International Journal of Economics and Financial Issues, 2018
This study investigates how stock market prices react to oil prices and money supply shocks in Tu... more This study investigates how stock market prices react to oil prices and money supply shocks in Turkey using a nonlinear ARDL approach. We establish the time series properties of the data using both conventional linear unit root tests and the procedure advanced by Zivot-Andrews (1992) to consider the possible existence of endogenous break in the series. Empirical evidence revealed asymmetric cointegration through Wald statistics of Pesaran and Banerjee. Findings suggest asymmetric responses of Turkish stock market prices to oil prices and money supply shocks, confirming the importance of non-linearity in macro-finance variables. Namely, in the long-run, we find a significant negative relation between oil prices and stock market prices. Meanwhile, stock market prices react positively to negative (positive) shocks in money supply. The obtained evidence of the asymmetric behaviors of stock prices should be taken into account by stock market participants when dealing with their portfolio...
Elektrik enerji girdisinin sürdürülebilir ekonomik büyüme ve endüstriyel kalkınma içinönemi sıklı... more Elektrik enerji girdisinin sürdürülebilir ekonomik büyüme ve endüstriyel kalkınma içinönemi sıklıkla vurgulanmaktadır. Endüstriyel kalkınma ve yüksek yaşam standartları isteğielektrik talebini artırmaktadır. Literatürde, elektrik tüketimi-ekonomik büyüme ilişkisisıklıkla incelenmiş olsa da ilişkinin yönü konusunda farklı görüşler öne sürülmüştür. Buçalışmada, 1980-2011 dönemi için OECD üyesi G-11 ülkeleri örneğinde, elektrik tüketimi ileekonomik büyüme arasındaki ilişki Cobb-Douglass üretim fonksiyonu yardımıyla, sermayebirikimi ve işgücü değişkenleri de kullanılarak panel eşbütünleşme yardımıyla test edilmiştir.Nedenselliğin yönünü tespit etmek için Panel Granger nedensellik testi uygulanmıştır. Ampirikbulgulara göre; elektrik tüketimi, sermaye birikimi ve işgücü değişkenlerinin ekonomikbüyümeyi teorik beklentilerimizle uyumlu olarak pozitif yönde etkilediği görülmüştür.Nedensellik testi sonuçlarına göre ise, uzun dönemde elektrik tüketimi ve ekonomik büyümearasında çift yönlü nedenselliğin olduğu bulgusu elde edilmiştirThe importance of electrical energy input for sustainable economic growth and industrialdevelopment is often highlighted. The desire for industrial development and high livingstandards has increased the demand for electricity. Although the relationship betweenelectricity consumption and economic growth has been often examined, different views havebeen argued about the direction of this relationship. In this study, in the case of G11 countriesof OECD during the period 1980-2011, the relationship between electricity consumption andeconomic growth through Cobb-Douglass production function and the relationship betweencapital accumulation and labor force variables through panel co-integration were tested. PanelGranger causality test was applied to determining the direction of the causality. Accordingto empirical findings, the positive impact of electricity consumption, capital accumulationand labor force on economic growth were observed in accordance with our theoreticalexpectations. Morever, the results of causality test in the long-run reveal that there is a bidirectionalcausality relationship between electricity consumption and economic growth.</p
The purpose of this study is to investigate the twin deficit problem for the Turkisheconomy using... more The purpose of this study is to investigate the twin deficit problem for the Turkisheconomy using bounds testing approach known as ARDL (autoregressive distributed lag)to cointegration method and Toda and Yamamoto (1995) Granger causality test. The studycovers the annual data from 1974 to 2010. The cointegration test results suggest that thevariables are moving together in the long run. The positive value on the budget deficitcoefficient implies that Turkey has a twin deficit problem. The presence of twin deficit hasalso been supported by the Toda-Yamamota causality test results. As expected, the negativeand less than 1 investment coefficient indicates Feldstein-Horioka hypothesis holds.Further, it indicates that Turkey could not well-integrated into the international capitalmarkets with the model revealing that one fifth of the investments are financed throughforeign savings</p
The emergence of inflation targeting over the !ast ten years has been one of the important develo... more The emergence of inflation targeting over the !ast ten years has been one of the important developments in the approach of central bank to the conduct of monetary policy. A number of industrial countries and emerging economies adopted inflation targeting as response to the difficulties they had encountered in conducting their monetary policy using an exchange rate peg or some monetary aggregate as the main intermadiate target. This study outlines some priorities of inflation targeting regime. The experiece of inflation targeting suggestes that this policy requries a strong fiscal position; macroeconomic stability; central bank instrument independence; a well knowledge for transmission mechanism between monetary policy and inflation; and transparency of monetary policy to develop accountability and credibility of central bank. Developing countries have more specific problems to design and implement inflation targeting than industrial countries. Difficulties that are arised from are...
Empirical investigations examining the relationship between budget deficits, monetary growth and ... more Empirical investigations examining the relationship between budget deficits, monetary growth and inflation have not reached a consensus on the possible relationship between deficits, monetary growth and the rate of inflation. But the major outcome from the empirical studies indicated strong evidence that a budget deficit financed through monetisation and a rising money supply could lead to inflation. The inflationary effect of budget deficits depends on the means by which the deficit is financed and the impact of that on aggregate demand. In this study, budget deficits, monetary growth and inflation relationships are investigated by utilizing the ARDL bounds testing approach for Turkey over the period 1992:1-2006:12. While empirical results show that there is a statistically positive relationship between monetary growth and inflation in both long and short run, no connection found between inflation and budget deficit in the both runs.
The study investigates cointegration and causality between primary energy consumption, CO emis- s... more The study investigates cointegration and causality between primary energy consumption, CO emis- sions, per capita gross domestic product and investments for Turkey using ARDL bounds testing approach complemented by Johansen–Juselius cointegration framework for time span 1970-2008. Empirical results indicate that there is an evidence of a long-run relationship between the variables in Turkey. The results indicate that uni-directional causality exists from economic growth and primary energy consumption to carbon dioxide emission both in the short-run. It has also been found that energy consumption, economic growth and investment are the long-run causes for CO emissions. An important policy implication is that energy consumption can be considered as an important factor for the economic growth and investment in Turkey. Moreover, as higher energy consumption also means higher pollution in the long-run, policy makers should stimulate alternative energy sources for meeting up the increasin...
Abstract We extend the topical literature on the cyclical behavior of fiscal policy in developing... more Abstract We extend the topical literature on the cyclical behavior of fiscal policy in developing countries subject to terms of trade cycles by applying the interactive fixed effects model that allow for unobserved time-varying heterogeneity in the impact of fundamentals. Based on a sample of 20 sub-Saharan African (SSA) countries from 1985 to 2017, our results support existing evidence about developing countries that fiscal policy is pro-cyclical in SSA countries. Whereas this pro-cyclicality is valid for government spending and fiscal balance, government revenue is slightly counter-cyclical. We also find that the pro-cyclicality of government expenditure and fiscal balance escalates during episodes of terms of trade booms. Our results make a strong case for the support of the pivotal role of Sovereign Wealth Funds, access to international financial markets, and flexible exchange rate regimes in reversing the pro-cyclical behavior of fiscal policy.
Abstract Motivated by the absence of conclusive guidance from the current literature, this study ... more Abstract Motivated by the absence of conclusive guidance from the current literature, this study revisits the effects of terms of trade shocks on real effective exchange rates (RER) across twenty-three primary commodity-exporting countries in Africa. To address the heterogeneity across primary commodities that may have plagued earlier studies, we employed a nonlinear panel ARDL approach to capture both the cross-section and time variations across primary commodities. Our analysis offers three main finding patterns. Firstly, we highlighted that the response of the RER to terms of trade shocks is asymmetric: the real appreciation is more pronounced for positive than negative shocks in terms of trade in the long-run while negative shocks in terms of trade cause the RER to depreciate in the short-run. Secondly, we found that the asymmetric responses of RER differ across commodity subgroups and seem to matter more for energy-exporting countries. Finally, we showed that energy and metal commodity-exporting subgroups are the most subject to real appreciation in the long run in comparison to countries exporting soft commodities such as agricultural and, food and beverage commodities. A fundamental policy corollary follows that there is a need to remediate the loss of the external competitiveness associated with real appreciation by coordinating monetary and fiscal policies to effectively absorb the huge additional foreign reserves and ensure an exchange rate equilibrium level, which will bring macroeconomic stability in primary commodity-exporting countries.
International Journal of Economics and Financial Issues, 2018
This study investigates how stock market prices react to oil prices and money supply shocks in Tu... more This study investigates how stock market prices react to oil prices and money supply shocks in Turkey using a nonlinear ARDL approach. We establish the time series properties of the data using both conventional linear unit root tests and the procedure advanced by Zivot-Andrews (1992) to consider the possible existence of endogenous break in the series. Empirical evidence revealed asymmetric cointegration through Wald statistics of Pesaran and Banerjee. Findings suggest asymmetric responses of Turkish stock market prices to oil prices and money supply shocks, confirming the importance of non-linearity in macro-finance variables. Namely, in the long-run, we find a significant negative relation between oil prices and stock market prices. Meanwhile, stock market prices react positively to negative (positive) shocks in money supply. The obtained evidence of the asymmetric behaviors of stock prices should be taken into account by stock market participants when dealing with their portfolio...
Elektrik enerji girdisinin sürdürülebilir ekonomik büyüme ve endüstriyel kalkınma içinönemi sıklı... more Elektrik enerji girdisinin sürdürülebilir ekonomik büyüme ve endüstriyel kalkınma içinönemi sıklıkla vurgulanmaktadır. Endüstriyel kalkınma ve yüksek yaşam standartları isteğielektrik talebini artırmaktadır. Literatürde, elektrik tüketimi-ekonomik büyüme ilişkisisıklıkla incelenmiş olsa da ilişkinin yönü konusunda farklı görüşler öne sürülmüştür. Buçalışmada, 1980-2011 dönemi için OECD üyesi G-11 ülkeleri örneğinde, elektrik tüketimi ileekonomik büyüme arasındaki ilişki Cobb-Douglass üretim fonksiyonu yardımıyla, sermayebirikimi ve işgücü değişkenleri de kullanılarak panel eşbütünleşme yardımıyla test edilmiştir.Nedenselliğin yönünü tespit etmek için Panel Granger nedensellik testi uygulanmıştır. Ampirikbulgulara göre; elektrik tüketimi, sermaye birikimi ve işgücü değişkenlerinin ekonomikbüyümeyi teorik beklentilerimizle uyumlu olarak pozitif yönde etkilediği görülmüştür.Nedensellik testi sonuçlarına göre ise, uzun dönemde elektrik tüketimi ve ekonomik büyümearasında çift yönlü nedenselliğin olduğu bulgusu elde edilmiştirThe importance of electrical energy input for sustainable economic growth and industrialdevelopment is often highlighted. The desire for industrial development and high livingstandards has increased the demand for electricity. Although the relationship betweenelectricity consumption and economic growth has been often examined, different views havebeen argued about the direction of this relationship. In this study, in the case of G11 countriesof OECD during the period 1980-2011, the relationship between electricity consumption andeconomic growth through Cobb-Douglass production function and the relationship betweencapital accumulation and labor force variables through panel co-integration were tested. PanelGranger causality test was applied to determining the direction of the causality. Accordingto empirical findings, the positive impact of electricity consumption, capital accumulationand labor force on economic growth were observed in accordance with our theoreticalexpectations. Morever, the results of causality test in the long-run reveal that there is a bidirectionalcausality relationship between electricity consumption and economic growth.</p
The purpose of this study is to investigate the twin deficit problem for the Turkisheconomy using... more The purpose of this study is to investigate the twin deficit problem for the Turkisheconomy using bounds testing approach known as ARDL (autoregressive distributed lag)to cointegration method and Toda and Yamamoto (1995) Granger causality test. The studycovers the annual data from 1974 to 2010. The cointegration test results suggest that thevariables are moving together in the long run. The positive value on the budget deficitcoefficient implies that Turkey has a twin deficit problem. The presence of twin deficit hasalso been supported by the Toda-Yamamota causality test results. As expected, the negativeand less than 1 investment coefficient indicates Feldstein-Horioka hypothesis holds.Further, it indicates that Turkey could not well-integrated into the international capitalmarkets with the model revealing that one fifth of the investments are financed throughforeign savings</p
The emergence of inflation targeting over the !ast ten years has been one of the important develo... more The emergence of inflation targeting over the !ast ten years has been one of the important developments in the approach of central bank to the conduct of monetary policy. A number of industrial countries and emerging economies adopted inflation targeting as response to the difficulties they had encountered in conducting their monetary policy using an exchange rate peg or some monetary aggregate as the main intermadiate target. This study outlines some priorities of inflation targeting regime. The experiece of inflation targeting suggestes that this policy requries a strong fiscal position; macroeconomic stability; central bank instrument independence; a well knowledge for transmission mechanism between monetary policy and inflation; and transparency of monetary policy to develop accountability and credibility of central bank. Developing countries have more specific problems to design and implement inflation targeting than industrial countries. Difficulties that are arised from are...
Empirical investigations examining the relationship between budget deficits, monetary growth and ... more Empirical investigations examining the relationship between budget deficits, monetary growth and inflation have not reached a consensus on the possible relationship between deficits, monetary growth and the rate of inflation. But the major outcome from the empirical studies indicated strong evidence that a budget deficit financed through monetisation and a rising money supply could lead to inflation. The inflationary effect of budget deficits depends on the means by which the deficit is financed and the impact of that on aggregate demand. In this study, budget deficits, monetary growth and inflation relationships are investigated by utilizing the ARDL bounds testing approach for Turkey over the period 1992:1-2006:12. While empirical results show that there is a statistically positive relationship between monetary growth and inflation in both long and short run, no connection found between inflation and budget deficit in the both runs.
The study investigates cointegration and causality between primary energy consumption, CO emis- s... more The study investigates cointegration and causality between primary energy consumption, CO emis- sions, per capita gross domestic product and investments for Turkey using ARDL bounds testing approach complemented by Johansen–Juselius cointegration framework for time span 1970-2008. Empirical results indicate that there is an evidence of a long-run relationship between the variables in Turkey. The results indicate that uni-directional causality exists from economic growth and primary energy consumption to carbon dioxide emission both in the short-run. It has also been found that energy consumption, economic growth and investment are the long-run causes for CO emissions. An important policy implication is that energy consumption can be considered as an important factor for the economic growth and investment in Turkey. Moreover, as higher energy consumption also means higher pollution in the long-run, policy makers should stimulate alternative energy sources for meeting up the increasin...
Abstract We extend the topical literature on the cyclical behavior of fiscal policy in developing... more Abstract We extend the topical literature on the cyclical behavior of fiscal policy in developing countries subject to terms of trade cycles by applying the interactive fixed effects model that allow for unobserved time-varying heterogeneity in the impact of fundamentals. Based on a sample of 20 sub-Saharan African (SSA) countries from 1985 to 2017, our results support existing evidence about developing countries that fiscal policy is pro-cyclical in SSA countries. Whereas this pro-cyclicality is valid for government spending and fiscal balance, government revenue is slightly counter-cyclical. We also find that the pro-cyclicality of government expenditure and fiscal balance escalates during episodes of terms of trade booms. Our results make a strong case for the support of the pivotal role of Sovereign Wealth Funds, access to international financial markets, and flexible exchange rate regimes in reversing the pro-cyclical behavior of fiscal policy.
Abstract Motivated by the absence of conclusive guidance from the current literature, this study ... more Abstract Motivated by the absence of conclusive guidance from the current literature, this study revisits the effects of terms of trade shocks on real effective exchange rates (RER) across twenty-three primary commodity-exporting countries in Africa. To address the heterogeneity across primary commodities that may have plagued earlier studies, we employed a nonlinear panel ARDL approach to capture both the cross-section and time variations across primary commodities. Our analysis offers three main finding patterns. Firstly, we highlighted that the response of the RER to terms of trade shocks is asymmetric: the real appreciation is more pronounced for positive than negative shocks in terms of trade in the long-run while negative shocks in terms of trade cause the RER to depreciate in the short-run. Secondly, we found that the asymmetric responses of RER differ across commodity subgroups and seem to matter more for energy-exporting countries. Finally, we showed that energy and metal commodity-exporting subgroups are the most subject to real appreciation in the long run in comparison to countries exporting soft commodities such as agricultural and, food and beverage commodities. A fundamental policy corollary follows that there is a need to remediate the loss of the external competitiveness associated with real appreciation by coordinating monetary and fiscal policies to effectively absorb the huge additional foreign reserves and ensure an exchange rate equilibrium level, which will bring macroeconomic stability in primary commodity-exporting countries.
Özet Bu çalışma, 1989-2008 dönemi üçer aylık veriler kullanarak Türkiye’de ihracat, kur değişkenl... more Özet Bu çalışma, 1989-2008 dönemi üçer aylık veriler kullanarak Türkiye’de ihracat, kur değişkenliği, yurtdışı gelir, nispi ihracat fiyatı ve doğrudan yabancı sermaye girişi arasındaki ilişki Johansen eşbütünleşme yöntemi ve değişkenler arasındaki nedensellik ilişkileri hata düzeltme yöntemleriyle araştırılmıştır. Modelde döviz kuru değişkenliği, reel döviz kuru endeksinin değişim oranının standart sapmasının hareketli ortalaması olarak belirlenmiştir. VAR yöntemiyle elde edilen uzun dönem tahmin sonuçlarında ihracatla kur değişkenliği ve nispi ihracat fiyatı arasında negatif, doğrudan yabancı sermaye girişiyle pozitif ve anlamlı ilişki görülmüştür. Yurtdışı gelir değişkeninin işareti pozitif olsa da anlamlı bulunmamıştır. Nedensellik modellerinden sadece ihracat, doğrudan yabancı yatırım ve yurtdışı gelir modellerinde uzun dönem nedenselliğe rastlanmış ve bu sonucun VAR yönteminde elde edilen bulguları desteklediği görülmüştür.
Anahtar Kelimeler: Kur Değişkenliği, İhracat, Eşbütünleşme, Nedensellik, Türkiye Econometric Analysis of Relationship Between Exchange Rate Variability and Export in Turkey: 1989-2008
Abstract
This paper aims to examine the long run and causal relationship between export, reel exchange rate variability, foreign income, relative export price and foreign direct investment inflows by using multivariate Johansen Cointegration technique and error correction model using quarterly data over the period 1989-2008. In this paper, exchange rate volatility is measured by moving average of the standard deviation of the real exchange rate. The major finding of the VAR model is that increases in the exchange rate variability and relative export price exert negative impacts on Turkish export in the long-run. In addition, the results also indicate that while there is a positive and significant relationship between FDI and export, no significant relationship is found between foreign income and export variable. The results of the Granger causality test show that there is a long run causality effect between export and other variables, which supports the VAR cointegration result. Keywords: Exchange rate variability, Export, Cointegration, Causality, Turkey.
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Papers by Halil ALTINTAŞ
Anahtar Kelimeler: Kur Değişkenliği, İhracat, Eşbütünleşme, Nedensellik,
Türkiye Econometric Analysis of Relationship Between Exchange Rate Variability and Export in Turkey: 1989-2008
Abstract
This paper aims to examine the long run and causal relationship between export, reel exchange rate variability, foreign income, relative export price and foreign direct investment inflows by using multivariate Johansen Cointegration technique and error correction model using quarterly data over the period 1989-2008. In this paper, exchange rate volatility is measured by moving average of the standard deviation of the real exchange rate. The major finding of the VAR model is that increases in the exchange rate variability and relative export price exert negative impacts on Turkish export in the long-run. In addition, the results also indicate that while there is a positive and significant relationship between FDI and export, no significant relationship is found between foreign income and export variable. The results of the Granger causality test show that there is a long run causality effect between export and other variables, which supports the VAR cointegration result. Keywords: Exchange rate variability, Export, Cointegration, Causality, Turkey.