Türkiye ekonomisinde iktisadi güven endeksleri ve seçilmiş makro değişkenler arasındaki ilişkilerin VAR analizi

Bu çalışma 2005:1-2012:1 dönemine ilişkin aylık verilerle Türkiye’de tüketici ve reel kesim güven endeksinin reel ekonomi üzerinde etkili olup olmadığını ampirik olarak analiz etmektedir. Bu amaçla tüketici ve reel kesim güven endeksleri ile istihdam, hisse senedi piyasası, tüketim harcamaları ve üretim değişimlerinin zaman içinde birbirleriyle olan etkileşimleri ve şokların etkileri iki farklı VAR modeli oluşturularak incelenmiştir. Her iki modelin analiz sonuçları güven endeksinin de önemli makro değişkenler üzerinde etkisi olduğunu göstermektedir.

A VAR Analysis of the relationship between confidence indexes and selected macroeconomic variables: The case for Turkey

This paper empirically examines whether consumer and business confidence indicators have effects on the real economy in Turkey using monthly data over the period 2005:1-2012:1. To this end, two distinct VAR models are constructed to analyze the propagations of shocks to consumer and business confidence indicators, industrial production, consumption expenditures employment, stock market and employment. It is shown that both consumer and business confidence indicators does have impacts on important macroeconomic variables.

PDF

___

Aarle, B.V. ve Kappler, M. (2012), “Economic Sentiment Shocks and Fluctuations in Economic Activity in the Euro Area and the USA”, Intereconomics: Review of European Economic Policy, 47(1), 44-51.

Atsuo, U. (2003), “Confidence and the Real Economy-the Japanese Case”, Applied Economics, 35, 337-342.

Caleiro, A.B. (2006), “How is Confidence Related to Unemployment in Portugal”, Applied Economics Letters, 13(13), 887-890.

Chen, S. (2011), “Lack of Consumer Confidence and Stock Returns”, Journal of Empirical Finance, 18, 225-236.

Çelik, S. ve Özerkek, Y. (2009), “Panel Cointegration Analysis of Consumer Confidence and Personal Consumption in the European Union”, Journal of Business Economics and Management, 2(10), 161-168.

Dées, S. ve Brinca, P.S. (2011), “Consumer Confidence as a Predictor of Consumption Spending: Evidence for the United States and the Euro Area”, European Central Bank Working Paper Series, No.1349. http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1349.pdf

Desroches, B. ve Gosselin, M. (2004), “Evaluating Threshold Effects in Consumer Sentiment”, Southern Economic Journal, 70(4), 942-952.

Desroches, B. ve Gosselin, M. (2002), “The Usefulness of Consumer Confidence Indexes in the United States”, Bank of Canada Working Paper No:22.

Elliott, G., Rothenberg, T.J. ve Stock, J.H. (1996), “Efficient Tests for an Autoregressive Unit Root”, Econometrica, 64, 813–836.

Enders, W. (1995), Applied Econometric Time Series, 2nd Edition, John Wiley&Son.

Garner, C.A. (1991), “Forecasting Consumer Spending: Should Economists Pay Attention to Consumer Confidence Surveys?”, Economic Review, 57-71.

Gelper, S., Lemmens, A. ve Croux, C. (2007), “Consumer Sentiment and Consumer Spending: Decomposing the Granger Causal Relationship in the Time Domain”, Applied Economics, 39(1), 1-11.

Lee, J. ve Strazicich, M.C. (2003) “Minimum LM Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 63, 1082-1089

Ludvigson, S.C. (2004), “Consumer Confidence and Consumer Spending”, Journal of Economic Perspectives, 18, 29–50.

Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Springer.

Matsusaka, J.G. ve Sbordone, A.M. (1995), “Consumer Confidence and Economic Fluctuations” Economic Inquiry, 33(2), 296-318.

Ng, Serena ve Perron, P. (2001) “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69, 1529–1554.

Omay, T. (2008), “Enflasyon ve Büyüme Belirsizliklerinin Enflasyon ve Büyüme ile Olan İlişkileri: Türkiye Örneği”, Çankaya Üniversitesi Fen-Edebiyat Fakültesi Dergisi, 10, 81-108.

Özerkek, Y. ve Çelik, S. (2010), “The Link between Government Spending, Consumer Confidence and Consumption Expenditures in Emerging Market Countries”. Panoeconomicus. 4(57), 471-485.

Santero, T. ve Westerlund, N. (1996), “Confidence Indicators and Their Relationship to Changes in Economic Activity”, OECD Economics Department Working Papers, No.170.

Sims, C.A. (1980), “Macroeconomics and Reality”, Econometrica, 48(1), 1-48.

TCMB (2012a), “Tüketici Eğilim Anketi ve Tüketici Güven Endeksi-Genel Açıklama”, http://www.tcmb.gov.tr/tuketanket/metodoloji.pdf

TCMB (2012b), “Reel Kesim Güven Endeksi (MBRKGE)’ne İlişkin Yöntemsel Açıklama” http://www.tcmb.gov.tr/ikt-yonelim/RKGE-YontemselAciklama.pdf Vuchelen, J. (2004), “Consumer Sentiment and Macroeconomic Forecasts”, Journal of Economic Psychology, 25, 493-506.