Finansal Çevrimler ve İş Çevrimlerinin Etkileşimi: Türkiye Örneği
Bu çalışmada, 1987-2015 döneminde Türkiye’de iş çevrimleri ve finansal çevrimlerin özellikleri dönüm noktası analizi yardımıyla hesaplanan faz süresi, faz şiddeti ve yayılma katsayısıyla üç farklı finans piyasası verisi (kredi, hisse senedi ve döviz kuru) kullanılarak incelenmekte ve iş çevrimleri ile finansal çevrimler arasındaki ilişki uyuşum endeksi (concordance index) ve seriler arası korelasyon yardımıyla ortaya konulmaktadır. Buna göre, Türkiye’de kredi piyasası ve iş çevrimleri arasında pozitif yönlü yüksek ve eşanlı ilişki bulunurken, kredilere bağlı finansal çevrimlerin ortalama süresi iş çevrimlerinden yaklaşık 5 çeyrek daha uzun sürmektedir. Reel BİST100 ve reel efektif döviz kuru finansal çevrimlerinin ortalama uzunluğu kredilerin neredeyse yarısı kadar sürmektedir. Finansal çevrimleri temsil eden bütün serilerde meydana gelen dalgalanma şiddeti iş çevrimlerinin üzerinde gerçekleşmektedir. Öte yandan, hisse senedi ve döviz kuru piyasalarının iş çevrimlerinin geçmiş değerleri ile daha yüksek ilişki içinde olduğu, dolayısıyla öncü gösterge özelliği taşıdığı görülmektedir. Kredi piyasası ve iş çevrimleri arasındaki pozitif yönlü yüksek eşanlı ilişki, kredilere dönük uygulanan makro ihtiyati politikaların para politikasını ikame edici özelliğini ima etmektedir.
Credit Card and Financial Stability
This study investigates characteristics of the business and financial cycles in Turkey by utilizing turning point analysis to compute duration, amplitude, and slope of the cycles in three different financial markets (credit, stock, and foreign exchange) in the period 1987-2015. Furthermore, the relationship between business and financial cycles is analyzed by utilizing concordance index and correlations between the series. As a result, high level of positive and simultaneous relation is observed between business and credit cycles compared to the other measure of financial cycles. Moreover, while the average duration of credit cycles is almost five quarters longer in comparison to that of business cycles, the average duration of real BIST100 and real effective exchange rate cycles is nearly half of the credit cycles. The average amplitude of the all financial cycles is higher than that of the business cycles. On the other hand, the stock market and exchange rate market cycles are more related to the future business cycles, thus these indicators show properties of being the leading indicators. The high level of positive and simultaneous relation between credit cycle and business cycles implies that the macro prudential policies targeting credit cycles may substitute the use of monetary policy.
___
- Tsouma, E. (2014). Dating Business Cycle Turning Points: The Greek Economy During 1970-2012 And The Recent Recession. OECD Journal: Journal of Business Cycle Measurement and Analysis 2014/1.
- Taştan, H., & Yıldırım, N. (2008). Business Cycle Asymmetries in Turkey: An Application of Markov- Switching Autoregressions. International Economic Journal 22 (3).
- Rünstler, G. (2016). How Distinct are Financial Cycles From Business Cycles? ECB Research Bulletin No.26.
- Pagan, A. (2010). Can Turkish Recessions Be Predicted? TÜSİAD-KOÇ University Economic Research Forum Working Paper Series 1027.
- Koopman, S. J., Lit, R., & Lucas, A. (2016). Model-Based Business Cycle and Financial Cycle Decomposition for Europe and the U.S. Tinbergen Institute Discussion Paper 16-051/IV.
- Harding, D., & Pagan, A. (2002b). A Comporasion of Two Business Cycle Dating Methods. Journal of Economics Dynamics and Control 27, 1681-1690.
- Harding, D., & Pagan, A. (2002a). Dissecting The Cycle: A Methodological İnvestigation. Journal o Monetary Economics, 365-381.
- Haavio, M. (2012). Financial Cycles and Business Cycles: Some Stylized Facts. Bank of Finland Monetary Policy and Research WP 1.
- Edwards, S., Biscarri, J. G., & Perez De Gracia, F. P. (2003). Stock Market Cycles, Financial Liberalization and Volatility. Journal of International Money and Finance 22, 925-955.
- Duarte, M., Restuccia, D., & Waddle, A. L. (2007). Exchange Rates and Business Cycles Across Countries. Economic Quarterly 93 (1), 57-76.
- Drehmann, M., Borio, C., & Tsatsaronis, K. (2012). Characterising The Financial Cycle: Don’t Lose Sight of The Medium Term, BIS Working Papers 380.
- Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics 87, 178-190.
- Claessens, S., Kose, M. A., & Terrones, M. E. (2011b). Financial Cycles: What? How? When? IMF Working Paper 11/76.
- Claessens, S., Kose, M. A., & Terrones, M. E. (2011a). How do Business and Financial Cycles Interact? IMF Working Paper 11/18.
- Calderon, C., & Fuentes, R. (2010). Characterizing the Business Cycles of Emerging Economies. World Bank Policy Research WP 5343.
- Bry, G., & Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER, New York.
- Berument, H., Kılınç, Z., & Yücel, E. M. (2005). Business Cycles in Turkey and European Union Countries: A Perspective to the Membership. Bilkent University Department of Economics WP05/06.
- BDDK. (2015, 12 18). Bankacılık Düzenleme ve Denetleme Kurulu Kararı: 6602. Ankara, Türkiye.
- Avouyi Dovi, S., & Matheron, J. (2005). Interactions Between Business Cycles, Financial Cycles And Monetary Policy: Stylised Facts. BIS Papers No 22, 273-298.
- Aruoba, B. (2001). Business Cycle Facts for Turkey. University of Pennsylvania Working Paper.
- Anas, J., Billio, M., Ferrara, L., & Luigi Mazzi, G. (2008). A System For Dating And Detecting Turning Points In The Euro Area. The Manchester School 76 5 (549-577).
- Alper, C. E. (2000). Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey. Boğaziçi University Department of Economics WP 2000/11.
- Alper, C. E. (1998). Nominal Stylized Facts for Turkish Business Cycles. METU Studies in Development 25(2), 233-244.
- Alp, H., Başkaya, Y. S., Kılınç, M., & Yüksel, C. (2012). Stylized Facts for Business Cycles in Turkey. TCMB Çalışma Tebliği 12/02.
- Akkoyun, H. Ç., Doğan, B. Ş., & Günay, M. (2011). Türkiye Ekonomisi İş Çevrimlerinin Küresel Ekonomi ile İlişkisi. TCMB Ekonomi Notları 19.
- Akar, C. (2016). Analyzing the Synchronization Between The Financial and Business Cycles in Turkey. Journal of Reviews on Global Economics 5, 25-35.
- ISSN: 1300-0217
- Başlangıç: 1990
- Yayıncı: Türkiye Bankalar Birliği