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Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures

Yıl 2021, , 127 - 143, 28.04.2021
https://doi.org/10.17233/sosyoekonomi.2021.02.07

Öz

Institutional structure and quality of management are the main elements that form the political risks. Political threats are directly linked to the institutional structure and the institutional design. Political risks increase if the government mechanisms fail. Increasing institutional quality reduces the political risks and positively impacts the financial risks. Monthly data from different indices are used to analyse the relationship between Turkey's political risks and financial risks between 2002 and 2015. According to the Fourier analysis of cointegration, there is a long-term relationship between the political and financial risks. Besides, as per the Fully Modified Ordinary Least Squares (FMOLS) findings and the Dynamic Ordinary Least Squares (DOLS) models, an increase in the political risk increases the financial risk.

Kaynakça

  • Acemoglu, D. & Robinson, J. (2008), “The Role of Institutions in Growth and Development”, Commission on Growth and Development Working Papers, No.10.
  • Aron, J. (2000), “Growth and Institutions: A Review of the Evidence”, The World Bank Research Observer, 15(1), 99-135.
  • Ayaydin, H., Pala, F. & Barut, A. (2016), “Ulke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz”, Global Journal of Economics and Business Studies, Cilt 5, Sayi 10, s. 66-75.
  • Ayaydin, H. & Karaaslan, I. (2014), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: Türk Bankacılık Sektöründe Bir Araştırma”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, Cilt 5, Sayi 10, s.1-28.
  • Beck, T. & Levine, R. (2005), “Legal Institutions and Financial Development”, In Handbook of New Institutional Economics (pp. 251-278), Springer, Boston, MA.
  • Becker, R, Enders, W. & Lee, J. (2006), “A Stationarity Test in The Presence of an Unknown Number Of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Busse, M. & Hefeker, C. (2007), “Political Risk, Institutions and Foreign Direct Investment”, European Journal of Political Economy, 23(2), 397-415.
  • Cam, A. V. (2014), “Politik Riskin Firma Değeri ile İlişkisi: İMKB’ye Kayıtlı Firmalar Üzerinde Bir Uygulama”, Doğus Üniversitesi Dergisi, Cilt 15, Sayı 1, 109-122.
  • Diamonte, R. L., Liew, J. M. and Stevens, R. L. (1996), “Political Risk in Emerging and Developed Markets”, Financial Analysts Journal, 52(3), 71–76.
  • Enders, W. & Lee, J. (2012), “The Flexible Fourier Form and Dickey–Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Engle, R. F. & Granger, C. W. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica: Journal of The Econometric Society, 251-276.
  • Epstein, D. & O'halloran, S. (1999), “Delegating Powers: A Transaction Cost Politics Approach to Policy Making under Separate Powers”, 1.bs., Cambridge: Cambridge University Press.
  • Estache, A. & Wren-Lewis. L. (2009), “Toward a Theory of Regulation for Developing Countries: Following Jean-Jacques Laffont's Lead”, Journal of Economic Literature, c.47, s.3: 729-770.
  • Estache, A. & Martimort, D. (1999), “Politics, Transaction Costs, and the Design of Regulatory Institutions”, World Bank Policy Research Working Papers, No.2073.
  • Fitzsimons, E. & Sun, M. (2012), “An Exploration Of: How Political Risk Components Affect The Stock Return And Volatility Considering Different Countries of Varying Economic Development”, Ekonomihögskolan Lunds Universitet, http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=2628691&fileOId=2628692. Access: 17.07.2020.
  • Hammoudeh, S., Sari, R., Uzunkaya, M., & Liu, T. (2013), “The Dynamics of BRICS's Country Risk Ratings and Domestic Stock Markets, US Stock Market and Oil Price”, Mathematics and Computers in Simulation, 94, 277-294.
  • Harvey, D. I., & Mills, T. C. (2004), “Tests for Stationarity in Series with Endogenously Determined Structural Change”, Oxford Bulletin of Economics and Statistics, 66(5), 863-894.
  • Hatir, Y. (2019), Politik Risk Endeksinin Borsa İstanbul Hisse Senedi Getirileri Üzerine Etkisi: Sektörel Bir Uygulama, Zonguldak Bülent Ecevit Üniversitesi, Sosyal Bilimler Enstitüsü.
  • Henderson, S. & Rodriguez, I. G. (2008), “Sensitivity of Equity Returns to Political Risk Premiums”, http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=1335021&fileOId=1646656. Access: 17.03.2020.
  • Kara, E. & Karabiyik, L. (2015), “The Effect of Country Risk on Stock Prices: An Application in Borsa İstanbul”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 20, Sayı 1, s. 225-239.
  • Kaya, A., Bener, G. & Ozcomak M. S. (2014), “Politik Risk Yatırımcının Dikkate Almasi Gereken Bir Risk midir? Borsa Istanbul Orneği”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 16, Sayi 1, s. 74-87.
  • Khan, M. H. (2004), “State Failure in Developing Countries and Institutional Reform Strategies. Toward Pro-Poor Policies”, Aid, Institutions, and Globalization, ed. Bertil Tungodden, Nicholas Herbert Stern, Ivar Kolstad. Annual World Bank Conference on Development Economics. Washington, Oxford: the World Bank, Oxford University Press: 165-195
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity Against The Alternative of a Unit Root”, Journal of Econometrics, 54(1-3), 159-178.
  • Lee, J. & Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Levy, B. & Spiller, P. T. (1994), “The Institutional Foundations of Regulatory Commitment: A Comparative Analysis of Telecommunications Regulation”, Journal of Law, Economics and Organization, c.10. s.2: 201-246.
  • Llewellyn, D. T. (2006), “Institutional Structure of Financial Regulation and Supervision: The Basic Issues”, In World Bank Seminar: Aligning Supervisory Structures with Country Needs, Washington DC, 6th and 7th June.
  • Menard, С. & Shirley, M. M. (2008), The Handbook of New Institutional Economics, 2. bs., ed. Claude Menard, Mary M. Shirley. US: Springer: 1-18.
  • Merton, R. C. (1995), “A Functional Perspective of Financial Intermediation”, Financial Management, 23-41.
  • Merton, R. C. & Bodie, Z. (2006), “Design of Financial Systems: Towards a Synthesis of Function and Structure”, In The World of Risk Management, (pp. 1-27).
  • Mutan, O. C. & Topcu, A. (2009), “Türkiye Hisse Senedi Piyasasının 1990-2009 Tarihleri Arasında Yaşanan Beklenmedik Olaylara Tepkisi”, Sermaye Piyasası Kurulu Araştırma Raporu, 1-19.
  • North, D. C. (1990), Institutions, Institutional Change, and Economic Performance. Cambridge: Cambridge University Press.
  • North, D. C. (1993),”Institutions and Credible Commitment”, Journal of Institutional and Theoretical Economics, c.149. s.1: 11-23.
  • Oral, I. O. & Yilmaz, C. (2017), “Finansal ve Politik Risk Endeksinin BİST Sınai Endeksi Üzerindeki Etkisi”, Karadeniz Uluslararası Bilimsel Dergi, Cilt 33, Sayı 33, s. 192-202.
  • Perron, P. (1990), “Testing for a Unit Root in a Time Series with a Changing Mean”, Journal of Business and Economic Statistics, 8(2), 153-162.
  • Toraman, C., & Tuncay, M. (2017), “Effect of the Political Risk on Capital Asset Valuation in Financial Markets: The Case of Turkey”, Business and Economics Research Journal, 8.3.
  • Tuncay, M. (2017), “Do Political Risks Matter in the Financial Markets?: Evidence from Turkey”, Eurasian Business Review, 8(2), 209-227.
  • Tukenmez, N. M. & Kutay, N. (2016), “Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt 20, Sayı 2, s. 631-645.
  • Yaprakli, S. & Gungor, B. (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi SBF Dergisi, Cilt 62, Sayı 2, s. 199-218.
  • Yilancı, V. (2019), A Residual-Based Cointegration test with a Fourier Approximation (No. 95395), University Library of Munich, Germany.
  • Zivot, E. & Andrews, D. (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10(3), 251-270.

Türkiye’de Politik ve Finansal Riskler Arasındaki İlişki: Kurumsal Yapılara Dair Fourier Eşbütünleşme Analizinden Kanıt

Yıl 2021, , 127 - 143, 28.04.2021
https://doi.org/10.17233/sosyoekonomi.2021.02.07

Öz

Kurumsal yapı ve yönetim kalitesi politik riskleri oluşturan ana unsurlardır. Politik riskler doğrudan kurumsal yapı ve kurumsal tasarıma bağlıdır. Hükümet mekanizmaları başarısız olduğu takdirde siyasi riskler artmaktadır. Kurumsal kalitenin arttırılması politik riskleri azaltır ve ayrıca finansal riskler üzerinde olumlu bir etkisi bulunmaktadır. Bu analizde Türkiye’de politik riskler ile finansal riskler arasındaki ilişki 2002-2015 yılları dönemine ait aylık veriler kullanılarak analiz edilmiştir. Fourier’in eşbütünleşme analizine bulgularına göre, politik ve finansal riskler arasında uzun dönemli bir ilişki bulunmaktadır. Ayrıca FMOLS ve DOLS modellerinden elde edilen bulguya göre politik riskteki artış finansal riskleri artırmaktadır.

Kaynakça

  • Acemoglu, D. & Robinson, J. (2008), “The Role of Institutions in Growth and Development”, Commission on Growth and Development Working Papers, No.10.
  • Aron, J. (2000), “Growth and Institutions: A Review of the Evidence”, The World Bank Research Observer, 15(1), 99-135.
  • Ayaydin, H., Pala, F. & Barut, A. (2016), “Ulke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz”, Global Journal of Economics and Business Studies, Cilt 5, Sayi 10, s. 66-75.
  • Ayaydin, H. & Karaaslan, I. (2014), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: Türk Bankacılık Sektöründe Bir Araştırma”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, Cilt 5, Sayi 10, s.1-28.
  • Beck, T. & Levine, R. (2005), “Legal Institutions and Financial Development”, In Handbook of New Institutional Economics (pp. 251-278), Springer, Boston, MA.
  • Becker, R, Enders, W. & Lee, J. (2006), “A Stationarity Test in The Presence of an Unknown Number Of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Busse, M. & Hefeker, C. (2007), “Political Risk, Institutions and Foreign Direct Investment”, European Journal of Political Economy, 23(2), 397-415.
  • Cam, A. V. (2014), “Politik Riskin Firma Değeri ile İlişkisi: İMKB’ye Kayıtlı Firmalar Üzerinde Bir Uygulama”, Doğus Üniversitesi Dergisi, Cilt 15, Sayı 1, 109-122.
  • Diamonte, R. L., Liew, J. M. and Stevens, R. L. (1996), “Political Risk in Emerging and Developed Markets”, Financial Analysts Journal, 52(3), 71–76.
  • Enders, W. & Lee, J. (2012), “The Flexible Fourier Form and Dickey–Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Engle, R. F. & Granger, C. W. (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica: Journal of The Econometric Society, 251-276.
  • Epstein, D. & O'halloran, S. (1999), “Delegating Powers: A Transaction Cost Politics Approach to Policy Making under Separate Powers”, 1.bs., Cambridge: Cambridge University Press.
  • Estache, A. & Wren-Lewis. L. (2009), “Toward a Theory of Regulation for Developing Countries: Following Jean-Jacques Laffont's Lead”, Journal of Economic Literature, c.47, s.3: 729-770.
  • Estache, A. & Martimort, D. (1999), “Politics, Transaction Costs, and the Design of Regulatory Institutions”, World Bank Policy Research Working Papers, No.2073.
  • Fitzsimons, E. & Sun, M. (2012), “An Exploration Of: How Political Risk Components Affect The Stock Return And Volatility Considering Different Countries of Varying Economic Development”, Ekonomihögskolan Lunds Universitet, http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=2628691&fileOId=2628692. Access: 17.07.2020.
  • Hammoudeh, S., Sari, R., Uzunkaya, M., & Liu, T. (2013), “The Dynamics of BRICS's Country Risk Ratings and Domestic Stock Markets, US Stock Market and Oil Price”, Mathematics and Computers in Simulation, 94, 277-294.
  • Harvey, D. I., & Mills, T. C. (2004), “Tests for Stationarity in Series with Endogenously Determined Structural Change”, Oxford Bulletin of Economics and Statistics, 66(5), 863-894.
  • Hatir, Y. (2019), Politik Risk Endeksinin Borsa İstanbul Hisse Senedi Getirileri Üzerine Etkisi: Sektörel Bir Uygulama, Zonguldak Bülent Ecevit Üniversitesi, Sosyal Bilimler Enstitüsü.
  • Henderson, S. & Rodriguez, I. G. (2008), “Sensitivity of Equity Returns to Political Risk Premiums”, http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=1335021&fileOId=1646656. Access: 17.03.2020.
  • Kara, E. & Karabiyik, L. (2015), “The Effect of Country Risk on Stock Prices: An Application in Borsa İstanbul”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 20, Sayı 1, s. 225-239.
  • Kaya, A., Bener, G. & Ozcomak M. S. (2014), “Politik Risk Yatırımcının Dikkate Almasi Gereken Bir Risk midir? Borsa Istanbul Orneği”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 16, Sayi 1, s. 74-87.
  • Khan, M. H. (2004), “State Failure in Developing Countries and Institutional Reform Strategies. Toward Pro-Poor Policies”, Aid, Institutions, and Globalization, ed. Bertil Tungodden, Nicholas Herbert Stern, Ivar Kolstad. Annual World Bank Conference on Development Economics. Washington, Oxford: the World Bank, Oxford University Press: 165-195
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992), “Testing the Null Hypothesis of Stationarity Against The Alternative of a Unit Root”, Journal of Econometrics, 54(1-3), 159-178.
  • Lee, J. & Strazicich, M. C. (2003), “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Levy, B. & Spiller, P. T. (1994), “The Institutional Foundations of Regulatory Commitment: A Comparative Analysis of Telecommunications Regulation”, Journal of Law, Economics and Organization, c.10. s.2: 201-246.
  • Llewellyn, D. T. (2006), “Institutional Structure of Financial Regulation and Supervision: The Basic Issues”, In World Bank Seminar: Aligning Supervisory Structures with Country Needs, Washington DC, 6th and 7th June.
  • Menard, С. & Shirley, M. M. (2008), The Handbook of New Institutional Economics, 2. bs., ed. Claude Menard, Mary M. Shirley. US: Springer: 1-18.
  • Merton, R. C. (1995), “A Functional Perspective of Financial Intermediation”, Financial Management, 23-41.
  • Merton, R. C. & Bodie, Z. (2006), “Design of Financial Systems: Towards a Synthesis of Function and Structure”, In The World of Risk Management, (pp. 1-27).
  • Mutan, O. C. & Topcu, A. (2009), “Türkiye Hisse Senedi Piyasasının 1990-2009 Tarihleri Arasında Yaşanan Beklenmedik Olaylara Tepkisi”, Sermaye Piyasası Kurulu Araştırma Raporu, 1-19.
  • North, D. C. (1990), Institutions, Institutional Change, and Economic Performance. Cambridge: Cambridge University Press.
  • North, D. C. (1993),”Institutions and Credible Commitment”, Journal of Institutional and Theoretical Economics, c.149. s.1: 11-23.
  • Oral, I. O. & Yilmaz, C. (2017), “Finansal ve Politik Risk Endeksinin BİST Sınai Endeksi Üzerindeki Etkisi”, Karadeniz Uluslararası Bilimsel Dergi, Cilt 33, Sayı 33, s. 192-202.
  • Perron, P. (1990), “Testing for a Unit Root in a Time Series with a Changing Mean”, Journal of Business and Economic Statistics, 8(2), 153-162.
  • Toraman, C., & Tuncay, M. (2017), “Effect of the Political Risk on Capital Asset Valuation in Financial Markets: The Case of Turkey”, Business and Economics Research Journal, 8.3.
  • Tuncay, M. (2017), “Do Political Risks Matter in the Financial Markets?: Evidence from Turkey”, Eurasian Business Review, 8(2), 209-227.
  • Tukenmez, N. M. & Kutay, N. (2016), “Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Cilt 20, Sayı 2, s. 631-645.
  • Yaprakli, S. & Gungor, B. (2007), “Ülke Riskinin Hisse Senedi Fiyatlarına Etkisi: İMKB 100 Endeksi Üzerine Bir Araştırma”, Ankara Üniversitesi SBF Dergisi, Cilt 62, Sayı 2, s. 199-218.
  • Yilancı, V. (2019), A Residual-Based Cointegration test with a Fourier Approximation (No. 95395), University Library of Munich, Germany.
  • Zivot, E. & Andrews, D. (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Journal of Business and Economic Statistics, 10(3), 251-270.
Toplam 40 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Yıldırım Beyazıt Çiçen 0000-0002-3425-280X

Yayımlanma Tarihi 28 Nisan 2021
Gönderilme Tarihi 4 Ağustos 2020
Yayımlandığı Sayı Yıl 2021

Kaynak Göster

APA Çiçen, Y. B. (2021). Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures. Sosyoekonomi, 29(48), 127-143. https://doi.org/10.17233/sosyoekonomi.2021.02.07
AMA Çiçen YB. Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures. Sosyoekonomi. Nisan 2021;29(48):127-143. doi:10.17233/sosyoekonomi.2021.02.07
Chicago Çiçen, Yıldırım Beyazıt. “Relationship Between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures”. Sosyoekonomi 29, sy. 48 (Nisan 2021): 127-43. https://doi.org/10.17233/sosyoekonomi.2021.02.07.
EndNote Çiçen YB (01 Nisan 2021) Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures. Sosyoekonomi 29 48 127–143.
IEEE Y. B. Çiçen, “Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures”, Sosyoekonomi, c. 29, sy. 48, ss. 127–143, 2021, doi: 10.17233/sosyoekonomi.2021.02.07.
ISNAD Çiçen, Yıldırım Beyazıt. “Relationship Between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures”. Sosyoekonomi 29/48 (Nisan 2021), 127-143. https://doi.org/10.17233/sosyoekonomi.2021.02.07.
JAMA Çiçen YB. Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures. Sosyoekonomi. 2021;29:127–143.
MLA Çiçen, Yıldırım Beyazıt. “Relationship Between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures”. Sosyoekonomi, c. 29, sy. 48, 2021, ss. 127-43, doi:10.17233/sosyoekonomi.2021.02.07.
Vancouver Çiçen YB. Relationship between Political and Financial Risks in Turkey: Evidence from Fourier Cointegration Analysis Regarding Institutional Structures. Sosyoekonomi. 2021;29(48):127-43.