Hisse Senetleri, Banka Kredileri ve Ekonomik Büyüme İlişkisi: Türkiye Örneği

Öz

Finansal gelişme ile ekonomik büyüme ilişkisi, literatürde ilgi gören konuların başında gelmektedir. Bu çalışmada, Türkiye ekonomisinde hisse senedi, banka kredileri ve ekonomik büyüme arasındaki ilişki 1998:01-2013:02 dönemleri için araştırılmıştır. Değişkenlerin durağanlığı Lumsdaine ve Papell 1997 ve Lee ve Strazicich 2003 testleri ile sınandıktan sonra, değişkenler arasındaki uzun dönemli ilişki Hatemi-J 2008 eşbütünleşme testi ile incelenmiştir. Hisse senetleri, banka kredileri ve ekonomik büyüme arasında çoklu yapısal kırılmalar altında uzun dönemli ilişkilerin olduğu tespit edilmiştir. Toda-Yamamoto 1995 nedensellik test sonuçlarına göre ise, banka kredilerinden hisse senetlerine, hisse senetlerinden ekonomik büyümeye doğru tek yönlü nedensellik ilişkisi bulunmaktadır. Elde edilen sonuçlar, banka kredilerinin ekonomik büyümeyi doğrudan etkilemediğini ancak hisse senetleri üzerinden dolaylı olarak ekonomik büyümeyi etkilediğini göstermektedir.

Anahtar Kelimeler

• Hisse Senetleri,Banka Kredileri,Ekonomik Büyüme,Çoklu

Stock Markets, Bank Loans and Economic Growth Relationship: The Case of Turkey

Öz

Relationship between financial development and economic growth is one of the popular topics in the literature. In this study, the relationship between stocks, bank loans and economic growth for the period between 1998:01 and 2013:02 are investigated for Turkish economy. We test whether variables are stationary by using Lumsdaine and Papell 1997 and Lee and Strazicich 2003 unit root tests. After unit root test, long term relationship between variables are tested with Hatemi-J 2008 cointegration tests. Long-term relationships under multiple structural breaks are identified between stocks, bank loans and economic growth According to the result of Toda-Yamamoto 1995 causality tests, there is unidirectional causality relationship from bank loans to stocks, and from stocks to economic growth. Obtained results, show that bank loans do not directly affect economic growth, but indirectly affect economic growth via stocks

Anahtar Kelimeler

• Stock Markets, Bank Credits, Economic Growth, Multiple Structural Break, Cointegration

Kaynakça

1. Acaravcı, A., İ. Ozturk and S.A. Kakilli (2007), “Finance-Growth Nexus: Evidence from Turkey”, International Research Journal of Finance and Economics, Issue:11, p.30-40.
2. Altıntaş, H. ve F. Tombak (2011), “Türkiye’de Hisse Senedi Fiyatları ve Makro Ekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi: 1987-2008”, Anadolu Üniversitesi Ekonomi Kongresi II, s.1- 21.
3. Antonios, A. (2010a), “Financial Development and Economic Growth a Comparative Study Between 15 European Union Member-States”, International Research Journal of Finance and Economics, Issue:35, p.143-149.
4. Antonios, A. (2010b), “Stock Market and Economic Growth: An Empirical Analysis for Germany” Business and Economics Journal, Volume 2010, BEJ:1, p.1-12.
5. Arestis, P., P.O. Demetriades and K.B. Luintel (2001) “Financial Development and Economic Growth: The Role of Stock Markets”, Journal of Money, Credit and Banking, Vol:33, No:1, p.16-41.
6. Aslan, O. ve H.L. Korap (2006), “Türkiye’de Finansal Gelişme Ekonomik Büyüme İlişkisi”, Muğla Üniversitesi Sosyal Bilimler Dergisi, Güz, (17), s.1-20.
7. Beck, T. and R. Levine (2004), “Stock Markets, Banks, and Growth: Panel Evidence” Journal of Banking and Finance, Vol.28, p.423–442.
8. Ben-David, D., R.L. Lumsdaıne and D.H. Papell; (2003), “Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks”, Empirical Economics, Vol.28(2), p.303- 319.

9. Ben Naceur, S. and S. Ghazouani, (2003), “Stock Markets, Banks, and Growth in Some Mena Region countries”, Economic Research Forum, Available from: http://erf.org.eg/CMS/uploads/pdf/1184762819_Bennaceur_Ghazouan i.pdf, 20.09.2014.
10. Ben Naceur, S. and S. Ghazouani, (2007), “Stock Markets, Banks, and Economic Growth: Empirical Evidence from the MENA Region”, Research in International Business and Finance, Vol: 21, p.297-315.
11. Bozoklu, Ş. ve V. Yılancı, (2013), “Finansal Gelişme ve İktisadi Büyüme Arasındaki Nedensellik: Gelişmekte Olan Ekonomiler İçin Analiz”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol:28(2), s.161-187.
12. Cevanaile, L., C. Gengenbach and F. Palm, (2011) “Stock Markets, Banks and Long run Economic Growth: A Panel Cointegration-Based Analysis” CREPP Working Paper Series, No:2011/02.
13. Ceylan, S. ve M. Durkaya (2010), “Türkiye’de Kredi Kullanımı- Ekonomik Büyüme İlişkisi”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, C:24(2), s.21-35.
14. Demirguc-Kunt A. and R. Levine (1996), “Stock Markets Corporate Finance and Economic Growth: An Overview”, World Bank Economic Review, Vol:10(2), p. 223-240.
15. Elmas, B., İ. Göçer ve H. Aksu (2011), “İmkb Performansı- Ekonomik Büyüme Oranı Arasındaki İlişki: 1998:Ç1-2010:Ç3 Dönemi”, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Vol.22, s.152- 167.
16. Engle, R.F., and C.W.J. Granger, (1987), “Cointegration and Error Correction: Representation, Estimation, and Testing”, Econometrica, Vol: 55, p.251-276.
17. Granger, C.W.J. (1969) “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica: Journal of the Econometric Society, Vol:37(3), p.424-438.
18. Hatemi-J, A. (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, Volume:35, p.497-505.
19. Ibrahim, M. H. (2006), “Stock Prices and Bank Loan Dynamics in a Developping Country: The Case of Malaysia”, Journal of Applied Economics, Vol:9, No:1, p. 71-89.
20. Ibrahim, M. H. (2008), “Stock Prices and Dynamics of Aggregate Investment: Evidence from Malaysia”, International Journal of Economics and Management, Vol.2(2), 2008, p.207-219.
21. Johansen, S., (1988), “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, Vol:12, p.231–254.
22. Johansen, S., (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian VAR Models”, Econometrica, Vol:59, p.1551– 1580.
23. Karim, B.A., L.S. Lih and Z.A. Karim (2012), “Bank Loans and Stock Prices: An Emprical Evidence”, Aceb International Journal of Social Sciences, Vol:1(2), p.48-52.
24. Kim, S.B. and Moreno, R., (1994), “Stock Prices and Bank Lending Behavior in Japan” Federal Reserve Bank of San Francisco Economic Review 1, p.31–42.
25. King, R. G. and R. Levine (1993), “Finance, Entrepreneurship, and Growth: Theory and Evidence”, Journal of Monetary Economics, 32(3), p.513- 542.
26. Lee, J. and M.C. Strazicich (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, The Review of Economics and Statistics, Vol. 85, No.4, p.1082-1089.
27. Levine, R. (1997), “Financial Development and Economic Growth: Views and Agenda”, Journal of Economic Literature, Vol.35, p.688-726.
28. Levine, R. and S. Zervos (1998), “Stock Markets, Banks, and Economic Growth. American”, Economic Review, Vol.88, p.537–558.
29. Lumsdaine, R.L. and D.H. Papell, (1997), “Multiple Trend Breaks and The Unit Root Hypothesis”, The Review of Economics and Statistics, Vol: 79, No:2, p.212- 218.
30. Odhiambo, N.M. (2010), “Are Banks and Stock Markets Positively Related? Empirical Evidence from South Africa”, The Journal of Applied Business Research, Vol:26, No:6, p.17-26.
31. Özcan, B. ve A. Arı (2011), “Finansal Gelişme ve Ekonomik Büyüme Arasındaki İlişkinin Ampirik Bir Analizi: Türkiye Örneği”, Business and Economics Research Journal, Vol: 2(1), p.121-142.
32. Raza, S.A., S.T. Jawaid and S. Afshan (2013) “Is stock Market Sensitive to Foreign Capital Inflows and Economic Growth? Evidence from Pakistan”, Munich Personal RePEc Archive (MPRA), Paper No:48399, p.1-39.
33. Shahbaz, M., N. Ahmed and L. Ali (2008), “Stock Market Development and Economic Growth: ARDL Causality in Pakistan”, International Research Journal of Finance and Economics, Vol.14, p.182-195.
34. Stiglitz, J. E. (1989), “Markets, Market Failures, and Development” The American Economic Review, Vol:79(2), p.197-203.
35. Toda, H.Y. and T. Yamamoto (1995) “Statistical Inferences in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, Vol:66, p.225-250.
36. Tuna, K. ve H. Bektaş (2013), “Kredi Hacminin Ekonomi Büyüme Üzerindeki Rolünün İncelenmesi: Türkiye Örneği”, Finansal Araştırmalar ve Çalışmalar Dergisi, Vol.5, s.139-150.