Sustainability of Current Account Deficit in Turkey

Yıl 2014, Cilt: 14 Sayı: 1, 83 - 97, 01.02.2014

Şenay Açıkgöz Anıl Akçağlayan

Öz

In this paper, sustainability of current account deficit in Turkey is investigated by considering the long-run relationship between export and import for the period 1992:Q1-2011:Q3. Engle and Granger (1987) and Pesaran and Shin (1999) and Pesaran et al. (2001) are used to determine the long-run relationship between export and import. According to the results, although there is a long-run relationship between export and import, current account deficit are sustainable in the weak form

Anahtar Kelimeler

Sustainability of current account deficit, structural break, cointegration

Türkiye’de Cari İşlemler Açığının Sürdürülebilirliği

Öz

Bu çalışmada 1992:Q1-2011:Q3 dönemi için Türkiye’de cari işlemler açığının sürdürülebilirliği ihracat ve ithalat arasındaki uzun dönemli ilişkiden hareketle incelenmiştir. Engle ve Granger (1987) ile Pesaran ve Shin (1999) ve Pesaran ve diğerleri (2001) yöntemleri ihracat ve ithalat arasındaki uzun dönemli ilişkiyi belirlemek üzere kullanılmıştır. Çalışmanın bulguları ihracat ile ithalat arasında uzun dönemli denge ilişkisi bulunduğuna ve sürdürülebilirliğin zayıf formda olduğuna işaret etmiştir

Anahtar Kelimeler

Cari işlemler açığının sürdürülebilirliği, yapısal kırılma, eştümleşme

Kaynakça

• Akçağlayan, A. (2006) “Tüketim Dalgalanmaları ve Cari İşlemler Dengesi Türkiye Deneyimi, 1987-2003”İk- tisat, İşletme ve Finans, 21(242):34-45.
• Azize, A.C. (2002) “Imports and Exports in 50 Countries Tests of Cointegration and Structural Breaks”International Review of Economics and Finance, 11:101-115.
• Bahmani-Oskoee, M. ve Domaç, I. (1995) “The Long-Run Relations between Imports and Exports in an LDC: Evidence from Turkey”METU Studies in Develop- ment, 22(2):177-189.
• Brown, R.L., Durbin, J. ve Evans, J.M. (1975) “Tech- niques for Testing in Constancy of Regression Relations- hips Over Time”Journal of the Royal Statistical Society, 37:149-192.
• Dickey, D. ve Fuller, W.A. (1979) “Distribution of the Estimates for Autoregressive Time Series with Unit Root”Journal of the American Statistical Association, 74:427-431.
• Elliot, G., Rothenberg, T.J. ve Stock, J.H. (1996) “Effi- cient Tests for an Autoregressive Unit Root”Econometrica, 64:813-836.
• Enders, W. (2004) Applied Econometric Time Series, 2nd Edition, United States of America, John Wiley and Sons.
• Engle, R.F.ve Granger, C.W.J. (1987) “Cointegrati- on and Error Correction Representation: Estimation and Testing”Econometrica, 55:251-276.
• Göktaş, Ö., Tunalı, C.B.ve Hepsağ, A. (2011) “The Sustainability of Current Account Deficits in the Presence of Structural Shift: The Case of Turkey”Middle Eastern Finance and Economics, 11:132- 141.
• Gregory, A.W. (1994) “Testing for Cointegration in Linear Quadratic Models”Journal of Business and Econo- mic Statistics, 12:347-360.
• Gregory, A.W. ve Hansen, B.E. (1996) “Residual- based Tests for Cointegration in Models with Regime Shifts”Journal of Econometrics, 70:99-126.
• Güloğlu, B., İspir, S. ve Seymen, D. (2010) “Türkiye’de Cari Açıkların Sürdürülebilirliğini Etkileyen Temel Makroekonomik Göstergeler” Subaşat vd(eds.) Küresel Kriz Çerçevesinde Türkiye’nin Cari Açık Sorunsalı, Ankara, Efil Yayınevi.
• Hakkio, C.S. ve Rush, M. (1991) “Is the Budget De- ficit “Too Large?”Economic Inquiry, 29: 429-445.
• Hansen, B.E. (1992) “Tests for Parameter Instability in Regressions with I(1) Processes” Journal of Business and Economic Statistics, 10:321-35.
• Haug, A. (1996) “Tests for Cointegration: A Monte Carlo Comparison”Journal of Econometrics, 71:89-115.
• Husted, S. (1992) “The Emerging US Current Acco- unt Deficit in the 1980s: A Cointegration Analysis”Review of Economics and Statistics, 74:159-166.
• Johansen, S. (1988) “Statistical Analysis of Cointeg- rating Vectors”Journal of Economic Dynamic and Control, 12(2-3):231-254.
• Johansen, S. ve Juselius, K. (1990) “Maximum Like- lihood Estimation and Inference on Cointegration with Application to the Demand for Money”Oxford Bulletin of Economics and Statistics, 52(2):169-209.
• Kennedy, P.(2003)A Guide to Econometrics, 5th Editi- on, MIT Press Books, The MIT Press.
• Lee, J. ve Strazicich, M.C. (2003) “Minimum LM Unit Root Test with Two Structural Breaks”The Review of Economics and Statistics, 63:1082-1089.
• Mackinnon, J.G., Alfred, A.H. ve Leo, M. (1999) “NumericalDistribution Functions of Likelihood Ratio Tests for Cointegration”Journal of Applied Econometrics, 14:563-77.
• Narayan, P.K. (2004) “Reformulating Critical Values for the Bounds F-Statistics Approach to Cointegration: An Application to the Tourism Demand Model for Fiji” Monash University, Department of Economics Discussi- on Paper, No:02/04.
• Ogus, A. ve Sohrabji, N. (2008) “On the Optimality and Sustainability of Turkey`s Current Account”Emprical Economics, 35(3):543-568.
• Ongan, S. (2008) “The Sustainability of Current Ac- count Deficits and Tourism Receipts in Turkey”The Inter- national Trade Journal, 22(1):39-62.
• Osterwald-Lenum, M. (1992) “A Note with Quantil- les of the Asymptotic Distribution of Cointegration Rank Test Statistics”Oxford Bulletin of Economics and Statistics, 54:461-72.
• Panopoulou, E. ve Pittis, N. (2004) “A Comparison of Autoregressive Distributed Lag and Dynamic OLS Co- integration Estimators in the Case of a Serially Correlated Cointegration Error”Econometric Journal, 7:585-617.
• Perron, P. (1989) “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis” Econometrica, 57(6):1361-1401.
• Pesaran, M.H. ve Shin, Y. (1999) “An Autoregressi- ve Distributed Lag Modeling Approach to Cointegrati- on Analysis” Strom, S.(eds.)Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Cambridge, Cambridge University Press.
• Pesaran, M.H., Shin, Y. ve Smith, R.J. (2001) “Bounds Testing Approaches to the Analysis of Level Relationships”Journal of Applied Econometrics, 16(3):289- 326.
• Selçuk, F. (1997) “Consumption Smoothing and Cur- rent Account: Turkish Experience 1987-1996”METU Studies in Development, 24:519-529.
• Türkiye Cumhuriyet Merkez Bankası, (2012) 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012 Ödemeler Dengesi Raporu, http:// www.tcmb.gov.tr, (10.07.2012).
• Toda, H.Y. ve Yamamoto, T. (1995)“Statistical Infe- rence in Vector Autoregression with Possibly Integrated Processes”Journal of Econometrics, 66: 225-250.
• Trehan, B. ve Walsh, C.E. (1991) “Testing Intertempo- ral Budget Constraints, Theory and Applications to U.S. Federal Budget and Current Account Deficits”Journal of Money, Credit and Banking, 23(2):206-223.
• Ucan, O ve Putun, M. (2011) “Examining the Sustainability of External Deficits in Turkey” Middle Eastern Finance and Economics, 9:75-82.
• Utkulu, U. (1998) “Are the Turkish External Deficits Sustainable? Evidence from theCointegrating Relations- hip between Exports and Imports”Dokuz Eylül Üniversi- tesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3(1):119- 132.
• Zivot, E. ve Andrews, D.W.K. (1992) “Further Evi- dence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”Journal of Business and Economic Statistics, 10(3):251-70.