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Bu çalışmanın ilk aşamasında Diebold ve Yılmaz (2009) Yayılma Endeksi yöntemi ile iktisadi dalgalanmaların uluslararası yayılımı incelenmiştir. Çalışmanın ikinci aşamasında ise para politikasının durum asimetrisi Markov Rejim Değişimi yöntemi ile test edilmiştir. Yayılım Endeksi bulgularına göre, Türkiye’yi etkileyen şokların %48’i dış kaynaklıdır. Türkiye’de meydana gelen iktisadi dalgalanmaların %12,5’i Güney Kore’den, %8,4’ü ABD’den, %6,4’ü Japonya’dan, %4,5’i Yunanistan’dan ve %3,2’si ise İspanya ekonomisinden kaynaklanmaktadır. Bu sonuçlara göre, bu ülkelerin iktisadi koşulları, Türkiye ekonomisi için bir öncü gösterge niteliğindedir. Markov Rejim Değişimi modeli bulguları ise, Türkiye ekonomisinin büyüme rejiminde ortalama %1,82 büyüdüğünü, daralma rejiminde ortalama %3,38 küçüldüğünü ve döviz kurundaki artışların büyümeyi yavaşlattığını göstermektedir. Son olarak TCMB’nin, genişleme rejiminde reel etki meydana getirebildiği ancak durgunluk ile mücadelede reel etki yaratamadığına dair ekonometrik kanıtlar elde edilmiştir.
In the first phase of this study, Diebold and Yılmaz (2009) study the international spread of economic volatilities with the spread index method. In the second phase of the study, the situation asymmetry of monetary policy was tested by the method of Markov's regime change. According to the results of the Broadcasting Index, 48% of the shocks affecting Turkey are external. 12.5% of the economic volatility in Turkey is from South Korea, 8.4% from the United States, 6.4% from Japan, 4.5% from Greece and 3.2% from the Spanish economy. According to these findings, the economic conditions of these countries are a leading indicator for the Turkish economy. The findings of the Markov regime change model show that the economy of Turkey has grown 1.82 per cent in average in the growth regime, reduced 3.38 per cent in average in the reduction regime and slowed the growth in the exchange rate. Finally, economic evidence has been obtained that the TCMB could have a real impact on the expansion regime but could not have a real impact on the fight against stagnation.
In the first phase of this study the international spillover of economic fluctuations is investigated by Diebold and Yılmaz (2009) Spillover Index method. In the second stage of the study, the state asymmetry of the monetary policy has been tested by Markov Regime Switching method. According to the Spillover Index findings, 48% of economic shocks affecting the Turkey caused by external shocks. The economic fluctuations that occurred in Turkey are originated 12,5% from South Korea, 8.4% from US, 6.4% from Japan, 4.5% from Greece and 3.2% from the Spanish Economy. According to these results, the economic conditions of these countries are leading indicators for the Turkish Economy. Markov Regime Switching model findings show that Turkish Economy grows 1.82% on an average in the expansion, shrinks 3.38% on an average in the contraction and an increase in the exchange rate slows the economic growth in Turkey. Finally obtained econometric evidence shows that CBRT can bring real effect in expansion regime but not create real impact in the fight against recession.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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