DETERMINANTS OF BUSINESS CYCLES: A COMPARATIVE ANALYSIS BETWEEN G7 AND E7 COUNTRIES

Abstract

Although business cycles have been investigated for nearly a century, there is still no clear conclusion on the causes and the nature of business cycles. In order to combat the crises and stagnation as a result of the fluctuations experienced by market economies, the structure of business cycles must be well analyzed. The aim of this study is to empirically test the determinants of business cycles for developed and developing countries. To achieve this aim, panel time series analysis was performed using the variables of government expenditure, money supply, total factor productivity, dummy variable representing elections, trade openness and agricultural production for G7 and E7 countries covering the period of 1960-2017. In the empirical part of the study, cross sectional dependency tests, second-generation panel unit root tests and second-generation panel cointegration tests were applied. According to the empirical findings, business cycles are not stationary in both G7 and E7 countries. Therefore, business cycles which could be defined as deviations from the long-term economic growth trend of gross domestic product do not spontaneously return to the long-term trend value over time. For this reason, policy makers need to intervene in the business cycles by using active economic policies. According to the results of cointegration model estimation, government expenditures and money supply are negatively related to business cycles both in E7 and G7 countries, while trade openness is positively related to business cycles. Total factor productivity and dummy variable representing elections are positively related to business cycles in G7 and E7 countries, respectively. Finally, there is no statistically significant relationship between the share of agricultural production and business cycles.

Keywords

• Business Cycles
• Hodrick-Prescott Filter
• Panel Data Analysis

KONJONKTÜR DALGALARININ BELİRLEYİCİLERİ: G7 VE E7 ÜLKELERİ ÜZERİNE KARŞILAŞTIRMALI BİR ANALİZ

Öz

Konjonktür dalgaları konusunda yaklaşık bir asırdır araştırma yapılmasına rağmen, konjonktür dalgalarının nedenleri ve niteliği ile ilgili halen net bir sonuca ulaşılmış değildir. Piyasa ekonomilerinin yaşadığı dalgalanmalar sonucu yaşanılan krizlerle ve durgunluklarla mücadele edebilmek için dalgaların yapısının iyi analiz edilmesi gerekmektedir. Bu çalışmanın amacı konjonktür dalgalarının belirleyicilerini gelişmiş ve gelişmekte olan ülkeler için ampirik olarak test etmektir. Bu amaca ulaşmak için G7 ve E7 ülkelerinin 1960-2017 dönemine ait yıllık verileri kullanılarak konjonktür dalgaları, kamu harcamaları, para arzı, toplam faktör verimliliği, seçimleri temsil eden kukla değişken, ticari açıklık oranı ve tarımsal üretim değişkenleri kullanılarak panel zaman serisi analizi gerçekleştirilmiştir. Uygulama kısmında yatay kesit bağımlılığı, ikinci nesil birim kök testleri ve ikinci nesil panel eşbütünleşme testleri gerçekleştirilmiştir. Çalışmanın bulgularına göre hem G7 ülkelerinde hem de E7 ülkelerinde konjonktür dalgaları durağan bir sürece sahip değildir. Dolayısıyla, gayrisafi yurtiçi hasılanın uzun dönem büyüme trendinden sapması olan nitelendirilen konjonktür dalgalanmaları zaman içerisinde uzun dönem trend değerine kendiliğinden dönmemektedir. Bu nedenle, politika yapıcıların aktif iktisat politikaları kullanarak konjonktür dalgalarına müdahale etmeleri gerekmektedir. Eşbütünleşme modeli tahmini sonuçlarına göre hem gelişmiş ülkelerde hem de gelişmekte olan ülkelerde hükümet harcamalarının ve para arzının konjonktür dalgalarını azaltıcı; ticari açıklığın ise konjonktür dalgalarını artırıcı etkisi vardır. Gelişmiş ülkelerde toplam faktör verimliliğinin konjonktür dalgalarını artırıcı etkisi var iken, gelişmekte olan ülkelerde seçimlerin konjonktür üzerinde pozitif bir etkisi vardır. Tarımsal üretimin hasıladaki payı ile konjonktür dalgaları arasında anlamlı bir ilişki tespit edilememiştir.

Anahtar Kelimeler

• Konjonktür dalgaları
• Hodrick-Prescott Filtresi
• Panel Veri Analizi
• Fourier Panel KPSS
• Panel Eşbütünleşme
• Panel Cointegration

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