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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
Bölüm Makaleler
Yazarlar

Doç. Dr. Seyfettin Erdoğan Bu kişi benim

Yrd. Doç. Dr. Hilal Bozkurt Bu kişi benim

Yayımlanma Tarihi 1 Temmuz 2009
Gönderilme Tarihi 19 Aralık 2015
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.

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.