Öz
Ülke risk primi şokunun makroekonomik etkileri 2005:12-
2017:3 dönemi için Yapısal Vektör Otoregresyon Modeli kullanılarak
incelenmiştir. Türkiye için ülke risk primi göstergesi olarak EMBI+TR
kullanılan model nominal döviz kuru sepeti, tüketici fiyatları endeksi,
tüketici kredileri, sanayi üretim endeksi ve cari açık bilançosunu
içermektedir. Ampirik sonuçlar ülke risk priminde gözlenen yapısal şokların
Türkiye’nin açık enflasyon hedeflemesi döneminde makroekonomik değişkenlerini
olumsuz yönde etkilediğini göstermektedir. EMBI+ TR göstergesindeki bir standart
sapmalık şok Türk Lirasında devalüasyona, fiyat seviyesinde artışa, kredi
hacminde daralmaya, sanayi üretim endeksinde düşüşe ve cari açık bilançosunda
artışa yol açmaktadır. Ülke risk priminin döviz kuru ve krediler üzerindeki
olumsuz etkisi diğer değişkenler üzerindeki etkisine kıyasla daha fazladır.
Ayrıca ülke risk primi şokları kredi daralması yaratmak suretiyle reel
ekonomide küçülmeye ve cari açık bilançosunda artışa yol açmaktadır. Varyans
ayrıştırmasının bulguları ile etki tepki analizinin sonuçları tutarlı olup ülke
risk priminde gözlenen yapısal şokların kredi üzerindeki etkilerinin diğer
değişkenlere kıyasla daha fazla olduğu sonucuna varılmıştır.
Anahtar Kelimeler
Ülke risk primi Yapısal Vektör Otoregresyon Modeli Yükselen Piyasalar Tahvil Endeksi
Kaynakça
- Acharya, V. V., Drechsler, I. and Schnabl, P., (2011) ‘‘A pyrrhic victory? Bank bailouts and sovereign credit risk’’, CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.Afonso, A. (2003) “Understanding the determinants of sovereign debt ratings: evidence for the two leading agencies”, Journal of Economics and Finance, 27 (1): 56-74. Afonso, A., Furceri, D. and Gomes, P., (2012) ‘‘Sovereign credit ratings and financial markets linkages: Application to European data’’, Journal of International Money and Finance, 31 (3): 606638.Afonso, A., Gomes, P. and Rother, P. (2011) “Short and Long-run Determinants of Sovereign Debt Credit Ratings”, International Journal of Finance and Economics, 16(1): 1-15. Arellano, C., (2004) ‘‘Default risk, the real exchange rate and income fluctuations in emerging economies’’, University of Minnesota Federal Reserve Bank of Minneapolis.Bissoondoyal-Bheenick, E. (2005) “An analysis of the determinants of sovereign ratings”, Global Finance Journal, 15 (3): 251-280. Castro, C. and Mencia, J. (2014) “Sovereign Risk and Financial Stability”, Revista de Estabilidad Financiera, 26, 73-107.Enders, W. (1995) Applied Economic Time Series. John Wiley and Sons, Inc.Goodhart, C. and Hofmann, B. (2008) ‘‘House prices, money, credit, and the macroeconomy’’, Oxford Review of Economic Policy, 24(1): 180-205.Kılınç, M. and Tunç, C. (2014) ‘‘Identification of Monetary Policy Shocks in Turkey: A Structural VAR Approach’’, Turkish Central Bank Working Paper, 14/23. Litterman, R. B. (1983) ‘‘A random walk, Markov model for the distribution of time series’’, Journal of Business & Economic Statistics, 1(2): 169-173.Longstaff, Francis A., Jun Pan, Lasse H. Pedersen and Kenneth J. Singleton, (2011) ‘‘How Sovereign is Sovereign Credit Risk?’’, American Economic Journal, Macroeconomics.Neri, S. and Ropele, T., (2013) The macroeconomic effects of the sovereign debt crisis in the euro area, mimeo.Neumeyer, P. A., and Perri, F. (2005) ‘‘Business Cycles in Emerging Economies: The Role of Interest Rates’’, Journal of Monetary Economics, 52: 345-380.Özatay, F., Özmen E. and Şahinbeyoğlu G. (2007) ‘‘Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News’’, ERC WorkingPapers in Economics, 07(07): 1-29.Özatay, F. (2014) ‘‘Turkey’s Distressing Dance with Capital Flows’’, The Economic Policy Research Foundation of Turkey Report, R201407, 1-20.Reisen, H. and Maltzan, J. (1999) ‘‘Boom and Bust and Sovereign Ratings’’, International Finance, 2 (2): 273-293. Rozada, M. and Eduardo Y., (2005) ‘‘Global Factors and Emerging Market Spreads’’, Working paper, Universidad Torcuato Di Tella.Tiryaki, S. T. (2011) “Interest Rates and Real Business Cycles in Emerging Markets,” The B.E. Journal of Macroeconomics, 11(1): 41. Varlık, S. and Berument, M. H. (2016) ‘‘Credit channel and capital flows: a macroprudential policy tool? Evidence from Turkey.’’ The BE Journal of Macroeconomics, 16(1): 145-170.Varlık, S. (2017) ‘‘Ülke Risk Primi Şokunun Bankacılık Sisteminin Saglamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği’’, Sosyoekonomi, 25(33):103.Ying, Y. H. and Kim, Y. (2001) ‘‘ An empirical analysis on capital flows: the case of Korea and Mexico’’, Southern Economic Journal, 954-968.
Öz
The macroeconomic effects of sovereign risk premium
shocks in Turkey are investigated by employing Structural Vector Autoregression
Model for the period 2005:12 - 2017:3. The model includes EMBI+TR as an
indicator of sovereign risk premium for Turkey. The empirical results of the
model indicate that structural shocks in sovereign risk premium affect
macroeconomic variables negatively in Turkey. One standard deviation shock in
EMBI+TR results in devaluation of Turkish Lira, increase in price level,
contraction in credit volume, decline in industrial production index and
increase in current account balance. The impact of the negative changes in the
sovereign risk premium on the exchange rate and the credit is higher compared
to the other variables. It is concluded that results from variance
decomposition are consistent with the results of the impulse - response
analysis and the impact of structural shocks in sovereign risk premium on
credit is higher compared to other variables.
Anahtar Kelimeler
Sovereign risk premium Structural Vector Autoregression Model Emerging market bond index
Kaynakça
- Acharya, V. V., Drechsler, I. and Schnabl, P., (2011) ‘‘A pyrrhic victory? Bank bailouts and sovereign credit risk’’, CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.Afonso, A. (2003) “Understanding the determinants of sovereign debt ratings: evidence for the two leading agencies”, Journal of Economics and Finance, 27 (1): 56-74. Afonso, A., Furceri, D. and Gomes, P., (2012) ‘‘Sovereign credit ratings and financial markets linkages: Application to European data’’, Journal of International Money and Finance, 31 (3): 606638.Afonso, A., Gomes, P. and Rother, P. (2011) “Short and Long-run Determinants of Sovereign Debt Credit Ratings”, International Journal of Finance and Economics, 16(1): 1-15. Arellano, C., (2004) ‘‘Default risk, the real exchange rate and income fluctuations in emerging economies’’, University of Minnesota Federal Reserve Bank of Minneapolis.Bissoondoyal-Bheenick, E. (2005) “An analysis of the determinants of sovereign ratings”, Global Finance Journal, 15 (3): 251-280. Castro, C. and Mencia, J. (2014) “Sovereign Risk and Financial Stability”, Revista de Estabilidad Financiera, 26, 73-107.Enders, W. (1995) Applied Economic Time Series. John Wiley and Sons, Inc.Goodhart, C. and Hofmann, B. (2008) ‘‘House prices, money, credit, and the macroeconomy’’, Oxford Review of Economic Policy, 24(1): 180-205.Kılınç, M. and Tunç, C. (2014) ‘‘Identification of Monetary Policy Shocks in Turkey: A Structural VAR Approach’’, Turkish Central Bank Working Paper, 14/23. Litterman, R. B. (1983) ‘‘A random walk, Markov model for the distribution of time series’’, Journal of Business & Economic Statistics, 1(2): 169-173.Longstaff, Francis A., Jun Pan, Lasse H. Pedersen and Kenneth J. Singleton, (2011) ‘‘How Sovereign is Sovereign Credit Risk?’’, American Economic Journal, Macroeconomics.Neri, S. and Ropele, T., (2013) The macroeconomic effects of the sovereign debt crisis in the euro area, mimeo.Neumeyer, P. A., and Perri, F. (2005) ‘‘Business Cycles in Emerging Economies: The Role of Interest Rates’’, Journal of Monetary Economics, 52: 345-380.Özatay, F., Özmen E. and Şahinbeyoğlu G. (2007) ‘‘Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News’’, ERC WorkingPapers in Economics, 07(07): 1-29.Özatay, F. (2014) ‘‘Turkey’s Distressing Dance with Capital Flows’’, The Economic Policy Research Foundation of Turkey Report, R201407, 1-20.Reisen, H. and Maltzan, J. (1999) ‘‘Boom and Bust and Sovereign Ratings’’, International Finance, 2 (2): 273-293. Rozada, M. and Eduardo Y., (2005) ‘‘Global Factors and Emerging Market Spreads’’, Working paper, Universidad Torcuato Di Tella.Tiryaki, S. T. (2011) “Interest Rates and Real Business Cycles in Emerging Markets,” The B.E. Journal of Macroeconomics, 11(1): 41. Varlık, S. and Berument, M. H. (2016) ‘‘Credit channel and capital flows: a macroprudential policy tool? Evidence from Turkey.’’ The BE Journal of Macroeconomics, 16(1): 145-170.Varlık, S. (2017) ‘‘Ülke Risk Primi Şokunun Bankacılık Sisteminin Saglamlığına Etkisi: SVAR Modeli Çerçevesinde Türkiye Örneği’’, Sosyoekonomi, 25(33):103.Ying, Y. H. and Kim, Y. (2001) ‘‘ An empirical analysis on capital flows: the case of Korea and Mexico’’, Southern Economic Journal, 954-968.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2018 |
| Yayımlandığı Sayı | Yıl 2018 |