TRIPLE DEFICIT PRESSURE INDEX AND ESTIMATION OF THE FINANCIAL CRISIS: THE CASE OF TURKEY

Abstract

The main indicators affecting short and longterm macroeconomic stability are budget deficits, current account deficit and savings deficits expressed as savings-investment imbalance. In the literature of Economics and Finance, there are many national and international studies on Twin Deficits Hypothesis. The triple deficit is also the balance of imbalance. The Triple Deficit Hypothesis is based on the relationship between the budget balance expressed as internal balance and the balance of savings and the current account balance representing the external balance. The main purpose of this study is to create a Triple Deficit Pressure Index for Turkey in 1998 - 2019 period. In addition, leading indicators that cause financial crises are investigated using the Triple Deficit Pressure Index. The study proves that Triple Deficit Pressure Index is valid in Turkey. In addition, there is one-way Granger causality for the Trıple Defıcıt Pressure Index.

Keywords

• Financial Crisis
• Tripal Deficit Pressure Index
• Modeling
• Turkey

ÜÇÜZ AÇIK BASKI ENDEKSİ VE FİNANSAL KRİZLERİN TAHMİNİ: TÜRKİYE UYGULAMASI

Öz

The main indicators affecting short and longterm macroeconomic stability are budget deficits, current account deficit and savings deficits expressed as savings-investment imbalance. In the literature of Economics and Finance, there are many national and international studies on Twin Deficits Hypothesis. The triple deficit is also the balance of imbalance. The Triple Deficit Hypothesis is based on the relationship between the budget balance expressed as internal balance and the balance of savings and the current account balance representing the external balance. The main purpose of this study is to create a Triple Deficit Pressure Index for Turkey in 1998 - 2019 period. In addition, leading indicators that cause financial crises are investigated using the Triple Deficit Pressure Index. The study proves that Triple Deficit Pressure Index is valid in Turkey. In addition, there is one-way Granger causality for the Trıple Defıcıt Pressure Index.

Anahtar Kelimeler

• Finansal Kriz
• Üçüz Açık Baskı Endeksi
• Modelleme
• türkiye

References

1. AKBAŞ, Y. E., Fuat, L. E. B. E., & ZEREN, F. (2014). Testing the validity of the triplet deficit hypothesis for Turkey: Asymmetric causality analysis. Eurasian Journal of Business and Economics, 7(14), 137-154.
2. Akıncı, M. & Yılmaz Ö. (2013). Türkiye ekonomisinde üçüz açık hipotezinin geçerliliği: Sınır testi yaklaşımı. İMKB Dergisi, 13(50), 1-27.
3. Andersen, P. S. (1990). Developments in External and Internal Balances: A Selective and Eclectic Review. BIS Economic Papers, 29, Bank for International Settlements.
4. Bachman, D. D. (1992). Why is the US Current Account Deficit So Large? Evidence from Vector Autoregressions. Southern Economic Journal, 59(2), 232-240. Bayrak, M. & Esen, Ö. (2012). Bütçe Açıklarının Cari İşlemler Dengesi Üzerine Etkileri: ikiz Açıklar Hipotezinin Türkiye Açısından Değerlendirilmesi. Ekonomik Yaklaşım, 23(82): 23-49.
5. Barro, R.J. (1974), Are Government Bonds Net Wealth. The Journal of Political Economy, 82(6), 1095-1117.
6. Barro, R. J. (1989). The Ricardian approach to budget deficits. Journal of Economic perspectives, 3(2), 37-54.
7. Bolat, S., Belke, M. & Aras, O. (2011). Türkiye'de ikiz Açık Hipotezinin Geçerliliği: Sınır Testi Yaklaşımı. Maliye Dergisi, 161: 347-364.
8. Bolat, S., Değirmen, S. & Şengönül, A. (2014). Does Triple Deficits Have (Un)Stable Causality for the EU Members? Evidence from Bootstrap-Corrected Causality Tests. Procedia Economics and Finance, 16: 603-612.

9. Chowdhury, K. & Saleh, A. S. (2007). Testing the Keynesian Proposition ofTwin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka. Faculty of Business Economics Working Papers, 2-35.
10. Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica. Journal of the Econometric Society, 1057-1072.
11. Dooley, M.P., Frankel, J.A. and Mathieson, D. (1987). nternational Capital Mobility in Developing Countries vs. Industrial Countries: What do Saving-Investment Correlations Tell Us? NBER Working Papers, 2043, National Bureau of Economic Research, Inc., 503-530.
12. Eichengreen, B., Rose, A. K., & Wyplosz, C. (1996). Contagious currency crises. No. w5681, National Bureau of Economic Research.
13. Eğilmez, M. (2012). İkiz Açık, Üçüz Açık. http://www.mahfiegilmez.com/2012/10/ikiz-ack-ucuz-ack.html.
14. Feldstein, M. S. (1986). The budget deficit and the dollar. NBER Macroeconomics Annual, 1, 355-392.
15. Feldstein, M. (1992). Analysis: the budget and trade deficits aren’t really twins. Challenge, 35(2), 60-63.
16. Froyen, R.T. (1999). Macro Economics Theories and Policies. 16th ed., New Gersey: Prentice Hall Inc.
17. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
18. Gruber, J.W. & Kamin, S.B. (2007). Explaining the Global Pattern of Current Account Imbalances. Journal of International Money and Finance, 26(4): 500-522. http://dx.doi.org/10.1016/j.jimonfin.2007.03.003.
19. Güder, F. & Cüneyt, K. (2016). Üçüz açık sorunu ve üçüz açık bileşenlerinin ekonomik büyüme üzerine etkisi: Türkiye örneği. JED / GKD, 11:2
20. İyidoğan, P. V. & Erkam, S. (2013). İkiz Açıklar Hipotezi: Türkiye için Ampirik Bir İnceleme (1987-2005). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15:39-48.
21. Kaminsky, G. L. & Reinhart, C. M. (1999). The twin crises: the causes of banking and balance-of-payments problems. American economic review, 89(3), 473-500.
22. Karanfil, M. & Kılıç, C. (2015). Türkiye Ekonomisinde Üçüz açık Hipotezinin Geçerliliği: Zaman Serisi Analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 1-20.
23. Karaçor, Z., Alptekin, V., Akar, T. & Akar, G. (2012). İstikrar mı, istikrarsızlık mı? Türkiye’de üçüz açık analizi. Türkiye Ekonomi Kurumu 3. Uluslararası Ekonomi Konferansı, 1-3.
24. Kılavuz, E. & Dumrul, Y. (2012). İkiz Açıklar Hipotezinin Geçerliliği: Teori ve Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(3-4): 239-258.
25. Kibritçioglu, A. (2003). Monitoring banking sector fragility. The Arab Bank Review, 5(2), 51-66.
26. Kim, S. & Roubini, N. (2008). Twin Deficits or Twin Divergence? Fiscal Policy, Current Account and Real Exchange Rate in the U.S. Journal of International Economics, 74, 362-383.
27. Özçalık, M. & Erataş, F. (2014). İkiz Açıklar Hipotezinin Geçerliliği: Yükselen Piyasa Ekonomileri için Bir Örnek. Yönetim ve Ekonomi Araştırmaları Dergisi, 22:136-151.
28. Özdemir, D., Buzdağlı, Ö., Emsen, Ö. S. & Çelik, A. A. (2014). Geçiş Ekonomilerinde Üçüz Açık Hipotezinin Geçerliliği. International Conference on Eurasian Economies, 1 -7.
29. Poterba J. M. & Summers. L.H. (1987). Finite Lifetimes and the Effects of Budget Deficits on National Saving. Journal of Monetary Economics, 20(2), 369-391.
30. Roubini, N. (1988). Current Account and Budget Deficits in an Intertemporal Model of Consumption and Taxation Smoothing: A Solution to the ‘Feldstein Horioka Puzzle? NBER Working Paper.
31. Summers, L. H. (1986). Debt Problems and Macroeconomics Policies. NBER Working Paper.
32. Sürekçi, D. (2011). Türkiye'de Üçüz Açıklar Olgusunun Analizi: Dinamik Bir Yaklaşım. Yönetim ve Ekonomi, 18(1): 51-69.
33. Şen, H., & Kaya, A. (2016). Are the twin or triple deficits hypotheses applicable to post-communist countries?
34. Şen, A. Şentürk, M., Sancar, C. & Akbaş, Y. E. (2014). Empirical Findings on Triplet Deficits Hypothesis: The Case of Turkey. Journal of Economic Cooperation and Development, 35(1): 81-102.
35. Tülümce, S. Y. (2013). Türkiye'de Üçüz Açığın Ampirik Analizi (2010-1984). Maliye Dergisi, 165: 97-114.
36. Türkay, H. (2013). Türkiye'de Cari Açık, Bütçe Açığı ve Yatırım-Tasarruf Açığı İlişkisi. Celal Bayar Üniversitesi İktisadi ve idari Bilimler Dergisi, 14(2): 253-269.
37. Vamvoukas, G.A. (1999). The Twin Deficit Phenomenon: Evidence from Greece. Applied Economics, 31 (9), 1093-100.
38. Vyshnyak, O. (2000). Twin Deficit Hypothesis: The Case of Ukraine. National University Kyiv - Mohyla Academy Thesis. www. https://kse.ua/wp-content/uploads/2019/02/Vyshnyak-1.pdf.
39. Ural, M. & Balaylar, N. A. (2007). Bankacılık sektöründe yüksek risk alımı ve baskı indeksleri. Finans Politik Ekonomik Yorumlar Dergisi, (509), 47-57.
40. Zaidi, I. & Iqbal, M. (1985). Saving, Investment, Fiscal Deficit, and the External Indebtedness of Developing Countries. World Development, 13(5), 573-588.