BibTex RIS Kaynak Göster

Türkiye’de Cari Açığın Belirleyicileri: Mgarch Modelleri İle Bir İnceleme

Yıl 2009, Cilt: 1 Sayı: 84, 135 - 172, 01.07.2009

Öz

Kaynakça

  • Akbostancı, Elif and Gül İpek Tunç (2002), “Turkish Deficits: An Error Correction
  • Model of Trade Balance, ERC Working Papers in Economics, 01/06, 1-18. Aqueel, Anjum and Mohammed, Nishat (2000), “The Twin Deficits Phenomenon:
  • Evidence from Pakistan”, The Pakistan Development Review, 39, 535 – 50. Aristovnik, Aleksander (2007), Short and Medium Term Determinants of Current
  • Account Balances in Middle and North Africa Countries, William Davidson Institute Working Paper, Nu:862, 1- 22. Barro, Robert (1974), “Are Government Bonds Net Wealth?”, The Journal of
  • Political Economy, 82, (6), 1095-1117.
  • Bauwens, L., Laurent, S. and Rombouts, J.V.K. (2006), “Multivariate GARCH
  • Models: A Survey”, Journal of Applied Econometrics, 21, 79-109. Bitzis, Grigorios, John M. Paleologos and Christos Papazoglou (2008), “The
  • Determinants of the Greek Current Account Deficit: The EMU Experience”, Journal of International and Global Economic Studies, 1, (1), 105-12. Bartolini, Leonardo and Amartya Lahiri (2006), “Twin Deficits, Twenty Years
  • Later” Current Issues in Economics and Finance, 12, (7), 1–7. Boileau, Martin and Michel Normandin (2008), “Do Tax Cuts Generate Twin
  • Deficits? A Multi-Country Analysis”, CIRPÉE Working Paper, 08-32, 1-37. Bollerslev, T.(1986),”Generalised Autoregressive Conditional Heteroscedasticity”,
  • Journal of Econometrics, 31, 307–327. Bollerslev, T. (1990),” Modelling the Coherence in Short-Run Nominal Exchange
  • Rate: A Multivariate Generalized ARCH Approach”, Review of Economics and Statistics,72, 498–505. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), “A Capital Asset Pricing
  • Model with Time Varying Covariance”, Journal of Political Economy, 96, –131. Bollerslev, T. , R.Y. Chou and K.F. Kroner (1992), “ARCH Modeling in Finance:
  • A Review of the Theory and Empirical Evidence”, Journal of Econometrics, , 5-59. Bollerslev, T. (1987),” A Conditionally Heteroskedastic Time Series Model for
  • Speculative Prices and Rates of Return”, The Review of Economics and Statis- tics, 23, 542-547. Bozkurt, Hilal (2009), Türkiye’de Doğrudan Yabancı Yatırımların Belirleyicileri
  • Üzerine Bir Analiz: CCC-MGARCH Modeli İle Tahmin”, ODTÜ Gelişme Der- gisi (yayına kabul edildi). Bussière, Matthieu, Marcel Fratzscher and Gernot J. Müller (2005), “Productivity
  • Shocks Budget Deficit and the Current Account”, Working Paper Series, European Central Bank, No. 509, 1-32. Chinn, Menzie D. and Eswar S. Prasad (2003), “Medium-term determinants of current accounts in industrial and developing countries: An empirical explo- ration” Journal of International Economics, 59, 47–76.
  • Chinn, Menzie D. and Hiro, Ito (2005), “Current Account Balances Financial
  • Development and Institutions: Assaying the World Savings Glut”, NBER Working Paper, No. 11761, 1-43.
  • Chinn, Menzie D. and Hiro Ito (2008), “Global Current Account Imbalances:
  • American Fiscal Policy versus East Asian Savings”, Review of International Economics, 16, (3), 479 – 98. Chowdhury, Khorshed and Ali Salman Saleh (2007), “Testing the Keynesian
  • Proposition of Twin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka”, University of Wollongong Economics Working Paper Series, WP 07-09, 1-33. Calderón, César, Alberto Chong and Norman Loayza (1999), “Determinants of
  • Current Account Deficits in Developing Countries”, Working Papers, Central Bank of Chile, No:51, 1-41. DPT (2008), Uluslararası Ekonomik Göstergeler.
  • Drost, F.C. and T. Nijman (1991), “Temporal Aggregation of GARCH Proc- esses”, Econometrica, 61 (4), 909-1027.
  • Engle, R.F. and K.F. Kroner (1995),”Multivariate Simultaneous Generalized
  • ARCH”, Econometric Theory, 11, 122–150. Engle, R.F.(1982),”Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987–1007.
  • Engle, R.F. (1983),” Estimates of the Variance of U.S. Inflation Based upon the ARCH Model”, Journal of Money, Credit and Banking, 15, 286-301.
  • Engle, R.F. (ed.)(1995), ARCH. Selected Readings, Oxford: Oxford University Pres.
  • Engle, R.F. (2002), “Dynamic Conditional Correlation-A Simple Class of Multi- variate GARCH Models”, Journal of Business and Economic Statistics, 20, 350.
  • Erkılıç, Serdar (2006), Türkiyede Cari Açığın Belirleyicileri, TCMB Uzmanlık Yeter- lilik Tezi.
  • Glick, Reuven and Kenneth Rogoff (1993), “Global Versus Country-Specific Pro- ductivity Shocks and the Current Account”, International Finance Discussion
  • Papers, The Federal Reserve Board, Nu:443, 1-49. Gülzar, Saqip, Hui Xiao Feng and Wang Yajie (2007), “The Current Account
  • Balance of Pakistan 1972 – 2005: A Cointegrasyon”, Information Technol- ogy Journal, 6, (5), 664 – 71.
  • Herwartz, Helmut and Florian Siedenburg (2007), “Determinants of Current Ac- count Imbalancesin 16 OECD Countries: An Out-Of-Sample Perspective”,
  • Review of World Economics,143, (2), 349 – 74. Hoque, Asraul (1995), “Co-integrating Relationship Between Terms of Trade and Current Account Deficit: The Australian Evidence”, Applied Economics Letters, , (4), 130 – 3.
  • Islam, M. Faizul (1998) “Brazil's Twin Deficits: An Empirical Examination”, Atlantic
  • Economic Journal, 26, (2), 121 – 28. Kasman, Adnan, Evrim Turgutlu ve Gonca Konyalı, (2005), "Cari Açık Büyümenin mi Aşırı TL’nin mi Sonucudur?”, İktisat, İşletme ve Finans, 20, (233), 88-98.
  • Kouassi, Eugene et al. (1999), “Temporal Causality and the Dynamic İnteractions
  • Between Terms of Trade and Current Account Deficits in Co-integrated VAR Processes: Further Evidence from Ivorian Time Series”, Applied Economics, , 89 – 96. Milhoj, A.(1987),”A Conditional Variance Model for Daily Deviations of An Ex- change Rate”, Journal of Business and Economic Statistics, 5 (1), 99-103.
  • Minovic, J.(2008), “Application and Diagnostic Checking of Univariate and Mul- tivariate GARCH Models in Serbian Financial Market”, Original Paper, 40, 87.
  • Özatay, Fatih (2006), “Cari İşlemler Dengesine İlişkin İki Yapısal Sorun ve Mikro
  • Reform Gereği”, Uluslararası Ekonomi ve Dış Ticaret Politikaları, 1, (1), , 38-50. Parikh, Ashok and Bill Rao (2006), “Do Fiscal Deficits Influence Current Ac- counts? A Case Study of India”, Review of Development Economics, 10, (3), –505.
  • Seater, John J. (1993), “Ricardian Equivalence”, Journal of Economic Literature, , (1), 142-90.
  • Saleh, Ali Salman, Mahendhiran Nair and Tikiri Agalewatte (2005), “The Twin
  • Deficits Problem in Sri Lanka: An Econometric Analysis”, South Asia Economic Journal, 6, (2), 221-39. Samson, Kwalingana, and Nkuna Onelie (2009), “The Determinants of Current
  • Account Imbalances in Malawi”, Munich Personal RePEc Archive Paper, No:14694, 1-23.
  • TCMB, Yıllık Raporlar, 2000 – 2008.
  • TCMB (2008), Ödemeler Dengesi Raporu,2008 – IV.
  • TCMB (2009), 2009Yılı Ocak – Şubat Dönemi Ödemeler Dengesi Gelişmeleri.
  • Tse, Y.K. (2000),” A Test for Constant Correlations in A Multivariate GARCH
  • Model”, Journal of Econometrics, 98, 107-127. Utkulu, Utku (2003), “Türkiye’de Bütçe Açıkları ve Dış Ticaret Açıkları Gerçekten
  • İkiz mi?”, D.E.Ü.İ.İ.B.F.Dergisi,18, (1), 45-61. Yamak Rahmi ve Abdurrahman Korkmaz (2005), “Reel Döviz Kuru ve Dış Ticaret
  • Dengesi İlişkisi”, İstanbul Üniversitesi Ekonometri ve İstatistik Dergisi, 2, 11-29. Yılmaz, Ömer ve Vedat Kaya (2007), “İhracat, İthalat ve Reel Döviz Kuru İlişkisi:

TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME

Yıl 2009, Cilt: 1 Sayı: 84, 135 - 172, 01.07.2009

Öz

Kaynakça

  • Akbostancı, Elif and Gül İpek Tunç (2002), “Turkish Deficits: An Error Correction
  • Model of Trade Balance, ERC Working Papers in Economics, 01/06, 1-18. Aqueel, Anjum and Mohammed, Nishat (2000), “The Twin Deficits Phenomenon:
  • Evidence from Pakistan”, The Pakistan Development Review, 39, 535 – 50. Aristovnik, Aleksander (2007), Short and Medium Term Determinants of Current
  • Account Balances in Middle and North Africa Countries, William Davidson Institute Working Paper, Nu:862, 1- 22. Barro, Robert (1974), “Are Government Bonds Net Wealth?”, The Journal of
  • Political Economy, 82, (6), 1095-1117.
  • Bauwens, L., Laurent, S. and Rombouts, J.V.K. (2006), “Multivariate GARCH
  • Models: A Survey”, Journal of Applied Econometrics, 21, 79-109. Bitzis, Grigorios, John M. Paleologos and Christos Papazoglou (2008), “The
  • Determinants of the Greek Current Account Deficit: The EMU Experience”, Journal of International and Global Economic Studies, 1, (1), 105-12. Bartolini, Leonardo and Amartya Lahiri (2006), “Twin Deficits, Twenty Years
  • Later” Current Issues in Economics and Finance, 12, (7), 1–7. Boileau, Martin and Michel Normandin (2008), “Do Tax Cuts Generate Twin
  • Deficits? A Multi-Country Analysis”, CIRPÉE Working Paper, 08-32, 1-37. Bollerslev, T.(1986),”Generalised Autoregressive Conditional Heteroscedasticity”,
  • Journal of Econometrics, 31, 307–327. Bollerslev, T. (1990),” Modelling the Coherence in Short-Run Nominal Exchange
  • Rate: A Multivariate Generalized ARCH Approach”, Review of Economics and Statistics,72, 498–505. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), “A Capital Asset Pricing
  • Model with Time Varying Covariance”, Journal of Political Economy, 96, –131. Bollerslev, T. , R.Y. Chou and K.F. Kroner (1992), “ARCH Modeling in Finance:
  • A Review of the Theory and Empirical Evidence”, Journal of Econometrics, , 5-59. Bollerslev, T. (1987),” A Conditionally Heteroskedastic Time Series Model for
  • Speculative Prices and Rates of Return”, The Review of Economics and Statis- tics, 23, 542-547. Bozkurt, Hilal (2009), Türkiye’de Doğrudan Yabancı Yatırımların Belirleyicileri
  • Üzerine Bir Analiz: CCC-MGARCH Modeli İle Tahmin”, ODTÜ Gelişme Der- gisi (yayına kabul edildi). Bussière, Matthieu, Marcel Fratzscher and Gernot J. Müller (2005), “Productivity
  • Shocks Budget Deficit and the Current Account”, Working Paper Series, European Central Bank, No. 509, 1-32. Chinn, Menzie D. and Eswar S. Prasad (2003), “Medium-term determinants of current accounts in industrial and developing countries: An empirical explo- ration” Journal of International Economics, 59, 47–76.
  • Chinn, Menzie D. and Hiro, Ito (2005), “Current Account Balances Financial
  • Development and Institutions: Assaying the World Savings Glut”, NBER Working Paper, No. 11761, 1-43.
  • Chinn, Menzie D. and Hiro Ito (2008), “Global Current Account Imbalances:
  • American Fiscal Policy versus East Asian Savings”, Review of International Economics, 16, (3), 479 – 98. Chowdhury, Khorshed and Ali Salman Saleh (2007), “Testing the Keynesian
  • Proposition of Twin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka”, University of Wollongong Economics Working Paper Series, WP 07-09, 1-33. Calderón, César, Alberto Chong and Norman Loayza (1999), “Determinants of
  • Current Account Deficits in Developing Countries”, Working Papers, Central Bank of Chile, No:51, 1-41. DPT (2008), Uluslararası Ekonomik Göstergeler.
  • Drost, F.C. and T. Nijman (1991), “Temporal Aggregation of GARCH Proc- esses”, Econometrica, 61 (4), 909-1027.
  • Engle, R.F. and K.F. Kroner (1995),”Multivariate Simultaneous Generalized
  • ARCH”, Econometric Theory, 11, 122–150. Engle, R.F.(1982),”Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987–1007.
  • Engle, R.F. (1983),” Estimates of the Variance of U.S. Inflation Based upon the ARCH Model”, Journal of Money, Credit and Banking, 15, 286-301.
  • Engle, R.F. (ed.)(1995), ARCH. Selected Readings, Oxford: Oxford University Pres.
  • Engle, R.F. (2002), “Dynamic Conditional Correlation-A Simple Class of Multi- variate GARCH Models”, Journal of Business and Economic Statistics, 20, 350.
  • Erkılıç, Serdar (2006), Türkiyede Cari Açığın Belirleyicileri, TCMB Uzmanlık Yeter- lilik Tezi.
  • Glick, Reuven and Kenneth Rogoff (1993), “Global Versus Country-Specific Pro- ductivity Shocks and the Current Account”, International Finance Discussion
  • Papers, The Federal Reserve Board, Nu:443, 1-49. Gülzar, Saqip, Hui Xiao Feng and Wang Yajie (2007), “The Current Account
  • Balance of Pakistan 1972 – 2005: A Cointegrasyon”, Information Technol- ogy Journal, 6, (5), 664 – 71.
  • Herwartz, Helmut and Florian Siedenburg (2007), “Determinants of Current Ac- count Imbalancesin 16 OECD Countries: An Out-Of-Sample Perspective”,
  • Review of World Economics,143, (2), 349 – 74. Hoque, Asraul (1995), “Co-integrating Relationship Between Terms of Trade and Current Account Deficit: The Australian Evidence”, Applied Economics Letters, , (4), 130 – 3.
  • Islam, M. Faizul (1998) “Brazil's Twin Deficits: An Empirical Examination”, Atlantic
  • Economic Journal, 26, (2), 121 – 28. Kasman, Adnan, Evrim Turgutlu ve Gonca Konyalı, (2005), "Cari Açık Büyümenin mi Aşırı TL’nin mi Sonucudur?”, İktisat, İşletme ve Finans, 20, (233), 88-98.
  • Kouassi, Eugene et al. (1999), “Temporal Causality and the Dynamic İnteractions
  • Between Terms of Trade and Current Account Deficits in Co-integrated VAR Processes: Further Evidence from Ivorian Time Series”, Applied Economics, , 89 – 96. Milhoj, A.(1987),”A Conditional Variance Model for Daily Deviations of An Ex- change Rate”, Journal of Business and Economic Statistics, 5 (1), 99-103.
  • Minovic, J.(2008), “Application and Diagnostic Checking of Univariate and Mul- tivariate GARCH Models in Serbian Financial Market”, Original Paper, 40, 87.
  • Özatay, Fatih (2006), “Cari İşlemler Dengesine İlişkin İki Yapısal Sorun ve Mikro
  • Reform Gereği”, Uluslararası Ekonomi ve Dış Ticaret Politikaları, 1, (1), , 38-50. Parikh, Ashok and Bill Rao (2006), “Do Fiscal Deficits Influence Current Ac- counts? A Case Study of India”, Review of Development Economics, 10, (3), –505.
  • Seater, John J. (1993), “Ricardian Equivalence”, Journal of Economic Literature, , (1), 142-90.
  • Saleh, Ali Salman, Mahendhiran Nair and Tikiri Agalewatte (2005), “The Twin
  • Deficits Problem in Sri Lanka: An Econometric Analysis”, South Asia Economic Journal, 6, (2), 221-39. Samson, Kwalingana, and Nkuna Onelie (2009), “The Determinants of Current
  • Account Imbalances in Malawi”, Munich Personal RePEc Archive Paper, No:14694, 1-23.
  • TCMB, Yıllık Raporlar, 2000 – 2008.
  • TCMB (2008), Ödemeler Dengesi Raporu,2008 – IV.
  • TCMB (2009), 2009Yılı Ocak – Şubat Dönemi Ödemeler Dengesi Gelişmeleri.
  • Tse, Y.K. (2000),” A Test for Constant Correlations in A Multivariate GARCH
  • Model”, Journal of Econometrics, 98, 107-127. Utkulu, Utku (2003), “Türkiye’de Bütçe Açıkları ve Dış Ticaret Açıkları Gerçekten
  • İkiz mi?”, D.E.Ü.İ.İ.B.F.Dergisi,18, (1), 45-61. Yamak Rahmi ve Abdurrahman Korkmaz (2005), “Reel Döviz Kuru ve Dış Ticaret
  • Dengesi İlişkisi”, İstanbul Üniversitesi Ekonometri ve İstatistik Dergisi, 2, 11-29. Yılmaz, Ömer ve Vedat Kaya (2007), “İhracat, İthalat ve Reel Döviz Kuru İlişkisi:
Toplam 53 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Yazarlar

Doç. Dr. Seyfettin Erdoğan Bu kişi benim

Yrd. Doç. Dr. Hilal Bozkurt Bu kişi benim

Gönderilme Tarihi 19 Aralık 2015
Yayımlanma Tarihi 1 Temmuz 2009
Yayımlandığı Sayı Yıl 2009 Cilt: 1 Sayı: 84

Kaynak Göster

APA Erdoğan, D. D. S., & Bozkurt, Y. D. D. H. (2009). TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME. Maliye ve Finans Yazıları, 1(84), 135-172.
AMA Erdoğan DDS, Bozkurt YDDH. TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME. Maliye ve Finans Yazıları. Temmuz 2009;1(84):135-172.
Chicago Erdoğan, Doç. Dr. Seyfettin, ve Yrd. Doç. Dr. Hilal Bozkurt. “TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME”. Maliye ve Finans Yazıları 1, sy. 84 (Temmuz 2009): 135-72.
EndNote Erdoğan DDS, Bozkurt YDDH (01 Temmuz 2009) TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME. Maliye ve Finans Yazıları 1 84 135–172.
IEEE D. D. S. Erdoğan ve Y. D. D. H. Bozkurt, “TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME”, Maliye ve Finans Yazıları, c. 1, sy. 84, ss. 135–172, 2009.
ISNAD Erdoğan, Doç. Dr. Seyfettin - Bozkurt, Yrd. Doç. Dr. Hilal. “TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME”. Maliye ve Finans Yazıları 1/84 (Temmuz2009), 135-172.
JAMA Erdoğan DDS, Bozkurt YDDH. TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME. Maliye ve Finans Yazıları. 2009;1:135–172.
MLA Erdoğan, Doç. Dr. Seyfettin ve Yrd. Doç. Dr. Hilal Bozkurt. “TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME”. Maliye ve Finans Yazıları, c. 1, sy. 84, 2009, ss. 135-72.
Vancouver Erdoğan DDS, Bozkurt YDDH. TÜRKİYE’DE CARİ AÇIĞIN BELİRLEYİCİLERİ: MGARCH MODELLERİ İLE BİR İNCELEME. Maliye ve Finans Yazıları. 2009;1(84):135-72.

Maliye ve Finans Yazıları dergisinin kapsamını ekonomi, maliye, finans ve bankacılık alanlarındaki çalışmalar oluşturmaktadır.