Finansal Koşulların Değerlendirilmesi: Türkiye İçin Endeks Bazlı Bir Çalışma

Bu çalışmanın amacı, Türkiye için 2007:Ç2-2018:Ç4 zaman aralığında finansal piyasaların görünümünü yansıtabilecek Finansal Koşullar Endeksi (FKE) oluşturmak ve bu endeksin ekonomik aktivitelerle olan ilişkisini tespit etmektir. FKE, bazı finansal piyasa göstergeleri kullanılarak Vektör Otoregresyon (VAR) modelinden elde edilen etki-tepki analizleri üzerinden hesaplanmıştır. Oluşturulan FKE’nin, Türkiye için finansal çevrimlerin anlaşılması açısından önemli ve faydalı bilgi içerdiği tespit edilmiştir. FKE’nin oluşturulmasının ardından ekonomik aktivitelerle olan ilişkisi araştırılmıştır. FKE’nin ekonomik aktivitelerle ilişkisini ölçmek için Maki eşbütünleşme testi ve DOLS modeli kullanılmıştır. Elde edilen bulgular, FKE bileşenlerinin ekonomik aktiviteleri temsil eden bazı değişkenlerden etkilendiğine ve bu değişkenlerin FKE’yi tahmin etmede başarılı olduklarına işaret etmektedir.

Evaluation of Financial Conditions: An Index Based Study for Turkey

The aim of this study is to construct Financial Conditions Index (FCI) to reflect the outlook of financial markets in Turkey for the period of 2007:Q2-2018:Q4 and to determine the relationship between the index and economic activity. The FCI is calculated over the impulse-response analysis derived from the Vector Autoregression (VAR) model using some financial market indicators. It is determined that calculated FCI includes important and useful information to understand the financial cycle for Turkey. Following the calculation of the FCI, relationship between FCI and economic activities is examined. Maki cointegration test and DOLS model are used to measure the relationship between FCI and economic activities. The findings indicate that the components of FCI are affected from the variables representing economic activities and these variables are successful in predicting FCI.

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