AKLAN* Mehmet ÇINAR** Hülya KANALICI AKAY

Year 2015, Volume: 22 Issue: 2, 567 - 580, 12.01.2016
https://doi.org/10.18657/yecbu.95272

Abstract

Global finansal krizin gelişmekte olan ülkeler üzerindeki etkileri, gelişmiş ülkelere göre daha şiddetli olmuştur. Bu durum kriz sonrası literatürünün ağırlıklı olarak finansal sistem stresi üzerinde yoğunlaşmasına neden olmuştur. Dolayısıyla, Türk finansal sistemindeki istikrarsızlığın ölçülmesi ve izlenmesi, olası stres kaynaklarına yönelik erken bir uyarı sistemi sağlayarak, doğru politikaların yürütülmesini kolaylaştıracaktır. Bu çerçevede çalışmamızda öncelikle farklı piyasalardaki istikrarsızlıkları (hisse senedi ve döviz piyasası ile bankacılık ve kamu sektörü) kapsayacak şekilde bir finansal stres endeksi oluşturulmuştur. Çalışma sonuçlarımıza göre Türkiye’de ilgili dönemde finansal stresten ekonomik aktiviteye doğru tek yönlü bir nedensel ilişki bulunmaktadır. Hesaplanan etki tepki fonksiyonu ise finansal streste meydana gelen rassal şokun ekonomik aktiviteyi olumsuz etkilediğini ortaya koymuştur

References

  • Balakrishnan, R., Danninger,S., Elekdağ.,S and Tytell, I (2011). The Transmission of Financial Stress from Advanced to Emerging Economies. Emerging Markets Finance and Trade 47. pp. 40–68.
  • Beck, T. and R. Levine (2002). “Industry Growth and Capital Accumulation: Does Having a Market or Bank-Based System Matter?, Journal of Financial Economics, 64, 147-180.
  • Beck, T. and R. Levine (2004). “Stock Markets, Banks and Growth: Panel Evidence”, Journal of Banking and Finance, 28, 423-442.
  • Beetsma, R. and M. Giuliodori (2012). “The Changing Macroeconomic Response to Stock Market Volatility Shocks”. Journal of Macroeconomics 34, 281–293.
  • Beltratti, A. and C. Morona (2006). “Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility”. Journal of Econometrics 131, 151–177
  • Bernanke, B. S. and M. Gertler (1996). “The Financial Accelerator and the Flight to Quality”. Review of Economics and Statistics 78, 1-15.
  • Bernanke, B. S., M. Gertler and, S. Gilchrist (1999). “The Financial Accelerator in a Quantitative Business Cycle Framework”. In J. B. Taylor and M. Woodford, (Eds.). Handbook of Macroeconomics. Amsterdam: Elsevier.
  • Blanco, L. R. (2009). “The Finance Growth Link in Latin America”, Southern Economic Journal, 76(1), 224-248.
  • Boyd, J. H. and E. C. Prescott (1986). “Financial Intermediary-Coalitions”, Journal of Economic Theory, 38(2), 211-232.
  • Boyd, J. H. and B. D. Smith (1998). “The Evolution of Debt and Equity Markets in Economic Development”, Economic Theory, 12, 519-560.
  • Brunnermeier, M., and L. H, Pedersen (2007). “Market Liquidity and Funding Liquidity”, NBER Working Papers, No. 12939.
  • Cardarelli, R., Elekdağ S and Lall, S (2011). “Financial Stress and Economic Contractions”, Journal of Financial Stability, 7, 78-97.
  • Cecchetti, S., M. Mohanty and F. Zampolli (2011). “The Real Effects of Public Debt”, BIS Working Papers, No. 352.
  • Çevik, E. İ., Diboğlu S. and Kenç T (2013). “Measuring Financial Stress in Turkey”, Journal of Policy Modeling, 35(2): 370-383.
  • Claessens, S. M., Köse, A. and Terrones, M. E. (2008). “Financial Stress and Economic Activity”. Journal of BRSA Banking and Financial Markets, 2, 11-24.
  • Clarida, R. C., J. Davis and Pedersen, N (2009). “Currency Carry Trade Regimes: Beyond the Fama Regression”, Journal of International Money and Finance, 28, 1375-1389.
  • Deutsche Bundesbank (2014). Exchange Rates and Financial Stress, Deutsche Bundesbank Monthly Report, July, 15-29.
  • Ekinci, A. (2013). “Türkiye Finansal Stres Endeksi”, Doğuş Üniversitesi Dergisi, 14(2), 213-229.
  • Elekdağ, S., Kanlı İ. B, (2010). “Finansal Stres ve İktisadi Faaliyet”, Türkiye Cumhuriyeti Merkez Bankası Ekonomi Notları, 2010/6.
  • Granger, C. (1969). “Investigation Causal Relation by Econometric Models and Cross Spectral Methods”, Econometrica, 37, 424-438.
  • Hakkio, C and Keaton W (2009). “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?”. Federal Reserve Bank of Kansas City Economic Review.
  • Hollo, D., M. Kremer and M. Lo Duca (2012). “CISS – A Composite Indicator of Systemic Stress in the Financial System”. European Central Bank Working Paper Series No. 1426. Frankfurt am Main.
  • Illing, M. and Y. Liu. (2006). “Measuring Financial Stress in a Developed Country: An Application to Canada”. Journal of Financial Stability 2. 243–265.
  • Kiyotaki, N. and J. Moore (1997). “Credit Cycles”. Journal of Political Economy, 105(2), 211–48.
  • La Porta, R., F. Lopez-De-Silanes, A. Shleifer and R.W. Vishny, (1998). “Law and Finance”, Journal of Political Economy. 106(6), 1113-1155.
  • Luintel, K.B., Khan M., Arestis P. and Konstantinos T (2008). “Financial structure and Economic Growth”. Journal of Development Economics. 86, 181-200.
  • Nelson, W. R. and R. Perli (2007). “Selected Indicators of Financial Stability”. Irving Fisher Committee's Bulletin on Central Bank Statistics 23, 92-105.
  • Rajan, R. and L. Zingales (2003). “Banks and Markets: The Changing Character of European Finance”, NBER Working Papers, No. 9595.
  • Reinhard, C. and K. Rogoff (2009). This Time is Different: Eight Centuries of Financial Folly, Princeton University Press.
  • Rigobon, R. and B. Sack (2003). “Measuring The Reaction of Monetary Policy to The Stock Market”, Quarterly Journal of Economics, 118, 639-669.
  • Sorge, M., (2004). “Stress Testing Financial Systems: an Overview of Current Methodologies”. BIS Working Papers, No. 165.
There are 31 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Nejla Aklan

Mehmet Çınar

Hülya Akay This is me

Publication Date January 12, 2016
Published in Issue Year 2015 Volume: 22 Issue: 2

Cite

APA Aklan, N., Çınar, M., & Akay, H. (2016). Financial Stress and Economic Activity Relationship In Turkey: Post-2002 Period(Türkiye’de Finansal Stres ve Ekonomik Aktivite İlişkisi: 2002 Sonrasi Dönem). Journal of Management and Economics, 22(2), 567-580. https://doi.org/10.18657/yecbu.95272