Examining The Impact of Inflation on Financial Development in The Fragile Five Economies with Asymmetric Cointegration Tests

Yıl 2024, , 37 - 45, 30.07.2024

Yunus Gülcü

https://doi.org/10.17233/sosyoekonomi.2024.03.03

Öz

This study examines the relationship between inflation and financial development indicators for the Fragile Five countries between 1981 and 2021. The study analysed the relationship between symmetric and asymmetric distributed lag regression models. Inflation appears to have a negative impact on financial development in countries other than Brazil and India. The results prove that the most extended correction process was experienced in India, and the shortest was experienced in Indonesia among the Fragile Five countries. Research results emphasise that high inflation negatively affects financial development in these economies by increasing the cost of financial intermediation.

Anahtar Kelimeler

Financial Development, Inflation Rate, Asymmetric Cointegration

Kırılgan Beşli Ekonomilerinde Enflasyonun Finansal Gelişme Üzerine Etkisinin Asimetrik Eşbütünleşme Testleri ile İncelenmesi

Öz

Bu çalışmanın amacı kırılgan beşli ülkeler için 1981-2021 yılları arasında enflasyon ile finansal gelişme göstergeleri arasındaki ilişkiyi incelemektir. Çalışmada söz konusu ilişki simetrik ve asimetrik gecikmesi dağıtılmış regresyon modelleriyle analiz edilmiştir. Bulgular, Hindistan dışındaki kırılgan beşli ülkelerinde enflasyonun finansal gecikme üzerinde asimetrik etkisi olduğunu ortaya koymaktadır. Enflasyonun Brezilya ve Hindistan dışındaki ülkelerde finansal gelişme üzerinde olumsuz etkisinin bulunduğu görülmektedir. Sonuçlar Kırılgan beşli ülkelerinde en uzun düzeltme sürecinin Hindistan'da, en kısa düzeltme sürecinin ise Endonezya'da yaşandığına yönelik kanıtlar sunmaktadır. Araştırma sonuçları, yüksek enflasyonun finansal aracılığın maliyetini artırarak bu ekonomilerdeki finansal gelişmeyi olumsuz etkilediğini vurgulamaktadır.

Anahtar Kelimeler

Finansal Gelişme, Enflasyon Oranı, Asimetrik Eşbütünleşme

Kaynakça

• Abbey, E.N. (2012), “Inflation and financial development: Evidence”, American Journal of Economics and Business Administration, 4(4), 227-236.
• Alimi, S. (2014), “DOLS Cointegration Vector Estimation of the Effect of Inflation and Financial Deepening on Output Growth in Nigeria”, Munich Personal RePEc Archive 2014/57182.
• Almalki, A.M. & K.I. Batayneh (2015), “The relationship between inflation and financial development in Saudi Arabia”, The Journal of Developing Areas, 49(6), 321-332.
• Ang, J.B. & W.J. McKibbin (2007), “Financial liberalization, financial sector development and growth: evidence from Malaysia”, Journal of Development Economics, 84(1), 215-233.
• Bandura, W.N. (2020), “Inflation and Finance-Growth Nexus in Sub-Saharan Africa”, Journal of African Business, 23(2), 1-13.
• Batayneh, K. et al. (2021), “The impact of inflation on the financial sector development: empirical evidence from Jordan”, in: D. McMillan (ed.), Cogent Economics and Finance, Vol. 9 No. 1, 1970869.
• Bittencourt, M. (2008), “Inflation and financial development: Evidence from Brazil”, United Nations University, Research Paper No: 2008/14.
• Bittencourt, M. (2011), “Inflation and financial development: Evidence from Brazil”, Economic Modelling, 28(1-2), 91-99.
• Boyd, J.H. et al. (1996), “Inflation and Financial Market Performance”, Federal Reserve Bank of Minneapolis Research Department Research Paper, 9617/1996.
• Cuadro, L. et al. (2003), Why do countries develop more financially than others? The role of the central bank and banking supervision, <http://www.cass.city.ac.uk/conferences/emg_finance/Papers/Cuadro_Gallego_GarciaHerrero.pdf>, 25.05.2023.
• Dar, M.H. & M.Z. Nain (2024), “Does inflation affect asymmetrically to financial development in India? Fresh insights based on NARDL approach”, International Journal of Social Economics, 51(4), 515-529.
• Dickey, D. & W. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series With A Unit Root”, Econometrica, 49, 1057-1072.
• Ehigiamusoe, K.U. et al. (2022), “Revisiting the role of inflation in financial development: unveiling non-linear and moderating effects”, Asia-Pacific Journal of Business Administration, 14(3), 380-401.
• English, W.B. (1999), “Inflation and financial sector size”, Journal of Monetary Economics, 44(3), 379-400.
• Haslag, J.H. & J. Koo (1999), “Financial repression, financial development and economic growth”, Federal Reserve Bank of Dallas, Working Paper No: 9902.
• Huybens, E. & B.D. Smith (1999), “Inflation, financial markets and long-run real activity”, Journal of Monetary Economics, 43, 283-315.
• Kayhan, S. et al. (2013), “Interest rates and exchange rate relationship in BRIC-T countries”, Ege Academic Review, 13(2), 227-236.
• Keho, Y. (2010), “Effect of Financial Development on Economic Growth: Does Inflation Matter? Time Series Evidence from the UEMOA Countries”, International Economic Journal, 24(3), 343-355.
• Khan, M. et al. (2006), “Inflation and Financial Depth”, Macroeconomic Dynamics, 10(2), 165-182.
• Kim, D.H. & S.C. Lin (2010), “Dynamic Relationship Between Inflation and Financial Development”, Macroeconomic Dynamics, 14(3), 343-364.
• Levine, R. (1997), “Financial development and economic growth: views and agenda”, Journal of Economic Literature, 35(2), 688-726.
• Lynch, D. (1996), “Measuring financial sector development: A study of selected Asia-Pacific countries”, The Developing Economies, 34(1), 3-33.
• Naceur, S.B. & S. Ghazouani (2005), “Does Inflation Impact on Financial Sector Performance in the MENA Region?”, Review of Middle East Economics and Finance, 3(3), 219-229.
• Odhiambo, N.M. (2012), “The impact of inflation on financial sector development: Experience from Zambia”, Journal of Applied Business Research (JABR), 28(6), 1497-1508.
• Özek, Y. & H.O. Ergür (2020), “Kırılgan Beşli Ülkelerinde Finansal Yakınsamanın Birim Kök Testleri İle Analizi”, Kesit Akademi Dergisi, (23), 237-245.
• Phillips, P. & P. Pierre (1988). “Testing For A Unit Root in Time Series Regressions”, Biometrica, 75(2), 335-346.
• Raheem, I.D. & M.A. Oyinlola (2015), “Financial development, inflation and growth in selected West African countries”, International Journal of Sustainable Economy, 7(2), 91-99.
• Rousseau, P. & H. Yılmazkuday (2009), “Inflation, Financial Development And Growth: A Trilateral Analysis”, Economic System, 33(4), 310-324.
• Rousseau, P. & P. Wachtel (2011), “What Is Happening to the Impact of Financial Deepening On Economic Growth?”, Economic Inquiry, 49(1), 276-288.
• Sahay, R. et al. (2015), “Rethinking financial deepening: Stability and growth in emerging markets”, Revista de Economía Institucional, 17(33), 73-107.
• Shin, Y. et al. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, in: R.C. Sickles & W.C. Horrace (eds.), Festschrift in Honor of Peter Schmidt Econometric Methods and Applications (281-314), Springer, New York, NY.
• Stefani, P. (2007), “Financial development and economic growth in Brazil: 1986-2006”, Economics Bulletin, 3(69), 1-13.
• Türkmen, S. & T. Ağır (2020), “Enflasyon ile finansal gelişme ilişkisi: yüksek ve düşük enflasyonlu ülkeler üzerine ampirik kanıtlar”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13(3), 577-592.