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İKİZ AÇIK HİPOTEZİ: YAPISAL KIRILMALARIN DİKKATE ALINDIĞI NEDENSELLİK ANALİZİ İLE GIIPS ÜLKELERİ İÇİN YENİ KANITLAR

Yıl 2018, Cilt: 16 Sayı: 3, 51 - 69, 30.09.2018
https://doi.org/10.11611/yead.447788

Öz

Bu çalışmada, oldukça yüksek borç yüküne sahip beş Avrupa ülkesi: Yunanistan, İrlanda, İtalya, Portekiz ve İspanya (GIIPS) için bütçe açığı ve cari açık arasındaki dinamik nedensellik ilişkileri yeni ekonometrik teknikler kullanılarak yeniden analiz edilmektedir. Öncelikle Toda-Yamamoto nedensellik testi ve sonrasında bu yöntemin yapısal kırılmaları dikkate alan yaklaşım tekniği kullanılarak yapısal kırılmaların dikkate alınmasının nedensellik bağlarında bir rolü olup olmadığı incelenmektedir. Sonuçlar, yapısal kırılmaların dikkate alınmasının, GIIPS ülkelerinin mali ve cari dengesizlikleri arasındaki ilişki açısından önemli olduğunu ortaya koymaktadır. Yapısal kırılmaları ihmal eden nedensellik analizi bulguları, İspanya için Keynesyen Hipotezi’nin, Yunanistan ve Portekiz için Cari Denge Hedefleme Hipotezi’nin ve son olarak İrlanda ve İtalya için Barro-Ricardo Hipotezini’nin geçerli olduğunu göstermektedir. Diğer taraftan yapısal kırılmaları dikkate alan nedensellik analizi sonuçları ise Cari Denge Hedefleme Hipotezi’nin İrlanda dışındaki tüm GIIPS ülkeleri için desteklendiğini göstermektedir

Kaynakça

  • Abell, J.D. (1990) “The role of the budget deficit during the rise in the dollar exchange rate from 1979-1985”, Southern Economic Journal, 57(1), 66-74.
  • Ahmad, A.H., Aworinde, O.B. and Martin, C. (2015) “Threshold cointegration and the short-run dynamics of twin deficit hypothesis in African countries” The Journal of Economic Asymmetries, 12, 80-91.
  • Algieri, B. (2013) “An empirical analysis of the nexus between external balance and government budget balance: The case of the GIIPS countries”, Economic Systems, 37, 233-253.
  • Bachman, D.D. (1992) “Why is the U.S. current account deficit so large? Evidence from Vector Autoregressions” Southern Economic Journal, 59(2), 232-240.
  • Bagnai, A. (2006) “Structural breaks and twin deficits hypothesis”, International Economics and Economic Policy, 3(2), 137-155.
  • Bahmani-Oskooee, M. (1992) “What are the long-run determinants of the U.S. trade balance?”, Journal of Post Keynesian Economics, 15(1), 85-97.
  • Bai, J. and Perron, P. (1998) “Estimating and testing linear models with multiple structural changes”, Econometrica, 66, 47-78.
  • Bai, J. and Perron, P. (2003) “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, 21, 79-109.
  • Barro, R., 1974. Are government bonds net wealth? Journal of Political Economy, 82(6), 1095-1117.
  • Dally, V. and Siddiki, J.U. (2009) “The twin deficits in OECD countries: cointegration analysis with regime shifts”, Applied Economics Letters, 16(11), 1155-1164.
  • Darrat, A.F. (1988) “Have large budget deficits caused rising trade deficits?”, Southern Economic Journal, 54(4), 879-887.
  • Dickey, D.A. and Fuller, W.A. (1979) “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Society, 75, 427-431.
  • Dolado, J.J. and Lütkepohl, H. (1996) “Making wald tests work for cointegrated VAR systems”, Econometric Reviews, 15, 369-386.
  • Efron, G. (1979) Bootstrap methods: another look at the jackknife. The Annals of Statistics 7, 1–26.
  • Emirmahmutoglu, F., and Kose, N. (2011) “Testing for Granger causality in heterogeneous mixed panels” Economic Modelling, 28, 870-876.
  • Enders, W. and Lee, B.S. (1990) “Current account and budget deficits: Twins or distant cousins?”, The Review of Economics and Statistics, 72(3), 373-381.
  • Enders, W. and Lee, J. (2012) “The flexible Fourier form and Dickey-Fuller type unit root tests”, Economics Letters, 117, 196-199.
  • Enders, W., and Jones, P. (2016) “Grain prices, oil prices and multiple smooth breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Feldstein, M. and Horioka, C. (1980) “Domestic saving and international capital flow”, Economic Journal, 90, 314-329.
  • Fidrmuc, J. (2003) “The Feldstein-Horioka puzzle and twin deficits in selected countrie”, Economics of Planning, 36, 135-152.
  • Gregory, A.W. and Hansen, B.E. (1996) “Test for cointegration in models with regime and trend shifts”, Oxford Bulletin of Economics and Statistics, 58, 555-560.
  • Grier, K. and Ye, H. (2009) “Twin sons of different mothers: The long and the short of the twin deficits debat”, Economic Inquiry, 47(4), 625-638.
  • Hansen, B.E., and Seo, B. (2002) “Testing for two regime threshold cointegration in vector error-correction models”, Journal of Econometrics, 110(2), 293-318.
  • Helmy, H.E. (2018) “The twin deficit hypothesis in Egypt”, Journal of Policy Modeling, 40, 328-349.
  • Holmes, M.J. (2010) “A reassessment of the twin deficits relationship”, Applied Economics Letters, 17(12), 1209-1212.
  • Holmes, M.J. (2011) “Threshold cointegration and the short-run dynamics of twin deficit behavior”, Research in Economics, 65, 271-277.
  • Johansen, S. (1988) “Statistical analysis of cointegration vectors” Journal of Economic Dynamics and Control, 12, 231-254.
  • Kim, C.H. and Kim, D. (2006) “Does Korea have twin deficits?”, Applied Economics Letters, 13, 675-680.
  • Kim, S. and Roubini, N. (2008) “Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S.”, Journal of International Economics, 74, 362-383.
  • Kouassi, E., Mougoue, M. and Kymn, K.O. (2004) “Causality tests of the relationship between the twin deficits”, Empirical Economics, 29, 503-525.
  • Litsios, I. and Pilbeam, K. (2017) “An empirical analysis of the nexus between investment, fiscal balances and current account balances in Greece, Portugal and Spain”, Economic Modelling, 63, 143-152.
  • Marinheiro, C.F. (2008) “Ricaridan equivalence, twin deficits, and the Feldstein-Horioka puzzle in Egypt”, Journal of Policy Modeling, 30, 104-1056.
  • Nazlioglu, S., Gormus, N. A., and Soytas, U. (2016) “Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis”, Energy Economics, 60, 168-175.
  • Pedroni, P. (1999) “Critical value for co-integration tests in heterogeneous panels with multiple regressors”, Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Rafiq, S. (2010) “Fiscal stance, the current account and the real exchange rate: some empirical estimates from a time-varying framework”, Structural Change and Economic Dynamics, 21, 276-290.
  • Salvatore, D. (2006) “Twin deficits in the G-7 countries and global structural imbalances”, Journal of Policy Modeling, 28, 701-712.
  • Toda, H.Y. and Yamamoto, T. (1995). “Statistical inference in vector autoregressions with possibly integrated processes”, Journal of Econometrics, 66(1), 225-250.
  • Trachanas, E. and Katrakilidis, C. (2013) “The dynamic linkages of fiscal and current account deficits: new evidence from five highly indebted European countries accounting for regime shifts and asymmetries”, Economic Modelling, 502-510.
  • Vamvoukas, G.A. (1999) “The twin deficits phenomenon: evidence from Greece”, Applied Economics, 31(9), 1093-1100.
  • Zivot, E., and Andrews, D.W.K. (1992) “Further evidence of the great crash, the oil-price shock, and the unit root hypothesis”, Journal of Business & Economic Statistics, 10, 251-270.

THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES

Yıl 2018, Cilt: 16 Sayı: 3, 51 - 69, 30.09.2018
https://doi.org/10.11611/yead.447788

Öz

This study re-examines the dynamic causal link between government budget and current account deficits for five highly indebted European countries: Greece, Ireland, Italy, Portugal and Spain (GIIPS) with newly developed econometric techniques. Utilizing first Toda –Yamamoto causality analysis and then its Fourier approximation to consider structural shifts, this study asks whether accounting structural shifts plays a role on these causal linkages. The results reveal that considering structural shifts is important for the relationship between fiscal and current account imbalances of the GIIPS. The findings of analysis that does not consider structural changes indicate that the twin deficit hypothesis is supported through Keynesian Hypothesis (for Spain) or Current Account Targeting Hypothesis (for Greece and Portugal) but also Barro-Ricardo Equivalence Theorem is acknowledged for Ireland and Italy. On the other hand, the causality analysis that account for structural changes show that current account targeting hypothesis is supported by all countries, except Ireland

Kaynakça

  • Abell, J.D. (1990) “The role of the budget deficit during the rise in the dollar exchange rate from 1979-1985”, Southern Economic Journal, 57(1), 66-74.
  • Ahmad, A.H., Aworinde, O.B. and Martin, C. (2015) “Threshold cointegration and the short-run dynamics of twin deficit hypothesis in African countries” The Journal of Economic Asymmetries, 12, 80-91.
  • Algieri, B. (2013) “An empirical analysis of the nexus between external balance and government budget balance: The case of the GIIPS countries”, Economic Systems, 37, 233-253.
  • Bachman, D.D. (1992) “Why is the U.S. current account deficit so large? Evidence from Vector Autoregressions” Southern Economic Journal, 59(2), 232-240.
  • Bagnai, A. (2006) “Structural breaks and twin deficits hypothesis”, International Economics and Economic Policy, 3(2), 137-155.
  • Bahmani-Oskooee, M. (1992) “What are the long-run determinants of the U.S. trade balance?”, Journal of Post Keynesian Economics, 15(1), 85-97.
  • Bai, J. and Perron, P. (1998) “Estimating and testing linear models with multiple structural changes”, Econometrica, 66, 47-78.
  • Bai, J. and Perron, P. (2003) “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, 21, 79-109.
  • Barro, R., 1974. Are government bonds net wealth? Journal of Political Economy, 82(6), 1095-1117.
  • Dally, V. and Siddiki, J.U. (2009) “The twin deficits in OECD countries: cointegration analysis with regime shifts”, Applied Economics Letters, 16(11), 1155-1164.
  • Darrat, A.F. (1988) “Have large budget deficits caused rising trade deficits?”, Southern Economic Journal, 54(4), 879-887.
  • Dickey, D.A. and Fuller, W.A. (1979) “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Society, 75, 427-431.
  • Dolado, J.J. and Lütkepohl, H. (1996) “Making wald tests work for cointegrated VAR systems”, Econometric Reviews, 15, 369-386.
  • Efron, G. (1979) Bootstrap methods: another look at the jackknife. The Annals of Statistics 7, 1–26.
  • Emirmahmutoglu, F., and Kose, N. (2011) “Testing for Granger causality in heterogeneous mixed panels” Economic Modelling, 28, 870-876.
  • Enders, W. and Lee, B.S. (1990) “Current account and budget deficits: Twins or distant cousins?”, The Review of Economics and Statistics, 72(3), 373-381.
  • Enders, W. and Lee, J. (2012) “The flexible Fourier form and Dickey-Fuller type unit root tests”, Economics Letters, 117, 196-199.
  • Enders, W., and Jones, P. (2016) “Grain prices, oil prices and multiple smooth breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Feldstein, M. and Horioka, C. (1980) “Domestic saving and international capital flow”, Economic Journal, 90, 314-329.
  • Fidrmuc, J. (2003) “The Feldstein-Horioka puzzle and twin deficits in selected countrie”, Economics of Planning, 36, 135-152.
  • Gregory, A.W. and Hansen, B.E. (1996) “Test for cointegration in models with regime and trend shifts”, Oxford Bulletin of Economics and Statistics, 58, 555-560.
  • Grier, K. and Ye, H. (2009) “Twin sons of different mothers: The long and the short of the twin deficits debat”, Economic Inquiry, 47(4), 625-638.
  • Hansen, B.E., and Seo, B. (2002) “Testing for two regime threshold cointegration in vector error-correction models”, Journal of Econometrics, 110(2), 293-318.
  • Helmy, H.E. (2018) “The twin deficit hypothesis in Egypt”, Journal of Policy Modeling, 40, 328-349.
  • Holmes, M.J. (2010) “A reassessment of the twin deficits relationship”, Applied Economics Letters, 17(12), 1209-1212.
  • Holmes, M.J. (2011) “Threshold cointegration and the short-run dynamics of twin deficit behavior”, Research in Economics, 65, 271-277.
  • Johansen, S. (1988) “Statistical analysis of cointegration vectors” Journal of Economic Dynamics and Control, 12, 231-254.
  • Kim, C.H. and Kim, D. (2006) “Does Korea have twin deficits?”, Applied Economics Letters, 13, 675-680.
  • Kim, S. and Roubini, N. (2008) “Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S.”, Journal of International Economics, 74, 362-383.
  • Kouassi, E., Mougoue, M. and Kymn, K.O. (2004) “Causality tests of the relationship between the twin deficits”, Empirical Economics, 29, 503-525.
  • Litsios, I. and Pilbeam, K. (2017) “An empirical analysis of the nexus between investment, fiscal balances and current account balances in Greece, Portugal and Spain”, Economic Modelling, 63, 143-152.
  • Marinheiro, C.F. (2008) “Ricaridan equivalence, twin deficits, and the Feldstein-Horioka puzzle in Egypt”, Journal of Policy Modeling, 30, 104-1056.
  • Nazlioglu, S., Gormus, N. A., and Soytas, U. (2016) “Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis”, Energy Economics, 60, 168-175.
  • Pedroni, P. (1999) “Critical value for co-integration tests in heterogeneous panels with multiple regressors”, Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Rafiq, S. (2010) “Fiscal stance, the current account and the real exchange rate: some empirical estimates from a time-varying framework”, Structural Change and Economic Dynamics, 21, 276-290.
  • Salvatore, D. (2006) “Twin deficits in the G-7 countries and global structural imbalances”, Journal of Policy Modeling, 28, 701-712.
  • Toda, H.Y. and Yamamoto, T. (1995). “Statistical inference in vector autoregressions with possibly integrated processes”, Journal of Econometrics, 66(1), 225-250.
  • Trachanas, E. and Katrakilidis, C. (2013) “The dynamic linkages of fiscal and current account deficits: new evidence from five highly indebted European countries accounting for regime shifts and asymmetries”, Economic Modelling, 502-510.
  • Vamvoukas, G.A. (1999) “The twin deficits phenomenon: evidence from Greece”, Applied Economics, 31(9), 1093-1100.
  • Zivot, E., and Andrews, D.W.K. (1992) “Further evidence of the great crash, the oil-price shock, and the unit root hypothesis”, Journal of Business & Economic Statistics, 10, 251-270.
Toplam 40 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Dilek Durusu Çiftçi 0000-0003-1911-4801

Yayımlanma Tarihi 30 Eylül 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 16 Sayı: 3

Kaynak Göster

APA Durusu Çiftçi, D. (2018). THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES. Journal of Management and Economics Research, 16(3), 51-69. https://doi.org/10.11611/yead.447788
AMA Durusu Çiftçi D. THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES. Journal of Management and Economics Research. Eylül 2018;16(3):51-69. doi:10.11611/yead.447788
Chicago Durusu Çiftçi, Dilek. “THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES”. Journal of Management and Economics Research 16, sy. 3 (Eylül 2018): 51-69. https://doi.org/10.11611/yead.447788.
EndNote Durusu Çiftçi D (01 Eylül 2018) THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES. Journal of Management and Economics Research 16 3 51–69.
IEEE D. Durusu Çiftçi, “THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES”, Journal of Management and Economics Research, c. 16, sy. 3, ss. 51–69, 2018, doi: 10.11611/yead.447788.
ISNAD Durusu Çiftçi, Dilek. “THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES”. Journal of Management and Economics Research 16/3 (Eylül 2018), 51-69. https://doi.org/10.11611/yead.447788.
JAMA Durusu Çiftçi D. THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES. Journal of Management and Economics Research. 2018;16:51–69.
MLA Durusu Çiftçi, Dilek. “THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES”. Journal of Management and Economics Research, c. 16, sy. 3, 2018, ss. 51-69, doi:10.11611/yead.447788.
Vancouver Durusu Çiftçi D. THE TWIN DEFICITS HYPOTHESIS: NEW EVIDENCE FROM GIIPS ACCOUNTING FOR STRUCTURAL SHIFTS IN CAUSAL LINKAGES. Journal of Management and Economics Research. 2018;16(3):51-69.