MACROECONOMIC VULNERABILITY AND TRADE: EVIDENCE FROM ARDL BOUNDS TEST AND TODA-YAMAMOTO CAUSALITY ANALYSIS

Yıl 2024, Cilt: 12 Sayı: Özel Sayı, 235 - 252, 31.12.2024

Selin Kaya , Canan Şentürk

https://doi.org/10.52122/nisantasisbd.1548657

Öz

The study aims to examine the relationship between macroeconomic vulnerability and foreign trade for the Turkish economy, which is among both developing and fragile economies, in the period 1994-2022. In this regard, first of all, a macroeconomic vulnerability index for Turkey is calculated based on the six leading indicators defined for developing economies in the FED (2014) monetary policy report. The relationship between macroeconomic vulnerability index and foreign trade is tested with the ARDL Bounds Test approach and Toda-Yamamoto causality analysis. According to the ARDL Bounds Test findings, there is a statistically significant relationship between the macroeconomic vulnerability index and both export and import variables in the long term. The error correction coefficient also shows that deviations from equilibrium in the short term will converge to the long-term equilibrium and re-balance after 1.03 years. Toda-Yamamoto causality analysis findings also support the ARDL results. One-way causality is observed from exports to macroeconomic vulnerability. In addition, bidirectional causality is detected between both macroeconomic vulnerability and imports, and between exports and imports.

Anahtar Kelimeler

Macroekonomik vulnerability, export, import, ARDL bounds test, causality analysis

MAKROEKONOMİK KIRILGANLIK VE DIŞ TİCARET: ARDL SINIR TESTİ VE TODA-YAMAMOTO NEDENSELLİK ANALİZİNDEN KANITLAR

Öz

Bu çalışmada, hem gelişmekte olan, hem de kırılgan ekonomiler arasında yer alan Türkiye ekonomisi için 1994-2022 yılları arasında makroekonomik kırılganlık ve dış ticaret arasındaki ilişkinin incelenmesi amaçlanmaktadır. Bu doğrultuda öncelikle 2014 yılı FED para politikası raporunda gelişmekte olan ekonomiler için tanımlanan altı öncü göstergeye dayalı olarak Türkiye için bir makroekonomik kırılganlık endeksi hesaplanmaktadır. Makroekonomik kırılganlık endeksi ve dış ticaret arasındaki ilişki ARDL Sınır Testi yaklaşımı ve Toda-Yamamoto nedensellik analizi ile sınanmaktadır. ARDL sınır testi bulgularına göre, makroekonomik kırılganlık endeksi ile uzun dönemde hem ihracat hem de ithalat değişkeni arasında istatistiki açıdan anlamlı bir ilişki vardır. Hata düzetme katsayısı da kısa dönemde dengeden sapmaların, 1,03 yıl sonra uzun dönem dengesine yakınsayarak yeniden dengeye geleceğini göstermektedir. Nedensellik bulguları da ARDL sonuçlarını desteklemektedir. İhracattan makroekonomik kırılganlığa doğru tek yönlü nedensellik gözlenirken; hem makroekonomik kırılganlık ve ithalat, hem de ihracat ve ithalat arasında çift yönlü nedensellik tespit edilmektedir.

Anahtar Kelimeler

makroekonomik kırılganlık, ihracat, ithalat, ARDL sınır testi, Nedensellik Analizi

Kaynakça

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