EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

YILMAZ, Alper; ÜNLÜ, AHMET

EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Alper YILMAZ, (Adnan Menderes Üniversitesi, Söke İşletme Fakültesi, Uluslararası Ticaret ve İşletmecilik Bölümü, Aydın, Türkiye)

Ahmet ÜNLÜ (Adnan Menderes Üniversitesi, Nazilli İktisadi ve İdari Bilimler Fakültesi, Ekonometri Bölümü, Aydın, Türkiye)

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

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Yıl: 2018 Cilt: 36 Sayı: 4 Sayfa Aralığı: 117 - 147 Metin Dili: İngilizce İndeks Tarihi: 12-06-2019

EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE

Öz:

Recently Turkish economy isclassified as ‘fragile five’ with Brazil,India, Indonesia and South Africabecause of some structural deficienciesand imbalances in its macroeconomicvariables. Turkey’s fragility can be observed ormeasured by some economic indicators and one ofthem is Credit Default Swap (CDS) spread. Itrepresents default probability of Turkish economyand it’s affected by many macroeconomic indicators.This study examines the determinants of CDS spreadby using time series analysis for the period of 2011-2017 monthly data. On that note the relationshipsbetween the variables are tested with Johansencointegration test to determine relationship in thelong run. After determining long term relationshipbetween the variables, the VECM (Vector ErrorCorrection) model in cointegration framework isestimated in order to determine short termrelationship. Lastly Granger test under VECM isapplied in order to establish the uni or bi-directionalcausality between variables. In this frame weconclude that there is granger causality whichdirected from Current Account to Foreign Exchangeand Foreign Exchange to CDS spread like a knock oneffect. Also according to cointegration coefficientthere is positive relationship between ForeignExchange and CDS spread but we couldn’t supportstatistically significant relationship between CurrentAccount and CDS spread.

Anahtar Kelime:

Konular: İşletme İktisat

BAZI MAKROEKONOMİK DEĞİŞKENLERİN RİSK ALGISI ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ

Öz:

Türkiye ekonomisi bazı yapısal yetersizlikler ve makroekonomik değişkenlerindeki bazı dengesizlikler nedeniyle yükselen piyasa ekonomileri içinde Brezilya, Endonezya, G. Afrika ve Hindistan ile birlikte kırılgan beşli olarak da adlandırılan ekonomilerden biri olarak gösterilmektedir. Söz konusu kırılganlığı birtakım ekonomik değişkenler üzerinden gözlemleyebilmek ya da ölçebilmek mümkündür. Bu değişkenlerden birisi olan Kredi Temerrüt Takası (CDS) Türkiye’nin borçlarını ödeyememe ihtimalini yansıtmakta ve diğer makro değişkenlerden etkilenmektedir. Bu çalışma 2011-2017 dönemi aylık verilerini zaman serisi analiz yöntemleriyle kullanarak CDS üzerindeki belirleyiciliğini inceleyecektir. Bu bağlamda değişkenler arasındaki uzun dönemli ilişkiler Johansen eş bütünleşme testi ile araştırılmıştır. Değişkenler arasında uzun dönemli ilişki belirlendikten sonra eşbütünleşme çerçevesinde VECM modeli ile kısa dönemli dinamikler incelenmiştir. Son olarak değişkenler arasında tek yada çift yönlü nedensellik ilişkisi olup olmadığı VECM nedensellik testi ile araştırılmıştır. Bu çerçevede tıpkı bir zincirin halkaları gibi cari açık değişkeninden kur değişkenine ve kur değişkeninde CDS değişkenine Granger nedensellik ilişkisi tespit edilmiştir. Ayrıca eşbütünleşme katsayıları, döviz kuru değişkeni ile CDS değişkeni arasında pozitif ilişkiye işaret ederken, cari açık değişkeni ile CDS değişkeni arasında istatistiksel olarak anlamlı bir ilişki tespit edilememiştir.

Anahtar Kelime:

Konular: İşletme İktisat

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

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APA	YILMAZ A, ÜNLÜ A (2018). EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. , 117 - 147.
Chicago	YILMAZ Alper,ÜNLÜ AHMET EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. (2018): 117 - 147.
MLA	YILMAZ Alper,ÜNLÜ AHMET EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. , 2018, ss.117 - 147.
AMA	YILMAZ A,ÜNLÜ A EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. . 2018; 117 - 147.
Vancouver	YILMAZ A,ÜNLÜ A EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. . 2018; 117 - 147.
IEEE	YILMAZ A,ÜNLÜ A "EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE." , ss.117 - 147, 2018.
ISNAD	YILMAZ, Alper - ÜNLÜ, AHMET. "EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE". (2018), 117-147.

APA	YILMAZ A, ÜNLÜ A (2018). EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(4), 117 - 147.
Chicago	YILMAZ Alper,ÜNLÜ AHMET EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36, no.4 (2018): 117 - 147.
MLA	YILMAZ Alper,ÜNLÜ AHMET EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.36, no.4, 2018, ss.117 - 147.
AMA	YILMAZ A,ÜNLÜ A EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018; 36(4): 117 - 147.
Vancouver	YILMAZ A,ÜNLÜ A EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018; 36(4): 117 - 147.
IEEE	YILMAZ A,ÜNLÜ A "EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE." Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36, ss.117 - 147, 2018.
ISNAD	YILMAZ, Alper - ÜNLÜ, AHMET. "EFFECT OF SOME MACROECONOMIC VARIABLES ON RISK PERCEPTION: THE TURKISH CASE". Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36/4 (2018), 117-147.