The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience

VAROL İYİDOĞAN, PELİN

The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience

PELİN VAROL İYİDOĞAN (Hacettepe Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ankara, Türkiye)

Anadolu Üniversitesi Sosyal Bilimler Dergisi

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Yıl: 2014 Cilt: 14 Sayı: 2 Sayfa Aralığı: 71 - 80 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience

Öz:

Çalışmanın amacı, bütçe dengesi ve cari işlemler dengesi arasındaki ilişkinin Türkiye için araştırılmasıdır. Yazından farklı olarak, nedensel ilişki ilgili değişkenlerin volatilitesi dikkate alınarak incelenmektedir. Bu doğrultuda, çok değişkenli GARCH (MGARCH) modeli ve Türkiye’nin 1987-2005 çeyrek verileri kullanılmaktadır. Seçim kriterleri ve otokorelasyon test sonuçlarına göre, analiz için uygun model olarak sabit koşullu korelasyon modeli belirlenmektedir. Bu modele uygulanan Granger nedensellik testinin ortaya koyduğu bulgular, bütçe dengesinin cari işlemler dengesi üzerinde etkili olmadığını göstermektedir. Buna karşın, cari işlemler dengesi gerek bütçe dengesi gerekse bütçe dengesinin volatilitesi üzerinde belirleyici olmaktadır. Bu nedenle, cari işlemler dengesine yönelik politikaların aynı zamanda bütçe dengesini de etkilediği göz önünde bulundurulmalıdır.

Anahtar Kelime:

Bütçe dengesi ve cari işlemler dengesi arasındaki nedensel ilişkinin MGARCH yöntemiyle analizi: Türkiye deneyimi

Öz:

The aim of the study is to explore the causality relationship between the budget balance and the current account balance of Turkey. Differently from the literature, the causality relationship is examined by considering the volatility of the variables in question. Accordingly, the multivariate GARCH (MGARCH) methodology for modelling the volatility and 1987-2005 quarterly data of Turkey are utilized. Depending upon the results of the selection criterion and autocorrelation tests, constant conditional correlation (CCC) model is determined as the appropriate MGARCH model for the analysis. The results of the Granger causality test applied on the CCC model find no evidence that supports the effect of the budget deficit on the current account deficit. Contrarily, the current account balance is found to be influential both on the budget balance and the volatility of the budget balance. Therefore it should be considered that the policies regarding the current account balance affects the budget balance as well.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	VAROL İYİDOĞAN P (2014). The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. , 71 - 80.
Chicago	VAROL İYİDOĞAN PELİN The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. (2014): 71 - 80.
MLA	VAROL İYİDOĞAN PELİN The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. , 2014, ss.71 - 80.
AMA	VAROL İYİDOĞAN P The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. . 2014; 71 - 80.
Vancouver	VAROL İYİDOĞAN P The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. . 2014; 71 - 80.
IEEE	VAROL İYİDOĞAN P "The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience." , ss.71 - 80, 2014.
ISNAD	VAROL İYİDOĞAN, PELİN. "The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience". (2014), 71-80.

APA	VAROL İYİDOĞAN P (2014). The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14(2), 71 - 80.
Chicago	VAROL İYİDOĞAN PELİN The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi 14, no.2 (2014): 71 - 80.
MLA	VAROL İYİDOĞAN PELİN The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi, vol.14, no.2, 2014, ss.71 - 80.
AMA	VAROL İYİDOĞAN P The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi. 2014; 14(2): 71 - 80.
Vancouver	VAROL İYİDOĞAN P The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi. 2014; 14(2): 71 - 80.
IEEE	VAROL İYİDOĞAN P "The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience." Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14, ss.71 - 80, 2014.
ISNAD	VAROL İYİDOĞAN, PELİN. "The analysis of the causal relationship between budget balance and current account balance by MGARCH methodology: Turkey experience". Anadolu Üniversitesi Sosyal Bilimler Dergisi 14/2 (2014), 71-80.