You are here

Home » Content

TÜRKİYE’DE MİLLİ GELİR-KREDİ İLİŞKİSİNİN AMPİRİK ANALİZİ

AN EMPIRICAL ANALYSIS OF OUTPUT-CREDIT RELATIONSHIP IN TURKEY

Journal Name:

  • Yönetim ve Ekonomi Araştırmaları Dergisi

Publication Year:

  • 2013
DOI: 
http://dx.doi.org/10.11611/JMER186

Key Words:

Keywords (Original Language):

Author Name
Abstract (2. Language): 
With the latest global financial crisis, the debate about the role of credit in affecting output has intensified. In this respect, it has become necessary to investigate output-credit relationship for Turkey. In this paper, we aim to analyze the empirical relationship between output and credit by employing different econometric techniques. First, we employed cross correlation, regression and VAR analysis. Following this, we used Bounds test approach in order to investigate cointegration relationship between output and credit. Then, ARDL approach is employed with the purpose of investigating the long and short- term static relationship between output and credit. The results show that output leads credit in Turkey. Credit responds significantly to an output shock, but not vice versa. According to Bounds Test results, we have found a significant long run cointegration relationship between output and credit. ARDL model results show that credit coefficients are not significant but error correction mechanism works.
Bookmark/Search this post with
Abstract (Original Language): 
Son küresel finansal krizle birlikte, kredilerin milli gelir üzerindeki etkisine ilişkin tartışmalar hızlanmıştır. Bu çerçevede, Türkiye’de milli gelir-kredi ilişkisini inceleme gereği ortaya çıkmıştır. Bu çalışmada, milli gelir ve kredi arasındaki ampirik ilişkinin farklı ekonometrik yöntemler kullanılarak incelenmesi amaçlanmaktadır. Öncelikle, çapraz korelasyon, regresyon ve VAR analizi yapılmıştır. Ardından, Bounds testi yaklaşımıyla milli gelir ve krediler arasındaki eşbütünleşme ilişkisi incelenmiştir. Daha sonra, milli gelir ve krediler arasındaki kısa ve uzun dönemli ilişkinin statik olarak incelenmesi amacıyla ARDL yaklaşımı kullanılmıştır. Sonuçlar Türkiye’de milli gelirin kredileri öncülediğini ortaya koymuştur. Krediler milli gelir şokuna anlamlı bir biçimde tepki gösterirken tersi durum geçerli değildir. Bounds testi sonuçlarına göre, milli gelir ve krediler arasında uzun dönemli eşbütünleşme ilişkisi bulunmuştur. ARDL modeli sonuçları kredi katsayılarının anlamlı olmadığını, fakat hata düzeltme mekanizmasının işlediği göstermektedir.
FULL TEXT (PDF): 
PDF icon arastirmax-turkiyede-milli-gelir-kredi-iliskisinin-ampirik-analizi.pdf
  • 1
63
81
  • Turkish

JEL Codes:

REFERENCES

References: 

Biggs, M., Mayer, T. and Pick, A. (2009) Credit and Economic Recovery, DNB Working Paper
No.218.
Calvo, G., Izquierdo, A., and Talvi, E. (2006b) Sudden Stops and Phoenix Miracles in Emerging
Markets, American Economic Review, 96 (2): 405-410.
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 Association, 74: 427–431.
Karfakis, C. (2013) Credit and Business Cycles in Greece: Is there any relationship? Economic
Modelling, Volume 32: 23-29.
Gilchrist, S. and Zakrajsek, E. (2012) Credit Spreads and Business Cycle Fluctuations, American
Economic Review, Volume 102 (4): 1692-1720.
Jorda, O., S. Moritz, and Taylor, M. (2010) Financial Crises, Credit Booms, and External Imbalances:
140years of lessons. NBER Working Paper, No.16567, 1-43.
Hayek, F. (1929) Monetary Theory and the Trade Cycle, Jonathan Cape, London.
Helbling,T., Huidrom, R., Kose, M.A., Otrok, C. (2011) Do Credit Shocks Matter? A Global
Perspective, European Economic Review, 55(3): 340-353.
Lahura, E. (2011) An Empirical Analysis of the Credit-Output Relationship: Evidence from Peru.
Central Bank of Peru, Working Paper Series, 2011-018.
Lown, C., Morgan, D.P. (2004) The credit Cycle and The Business Cycle: New Findings Using The
Loan Officer Opinion Survey, Journal of Money, Credit, and Banking 38: 1575–1597.
Kara, H., and Tiryaki, T. (2013) Credit impulse and business cycle, CBT Research Notes in
Economics No. 13/10: 19.
Meeks, R. (2012) Do Credit Market Shocks Drive Output Fluctuations? Evidence from
Corporate Spreads And Defaults, Journal of Economic Dynamics and Control, 36 (4): 568–584.
Mutluer-Kurul, D. (2012) Flow data on Consumer Loans, CBT Research Notes in Economics No.
12/35, December 13, 2012.
Narayan, S. and Narayan, P.K. (2004) Determinats of Demand of Fiji’s Exports: An Empirical
Investigation, The Developing Economics, XVII-1 95-112.
Yönetim ve Ekonomi Araþtýrmalarý Dergisi – Sayý:21 (2013) - Doi: http://dx.doi.org/10.11611/JMER186
81
Perri, F. and Quadrini, V. (2011) International Recessions, NBER Working Papers, 17201, National
Bureau of Economic Research.
Phillips, P.C.B and Perron, P. (1988) Testing for a Unit Root in Time Series Regression, Biometrika,
75: 335–346.
Pesaran, M.H., Shin, Y., Smith, R.J. (2001) Bounds testing approaches to the analysis of level
relationships, Journal of Applied Econometrics, 16:.289-326.
Schularick, M. and Alan M. Taylor (2009). Credit Booms Gone Bust: Monetary Policy, Leverage
Cycles and Financial Crises, 1870-2008. NBER Working Papers, No. 15512,.1- 38.
Schumpeter, J. A. (1934) The Theory of Economic Development (Translated by Redvers Opie).
Cambridge, MA: Harvard University Press.
Zhu, F., (2011) Credit and Business Cycles: Some Stylized Facts, BIS draft,.1–30.

Thank you for copying data from http://www.arastirmax.com