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 İndirme 28
Turkiye'de Hisse Senetleri, Banka Kredileri ve Ekonomik Buyume İliskisi: Zaman Serileri Analizi
2020
Dergi:  
Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Yazar:  
Özet:

In this study, the relationship between stocks, bank credits and economic growth in Turkey is analyzed using the data of 1986:Q1-2019:Q2 period. Stationarity of the series is examined by Carrion-i-Silvestre et al. (2009) multiple structural break unit root test and it is found that all series are I(1). Cointegration relationships between the series are investigated by Maki (2012) multiple structural break cointegration test and it is determined that the series in the models are cointegrated. Structural break dates determined endogenously by cointegration test are included in the long-term analysis with dummy variables. Long-term analyzes are carried out with the help of DOLS, FMOLS and CCR methods and it is determined that 1% increase in bank loans increases economic growth by 0.14% and 1% increase in stock prices raises it by 0.86%. Short-term analysis is also conducted by DOLS, FMOLS and CCR methods within the framework of the error correction model and it is found that credits by banks and stocks rise economic growth also in short term. The error correction mechanisms of the models operate. Causality relationships between the series are analyzed by VECM causality test and two-way short-term causality relationship between bank credits and economic growth and one-way causality from bank credits and economic growth to stocks are determined. In long-term, causality relationships from bank credits and stocks to economic growth and from bank credits and economic growth to stocks are estimated.

Anahtar Kelimeler:

Bank Loans and Economic Growth Relationships In Turkey: Time Series Analysis
2020
Yazar:  
Özet:

In this study, the relationship between stocks, bank credits and economic growth in Turkey is analyzed using the data of 1986:Q1-2019:Q2 period. Stationarity of the series is examined by Carrion-i-Silvestre et al. (2009) multiple structural break unit root test and it is found that all series are I(1). Cointegration relationships between the series are investigated by Maki (2012) multiple structural break cointegration test and it is determined that the series in the models are cointegrated. Structural break dates determined endogenously by cointegration test are included in the long-term analysis with dummy variables. Long-term analyzes are carried out with the help of DOLS, FMOLS and CCR methods and it is determined that 1% increase in bank loans increases economic growth by 0. 14% and 1% increase in stock prices raises it by 0.86%. Short-term analysis is also conducted by DOLS, FMOLS and CCR methods within the framework of the error correction model and it is found that credits by banks and stocks rise economic growth also in short-term. The error correction mechanisms of the models operate. Causality relationships between the series are analyzed by VECM causality test and two-way short-term causality relationship between bank credits and economic growth and one-way causality from bank credits and economic growth to stocks are determined. In the long-term, causality relationships from bank credits and stocks to economic growth and from bank credits and economic growth to stocks are estimated.

Anahtar Kelimeler:

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Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Alan :   Sosyal, Beşeri ve İdari Bilimler

Dergi Türü :   Ulusal

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