Testing the Validity of the Financial Convergence Hypothesis with Fourier Unit Root Tests: The Fragile Five Case

Öz

The aim of this study is to examine the convergence of the financial development index of the Fragile Five countries to the financial development index of the United States of America (USA) within the framework of the convergence hypothesis proposed by Bernard and Durlauf (1996). The study utilizes annual financial development index data published by the IMF for the period 1980-2020. The study assesses the validity of the financial convergence hypothesis using conventional Augmented Dickey and Fuller (ADF) test, as well as Fourier ADF test proposed by Christopoulos and León-Ledesma (2010), and Fourier Sollis unit root tests introduced by Ranjbar et al. (2018). The findings of the research show that the financial development indices of the Fragile Five countries do not converge to the dominant country USA, that is, the financial convergence hypothesis is not valid. The results obtained can be interpreted as that the Fragile Five countries have not caught up with the more developed economies in terms of the development of their financial structures, and that the gap between developing countries and countries with well-developed financial markets will continue to remain open unless there is a significant policy change in these countries.

Anahtar Kelimeler

• Financial Convergence
• Financial Development
• Fragile Five Countries
• Fourier ADF
• Fourier Sollis

Fourier Birim Kök Testleri ile Finansal Yakınsama Hipotezi Geçerliliğinin Sınanması: Kırılgan Beşli Örneği

Öz

Bu araştırmanın amacı, Kırılgan Beşli ülkelerinin finansal gelişim endeksinin Amerika Birleşik Devletleri (ABD) finansal gelişim endeksine yakınsamasının Bernard ve Durlauf (1996) tarafından önerilen yakınsama hipotezi çerçevesinde incelenmesidir. Araştırmada, 1980-2020 dönemi yıllık IMF tarafından yayımlanan finansal gelişim endeksi verileri kullanılmıştır. Araştırmada, finansal yakınsama hipotezinin geçerliliği geleneksel Augmented Dickey ve Fuller (ADF), Christopoulos ve León–Ledesma (2010) Fourier ADF ve Ranjbar, Chang, Elmi ve Lee (2018) Fourier Sollis birim kök testleri ile sınanmıştır. Araştırma bulgularında, Kırılgan Beşli ülkelerine ait finansal gelişme endekslerinin başat ülke ABD’ye yakınsamadığı, yani finansal yakınsama hipotezinin geçerli olmadığı görülmüştür. Elde edilen sonuçlar, Kırılgan Beşli ülkelerinin finansal yapılarının gelişimi açısından daha gelişmiş ekonomileri yakalayamadığını, bu ülkelerde finansal açıdan önemli bir politika değişimi olmadığı sürece gelişmekte olan ve iyi gelişmiş finansal piyasalara sahip ülkeler arasındaki farkın açık kalmaya devam edeceği şeklinde yorumlanabilir.

Anahtar Kelimeler

• Finansal Yakınsama
• Finansal Gelişme
• Kırılgan Beşli Ülkeleri
• Fourier ADF
• Fourier Sollis

Kaynakça

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