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NON-LINEARITY IN SUSTAINABILITY OF CURRENT ACCOUNT BALANCE IN TURKEY

Year 2021, Volume: 22 Issue: 3, 73 - 86, 14.09.2021

İsmail Erkan Çelik Muhittin Kaplan

https://doi.org/10.53443/anadoluibfd.986416

Abstract

This study aims to test current account deficits (CAD) sustainability for Turkish data of 1992Q1-2021Q1. To this end, an empirical model that relates real exports to real imports plus interest payments on external debt is estimated using both linear and non-linear ARDL (NARDL) technique, and linear and asymmetric cointegration among the model variables is tested with the bound test for cointegration approach. While the bound test result of the linear ARDL model provides no evidence to support the sustainability of the current account, the NARDL bound test results indicate that Turkey’s current account balance is sustainable. Moreover, the study results have shown that both positive and negative shocks to imports affect exports significantly and asymmetrically in the short-run and the long-run. Although the impact of positive shocks to imports on exports is significantly higher than the impact of negative shocks, in the long run, the negative shocks cause export growth to decrease at a higher rate than positive shocks in the short-run.

Keywords

Nonlinear autoregressive distributed lag Asymmetric effect Current account sustainability Nonlinear cointegration

References

  • Abioglu, V., Koc, S., & Bakırtaş, I. (2020). The sustainability of the Turkish current account: Smooth structural break and asymmetric adjustments. Int J Fin Econ. 26, 3916–3929. DOI: 10.1002/ijfe.1996.
  • Açıkgöz, S., & Akçağlayan, A. (2014). Türkiye'des cari işlemler açığının sürdürülebilirliği. Ege Akademik Bakış, 14(1), 83–97.
  • Akdoğan, K., & Husein, J. G. (2021). Current account sustainability and nonlinear adjustment. Applied Economics Letters, 1-5, DOI: 10.1080/13504851.2021.1917761.
  • Apergis, N., Katrakilidis, K.P., & Tabakis, N.M., (2000). Current account deficit sustainability: The case of Greece. Applied Economics Letters, 7, 599-603.
  • Bildirici, M. E., & Kayıkçı, F. (2012). Sustainability of CAD in Turkey: Markov switching approach. International Journal of Economics and Finance, 4(2), 135–139. doi:10.5539/ijef.v4n2p135.
  • Chen, S.-W. (2014). Smooth transition, non-linearity and current account sustainability: Evidence from the European countries. Economic Modelling, 38, 541–554.
  • Chen, S.-W., & Xie, Z. (2015). Testing for current account sustainability under assumptions of smooth break and nonlinearity. International Review of Economics & Finance, 38, 142–156.
  • Chen, W-S. (2014). Smooth transition, non-linearity and current account sustainability: Evidence from the European countries. Economic Modelling, 38, 541–554. http://dx.doi.org/10.1016/j.econmod.2014.02.003.
  • Chortareas, G. E., Kapetanios, G., & Uctum, M. (2004). An investigation of current account solvency in Latin America using non linear nonstationarity tests. Studies in Nonlinear Dynamics & Econometrics, 8(1). DOI: 10.2202/1558-3708.1200
  • Christopoulos, D., & Le_on-Ledesma, M. A. (2010). Current account sustainability in the US: What did we really know about it? Journal of International Money and Finance, 29(3), 442–459.
  • Çiğdem, G. (2017). Sustainability of current account deficit in Turkey and an Ampirical Analysys for unit root test with two structural breaks. International Journal of Economics and Finance, 9 (12), 253–259.
  • Dissou, Y., & Nafie, Y. (2019). Sustainability of current account deficits: Evidence from Egypt using an asymmetric ARDL model. The Journal of Economic Asymmetries, 20, 1-11. https://doi.org/10.1016/j.jeca.2019.e00126
  • Hakkio, C.S., & Rush, M. (1991). Is the budget deficit “too large? Economic Inquiry, 39(July), 429-445.
  • Hepsag, A. (2021) Testing for cointegration in nonlinear asymmetric smooth transition error correction models. Communications in Statistics - Simulation and Computation, 50(2), 400-412, DOI: 10.1080/03610918.2018.1559927.
  • Holmes, M. J., Panagiotidis, T., & Sharma, A. (2011). The sustainability of India's current account. Applied Economics, 43(2), 219–229.
  • Husted S. (1992). The emerging U.S. current account deficit in the 1980s: A cointegration analysis. The Review of Economics and Statics, February, 159-166.
  • Iyidogan, P. V., & Turan, T. (2018). Current account sustainability: A non-linear comparative empirical overview. Panoeconomicus, 65(4), 411–426. http://dx.doi.org/10.2298/PAN141102007I.
  • Kalyoncu, H. (2005). Sustainability of current account for Turkey: Intertemporal solvency approach. Prague Economic Papers, 14(1), 82-88.
  • Karış, Ç. (2020). Cari açık belirleyicileri ve sürdürülebilirlik olasılığı ilişkisi: Türkiye. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8 (İktisadi ve İdari Bilimler), 99–106. http://dx.doi.org/10.18506/anemon.634510.
  • Koç, S., & Bakırtaş, İ. (2016). Türkiye’de cari açığın sürdürülebilirliği: Kointegrasyon testlerinden bulgular. Sosyal Bilimler Dergisi, 49, 252-277.
  • Kouadio, H. K. & N'Guessan, R. K. (2021). Degree of sustainability of current account: evidence from Cote d ’İvoire using a non-linear approach, Helijon, 7, 1-8, e06589.
  • Ongan, S. (2008). The sustainability of current account deficits and tourism receipts in Turkey. The International Trade Journal, 22 (1), 39–62. DOI: 10.1080/08853900701784060.
  • Ordoñez-Callamand, D., Melo-Velandia L. F. & Valencia-Arana O. M. (2018). Asymmetric behaviour of current account sustainability in Latin America. International Finance, 21, 2–22.
  • Pesaran, M. H., & Shin, Y. (1998). An autoregressive distributed-lag modelling approach to cointegration analysis. Econometric Society Monographs, 31, 371–413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Polat, Ö. (2011). Sustainability of the current account deficit in Turkey. African Journal of Business Management, 52(2), 577–581. DOI: 10.5897/AJBM10.920.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in honor of peter schmidt (pp. 281–314). Springer.
  • Trehan, B., & Walsh, C. E. (1991). Testing intertemporal budget constraints: Theory and applications to US federal budget and current account deficits. Journal of Money, Credit, and Banking, 23(2), 206–223.
  • Wickens M.R.& Uctum., M. (1993). the sustainability of current account deficits: A test of the U.S. intertemporal budget constraint, Journal of Economic Dynamics and Control, 17, 423-441
  • Wu, J.-L., (2000). Mean reversion of the current account: evidence from the panel data unit-root test, Economics Letters, 66, 215–222.
  • Wu, J.-L., Chen, S. L., & Lee, H. Y. (2001). Are current account deficits sustainable? Evidence from Panel Cointegration, Economics Letters, 72, 219–224.
  • Wu, J-L., Stilianos, & F., Chen, S-L. (1996). Testing for the sustainability of the current account deficit in two industrial countries. Economics Letters, 52(2), 193-198.
  • Yücel, F., & Yanar, R. (2005). Türkiye'de cari işlem açıkları sürdürülebilir mi? Zaman serileri perspektifinden bir bakış. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 483–492.

TÜRKİYE’DE CARİ IŞLEMLER DENGESİNİN SÜRDÜRÜLEBİLİRLİĞİNDE DOĞRUSAL OLMAYAN DURUM

Year 2021, Volume: 22 Issue: 3, 73 - 86, 14.09.2021

İsmail Erkan Çelik Muhittin Kaplan

https://doi.org/10.53443/anadoluibfd.986416

Abstract

Bu çalışmanın amacı 1992Q1-2021Q1 Türkiye verileri için cari işlemler açığının (CAD) sürdürülebilirliğini test etmektir. Bu amaçla, reel ihracatı reel ithalat artı dış borç faiz ödemeleri ile ilişkilendiren ampirik bir model; hem doğrusal hem de doğrusal olmayan ARDL (NARDL) tekniği kullanılarak tahmin edilmiş ve model değişkenleri arasında doğrusal ve asimetrik eşbütünleşme sınır testi ile test edilmiştir. Lineer ARDL modelinin sınır testi sonucu cari hesabın sürdürülebilirliğini destekleyecek herhangi bir kanıt sunmazken, NARDL sınır testi sonuçları Türkiye'nin cari işlemler dengesinin sürdürülebilir olduğunu göstermektedir. Ayrıca, çalışma sonuçları, ithalata yönelik hem pozitif hem de negatif şokların, kısa ve uzun vadede ihracatı önemli ölçüde ve asimetrik olarak etkilediğini göstermiştir. Pozitif şokların ithalat üzerindeki etkisi, negatif şokların etkisinden önemli ölçüde daha yüksek olmasına rağmen, uzun dönemde negatif şoklar, kısa dönemde ihracat büyümesinin pozitif şoklardan daha hızlı düşmesine neden olmaktadır.

Keywords

doğrulsal olmayan gecikmesi dağıtılmış otoregresif model asimetrik etki cari işlemler dengesi doğrusal olmayan eşbütünleşme

References

  • Abioglu, V., Koc, S., & Bakırtaş, I. (2020). The sustainability of the Turkish current account: Smooth structural break and asymmetric adjustments. Int J Fin Econ. 26, 3916–3929. DOI: 10.1002/ijfe.1996.
  • Açıkgöz, S., & Akçağlayan, A. (2014). Türkiye'des cari işlemler açığının sürdürülebilirliği. Ege Akademik Bakış, 14(1), 83–97.
  • Akdoğan, K., & Husein, J. G. (2021). Current account sustainability and nonlinear adjustment. Applied Economics Letters, 1-5, DOI: 10.1080/13504851.2021.1917761.
  • Apergis, N., Katrakilidis, K.P., & Tabakis, N.M., (2000). Current account deficit sustainability: The case of Greece. Applied Economics Letters, 7, 599-603.
  • Bildirici, M. E., & Kayıkçı, F. (2012). Sustainability of CAD in Turkey: Markov switching approach. International Journal of Economics and Finance, 4(2), 135–139. doi:10.5539/ijef.v4n2p135.
  • Chen, S.-W. (2014). Smooth transition, non-linearity and current account sustainability: Evidence from the European countries. Economic Modelling, 38, 541–554.
  • Chen, S.-W., & Xie, Z. (2015). Testing for current account sustainability under assumptions of smooth break and nonlinearity. International Review of Economics & Finance, 38, 142–156.
  • Chen, W-S. (2014). Smooth transition, non-linearity and current account sustainability: Evidence from the European countries. Economic Modelling, 38, 541–554. http://dx.doi.org/10.1016/j.econmod.2014.02.003.
  • Chortareas, G. E., Kapetanios, G., & Uctum, M. (2004). An investigation of current account solvency in Latin America using non linear nonstationarity tests. Studies in Nonlinear Dynamics & Econometrics, 8(1). DOI: 10.2202/1558-3708.1200
  • Christopoulos, D., & Le_on-Ledesma, M. A. (2010). Current account sustainability in the US: What did we really know about it? Journal of International Money and Finance, 29(3), 442–459.
  • Çiğdem, G. (2017). Sustainability of current account deficit in Turkey and an Ampirical Analysys for unit root test with two structural breaks. International Journal of Economics and Finance, 9 (12), 253–259.
  • Dissou, Y., & Nafie, Y. (2019). Sustainability of current account deficits: Evidence from Egypt using an asymmetric ARDL model. The Journal of Economic Asymmetries, 20, 1-11. https://doi.org/10.1016/j.jeca.2019.e00126
  • Hakkio, C.S., & Rush, M. (1991). Is the budget deficit “too large? Economic Inquiry, 39(July), 429-445.
  • Hepsag, A. (2021) Testing for cointegration in nonlinear asymmetric smooth transition error correction models. Communications in Statistics - Simulation and Computation, 50(2), 400-412, DOI: 10.1080/03610918.2018.1559927.
  • Holmes, M. J., Panagiotidis, T., & Sharma, A. (2011). The sustainability of India's current account. Applied Economics, 43(2), 219–229.
  • Husted S. (1992). The emerging U.S. current account deficit in the 1980s: A cointegration analysis. The Review of Economics and Statics, February, 159-166.
  • Iyidogan, P. V., & Turan, T. (2018). Current account sustainability: A non-linear comparative empirical overview. Panoeconomicus, 65(4), 411–426. http://dx.doi.org/10.2298/PAN141102007I.
  • Kalyoncu, H. (2005). Sustainability of current account for Turkey: Intertemporal solvency approach. Prague Economic Papers, 14(1), 82-88.
  • Karış, Ç. (2020). Cari açık belirleyicileri ve sürdürülebilirlik olasılığı ilişkisi: Türkiye. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8 (İktisadi ve İdari Bilimler), 99–106. http://dx.doi.org/10.18506/anemon.634510.
  • Koç, S., & Bakırtaş, İ. (2016). Türkiye’de cari açığın sürdürülebilirliği: Kointegrasyon testlerinden bulgular. Sosyal Bilimler Dergisi, 49, 252-277.
  • Kouadio, H. K. & N'Guessan, R. K. (2021). Degree of sustainability of current account: evidence from Cote d ’İvoire using a non-linear approach, Helijon, 7, 1-8, e06589.
  • Ongan, S. (2008). The sustainability of current account deficits and tourism receipts in Turkey. The International Trade Journal, 22 (1), 39–62. DOI: 10.1080/08853900701784060.
  • Ordoñez-Callamand, D., Melo-Velandia L. F. & Valencia-Arana O. M. (2018). Asymmetric behaviour of current account sustainability in Latin America. International Finance, 21, 2–22.
  • Pesaran, M. H., & Shin, Y. (1998). An autoregressive distributed-lag modelling approach to cointegration analysis. Econometric Society Monographs, 31, 371–413.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
  • Polat, Ö. (2011). Sustainability of the current account deficit in Turkey. African Journal of Business Management, 52(2), 577–581. DOI: 10.5897/AJBM10.920.
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in honor of peter schmidt (pp. 281–314). Springer.
  • Trehan, B., & Walsh, C. E. (1991). Testing intertemporal budget constraints: Theory and applications to US federal budget and current account deficits. Journal of Money, Credit, and Banking, 23(2), 206–223.
  • Wickens M.R.& Uctum., M. (1993). the sustainability of current account deficits: A test of the U.S. intertemporal budget constraint, Journal of Economic Dynamics and Control, 17, 423-441
  • Wu, J.-L., (2000). Mean reversion of the current account: evidence from the panel data unit-root test, Economics Letters, 66, 215–222.
  • Wu, J.-L., Chen, S. L., & Lee, H. Y. (2001). Are current account deficits sustainable? Evidence from Panel Cointegration, Economics Letters, 72, 219–224.
  • Wu, J-L., Stilianos, & F., Chen, S-L. (1996). Testing for the sustainability of the current account deficit in two industrial countries. Economics Letters, 52(2), 193-198.
  • Yücel, F., & Yanar, R. (2005). Türkiye'de cari işlem açıkları sürdürülebilir mi? Zaman serileri perspektifinden bir bakış. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 483–492.
There are 33 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Araştırma Makalesi
Authors

İsmail Erkan Çelik 0000-0001-8178-8749

Muhittin Kaplan 0000-0002-0685-7641

Publication Date September 14, 2021
Submission Date August 24, 2021
Published in Issue Year 2021 Volume: 22 Issue: 3

Cite

APA Çelik, İ. E., & Kaplan, M. (2021). NON-LINEARITY IN SUSTAINABILITY OF CURRENT ACCOUNT BALANCE IN TURKEY. Anadolu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 22(3), 73-86. https://doi.org/10.53443/anadoluibfd.986416
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