International Business Cycle Spillover Effects and Counter-Cyclical Monetary Policy

Öz

In the first phase of this study the international spillover of economic fluctuations is investigated by Diebold and Yılmaz (2009) Spillover Index method. In the second stage of the study, the state asymmetry of the monetary policy has been tested by Markov Regime Switching method. According to the Spillover Index findings, 48% of economic shocks affecting the Turkey caused by external shocks. The economic fluctuations that occurred in Turkey are originated 12,5% from South Korea, 8.4% from US, 6.4% from Japan, 4.5% from Greece and 3.2% from the Spanish Economy. According to these results, the economic conditions of these countries are leading indicators for the Turkish Economy. Markov Regime Switching model findings show that Turkish Economy grows 1.82% on an average in the expansion, shrinks 3.38% on an average in the contraction and an increase in the exchange rate slows the economic growth in Turkey. Finally obtained econometric evidence shows that CBRT can bring real effect in expansion regime but not create real impact in the fight against recession.

Anahtar Kelimeler

• Spillover Effect
• Counter-cyclical Monetary Policy
• Monetary Policy Asymmetry
• Non-Linear Time Series

Türkiye’de Uluslararası İktisadi Dalgalanmaların Yayılma Etkisi ve Konjonktür Karşıtı Para Politikası

Öz

Bu çalışmanın ilk aşamasında Diebold ve Yılmaz (2009) Yayılma Endeksi yöntemi ile iktisadi dalgalanmaların uluslararası yayılımı incelenmiştir. Çalışmanın ikinci aşamasında ise para politikasının durum asimetrisi Markov Rejim Değişimi yöntemi ile test edilmiştir. Yayılım Endeksi bulgularına göre, Türkiye’yi etkileyen şokların %48’i dış kaynaklıdır. Türkiye’de meydana gelen iktisadi dalgalanmaların %12,5’i Güney Kore’den, %8,4’ü ABD’den, %6,4’ü Japonya’dan, %4,5’i Yunanistan’dan ve %3,2’si ise İspanya ekonomisinden kaynaklanmaktadır. Bu sonuçlara göre, bu ülkelerin iktisadi koşulları, Türkiye ekonomisi için bir öncü gösterge niteliğindedir. Markov Rejim Değişimi modeli bulguları ise, Türkiye ekonomisinin büyüme rejiminde ortalama %1,82 büyüdüğünü, daralma rejiminde ortalama %3,38 küçüldüğünü ve döviz kurundaki artışların büyümeyi yavaşlattığını göstermektedir. Son olarak TCMB’nin, genişleme rejiminde reel etki meydana getirebildiği ancak durgunluk ile mücadelede reel etki yaratamadığına dair ekonometrik kanıtlar elde edilmiştir.

Anahtar Kelimeler

• Yayılma Etkisi
• Konjonktür Karşıtı Para Politikası
• Para Politikası Asimetrisi
• Doğrusal Olmayan Zaman Serileri

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