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.

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Kaynak Göster