Azerbaycan’da Makroekonomik Değişkenlerin Finansal Gelişim Üzerindeki Etkisi: 2015 Devalüasyonu Çerçevesinde A-ARDL Yaklaşımı

Öz

Bu çalışma, Azerbaycan’da kişi başına düşen Gayrisafi yurtiçi hasıla (GSYİH), para arzı, brüt sabit sermaye oluşumu, enflasyon ve mevduat faiz oranlarının finansal gelişme üzerindeki etkilerini, 2015 yılında yaşanan devalüasyon sürecini dikkate alınarak incelemektedir. Çalışmada 2000-2023 dönemine ait 24 yıllık veriler kullanılmış ve değişkenler arasındaki uzun dönem ilişkiler, Genişletilmiş ARDL (Augmented AutoRegressive Distributed Lag) Modeli ile analiz edilmiştir. 2015 yılındaki döviz krizi etkisini modele yansıtmak amacıyla kukla değişken dahil edilmiştir. Değişkenlerin durağanlık düzeyleri hem geleneksel ADF (Augmented Dickey-Fuller) testi hem de yapısal kırılmaları dikkate alan Kesirli Esnek Fourier ADF ((Fractional Flexible Fourier ADF) testi ile incelenmiş ve serilerin farklı seviyelerde durağan oldukları belirlenmiştir. Analiz sonucunda değişkenler arasında uzun dönemli bir eşbütünleşme ilişkisi tespit edilmiştir. Uzun dönem A-ARDL bulgularına göre, para arzı dışındaki tüm bağımsız değişkenlerin finansal gelişme üzerinde istatistiksel olarak anlamlı etkileri bulunmaktadır. GSYİH ve brüt sermaye oluşumunun finansal gelişmeyi pozitif yönde etkilediği, enflasyon ve mevduat faiz oranlarının ise olumsuz etkide bulunduğu belirlenmiştir.

Anahtar Kelimeler

• Genişletilmiş ARDL
• Finansal Gelişme
• 2015 Devalüasyonu
• Ekonomik büyüme

The Impact of Macroeconomic Variables on Financial Development in Azerbaijan: A-ARDL Approach in the Context of 2015 Devaluation

Öz

This study examines the effects of per capita GDP, money supply, gross fixed capital formation, inflation, and deposit interest rates on financial development in Azerbaijan, taking into account the devaluation process that occurred in 2015. The study utilizes 24 years of data covering the period from 2000 to 2023, and analyzes the long-run relationships among the variables using the Augmented ARDL A-ARDL) model. To reflect the impact of the 2015 currency crisis, a dummy variable is included in the model. The stationarity levels of the variables are examined using both the traditional ADF test and the FFFADF test, which accounts for structural breaks, and it is determined that the series are stationary at different levels. The results of the analysis reveal a long-run cointegration relationship among the variables. According to the long-term A-ARDL findings, all independent variables except money supply have statistically significant effects on financial development. It is found that GDP and gross capital formation positively influence financial development, while inflation and deposit interest rates have negative effects.

Anahtar Kelimeler

• Auugmented ARDL
• Financial Development
• 2015 Devaluation
• Economic Growth

Kaynakça

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