Investigating the Relationship Between the Financial Conditions Index with Economic Growth and Net Capital Inflow: Causality Analysis for Türkiye
Abstract
The global economic crisis, which had a devastating effect worldwide with the bankruptcy of Lehman Brother's investment bank in the United States of America in 2008, revealed that countries should indicate risks and take precautions accordingly. In this sense, the importance of the Financial Conditions Index (FCI), which was created by considering the monetary policy instruments of the country's central banks and various macroeconomic and financial variables as a whole, has also increased. FCI, the index that has taken place in the literature since the 1990s, with the growth of countries, has been investigated in empirical studies conducted after the global economic crisis. In this study, the related index is calculated using Principal Component Analysis (PCA), and the data generated is analyzed with growth and net capital inflow items. According to the results of the related analysis, while there is bidirectional causality between FCI and real gross domestic product (GDP) growth, one-way causality was found between FCI and net capital inflow. The index created accordingly is the Granger cause of the net capital inflow.
Keywords
Financial Conditions Index Principal Component Analysis Toda Yamamoto Analysis Net Capital Inflow
References
- Akdeniz, C., & Çatık, A. N. (2017). Türkiye için finansal koşulların bir analizi: Faktör ve VAR modellerinden bulgular. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 12(1), 99-120.
- Angelopoulou, E., Balfoussia, H., & Gibson, H. D. (2014). Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?. Economic Modelling, 38, 392-403.
- Balcilar, M., Thompson, K., Gupta, R., & Van Eyden, R. (2016). Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach. Journal of International Financial Markets, Institutions and Money, 43, 30-43.
- Brave, S. & Butters, R. A. (2011). Monitoring financial stability: A financial conditions index approach. Federal Reserve Bank of Chicago Economic Perspectives, 45(1), 22-43.
- Charleroy, R. & Stemmer, M. A. (2014). An emerging market financial conditions index: a var approach. CES Working Paper.
- Davis, E. P., Kirby, S., & Warren, J. (2016). The estimation of financial conditions indices for the major OECD countries. OECD Economics Department Working Papers, No. 1335. OECD Publishing Paris.
- Felek, S., & Ceylan, R. (2021). Geleneksel olmayan para politikası araçlarının finansal istikrar üzerindeki etkisi: Türkiye uygulaması. Business and Economics Research Journal, 12(3), 537-555.
- Field, A. (2018). Discovering statistics using IBM SPSS statistics (5th ed.). Sage Publications.
- Gauthier, C., Graham, C., & Liu, Y. (2004). Financial conditions indexes for Canada (No. 2004-22). Bank of Canada.
- Goodhart, C., & Hofmann, B. (2001, March). Asset prices, financial conditions, and the transmission of monetary policy. In a conference on asset prices, exchange rates, and Monetary Policy, Stanford University (pp. 2-3).
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.
- Gujarati, D. N., Porter, D. (2018). Temel ekonometri (Çev. C., Şenesen, Ü., & Günlük-Şenesen, G.). Literatür Yayıncılık.
- Gumata, M. N., Klein, N., & Ndou, M. E. (2012). A financial conditions index for South Africa. International Monetary Fund.
- Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., & Watson, M. W. (2010). Financial conditions indexes: A fresh look after the financial crisis (No. w16150). National Bureau of Economic Research.
- Ho, G., & Lu, Y. (2013). A financial conditions index for Poland. International Monetary Fund.
- Jolliffe, I. T. (2002). Principal component analysis (Vol. 2). New York: Springer.
- Kaiser, H. F. (1974). An index of factorial simplicity. Psychometrika, 39(1), 31-36.
- Kara, H., Özlü, P., & Ünalmış, D. (2015). Türkiye için finansal koşullar endeksi. Central Bank Review, 15(3), 41-73.
- Kasabalı, C.,(2004). Doğrudan Yabancı Sermaye Yatırımlarının Ekonomik Büyümeye Etkisi: Toda-Yamamoto Yaklaşımı, Yüksek Lisans Tezi, Gazi Üniversitesi Sosyal Bilimler Enstitüsü Ekonometri AnaBilim Dalı.
- Kapetanios, G., Price, S., & Young, G. (2018). A UK financial conditions index using targeted data reduction: Forecasting and structural identification. Econometrics and Statistics, 7, 1-17.
- Kaya, E., & Barut, A. (2020). Finansal koşulların değerlendirilmesi: Türkiye için endeks bazlı bir çalışma. Maliye Dergisi, 177, 121-144.
- Koop, G., & Korobilis, D. (2014). A new index of financial conditions. European Economic Review, 71, 101-116.
- Mayes, D. G., & Virén, M. (2001). Financial conditions indexes, Bank of Finland Discussion Paper No. 2001-17.
- Montagnoli, A., & Napolitano, O. (2005). Financial Condition Index and interest rate settings: a comparative analysis. Istituto di Studi Economici Working Paper, 8, 2005.
- Sahoo, M. (2017). Financial conditions index (FCI), inflation and growth: Some evidence. Theoretical and Applied Economics, 3(612), 147-172.
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1-48.
- Sümer, A. L., & Aydin, N. (2022). Finansal koşullar endeksinin ekonomik büyümeye etkisi: BRICS-T örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 18(1), 224-243.
- Swiston, M. A. (2008). A US financial conditions index: putting credit where credit is due. International Monetary Fund.
- Tarı, R., Koç, S., & Abasız, T. (2019). Ekonometri (14. Baskı). Umuttepe Yayınları, Kocaeli.
- Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
- Zheng, G., & Yu, W. (2014). Financial conditions index's construction and its application on financial monitoring and economic forecasting. Procedia Computer Science, 31, 32-39.
Finansal Koşullar Endeksi ile Ekonomik Büyüme ve Net Sermaye Girişi Arasındaki İlişkinin İncelenmesi: Türkiye İçin Nedensellik Analizi
Abstract
Amerika Birleşik Devletleri’nde Lehman Brother'ın yatırım bankasının 2008 yılında iflas etmesiyle ortaya çıkan küresel ekonomik kriz, ülkelerin riskleri belirlemesi ve buna göre önlem alması gerektiğini ortaya çıkardı. Bu anlamda ülke merkez bankalarının para politikası araçları ile çeşitli makroekonomik ve finansal değişkenler bir bütün olarak ele alınarak oluşturulan Finansal Koşullar Endeksi'nin (FCI) önemi de artmıştır. 1990'lı yıllardan itibaren literatürde yerini alan endeks olan FCI, küresel ekonomik kriz sonrasında yapılan ampirik çalışmalarda ülkelerin büyümesiyle birlikte incelenmiştir. Bu çalışmada ilgili endeks, Temel Bileşenler Analizi (PCA) ile hesaplanmakta ve elde edilen veriler büyüme ve net sermaye girişi kalemleriyle birlikte analiz edilmektedir. İlgili analiz sonuçlarına göre FCI ile reel Gayri Safi Yurtiçi Hasıla (GSYH) büyümesi arasında çift yönlü bir nedensellik bulunurken; FCI ile net sermaye girişi arasında tek yönlü nedensellik bulunmuştur. Buna göre oluşturulan endeksin net sermaye girişinin Granger nedeni olduğu söylenebilir.
Keywords
Finansal Koşullar Endeksi Temel Bileşenler Analizi Toda Yamamoto Analizi Net Sermaye Girişi
References
- Akdeniz, C., & Çatık, A. N. (2017). Türkiye için finansal koşulların bir analizi: Faktör ve VAR modellerinden bulgular. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 12(1), 99-120.
- Angelopoulou, E., Balfoussia, H., & Gibson, H. D. (2014). Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?. Economic Modelling, 38, 392-403.
- Balcilar, M., Thompson, K., Gupta, R., & Van Eyden, R. (2016). Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach. Journal of International Financial Markets, Institutions and Money, 43, 30-43.
- Brave, S. & Butters, R. A. (2011). Monitoring financial stability: A financial conditions index approach. Federal Reserve Bank of Chicago Economic Perspectives, 45(1), 22-43.
- Charleroy, R. & Stemmer, M. A. (2014). An emerging market financial conditions index: a var approach. CES Working Paper.
- Davis, E. P., Kirby, S., & Warren, J. (2016). The estimation of financial conditions indices for the major OECD countries. OECD Economics Department Working Papers, No. 1335. OECD Publishing Paris.
- Felek, S., & Ceylan, R. (2021). Geleneksel olmayan para politikası araçlarının finansal istikrar üzerindeki etkisi: Türkiye uygulaması. Business and Economics Research Journal, 12(3), 537-555.
- Field, A. (2018). Discovering statistics using IBM SPSS statistics (5th ed.). Sage Publications.
- Gauthier, C., Graham, C., & Liu, Y. (2004). Financial conditions indexes for Canada (No. 2004-22). Bank of Canada.
- Goodhart, C., & Hofmann, B. (2001, March). Asset prices, financial conditions, and the transmission of monetary policy. In a conference on asset prices, exchange rates, and Monetary Policy, Stanford University (pp. 2-3).
- Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.
- Gujarati, D. N., Porter, D. (2018). Temel ekonometri (Çev. C., Şenesen, Ü., & Günlük-Şenesen, G.). Literatür Yayıncılık.
- Gumata, M. N., Klein, N., & Ndou, M. E. (2012). A financial conditions index for South Africa. International Monetary Fund.
- Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., & Watson, M. W. (2010). Financial conditions indexes: A fresh look after the financial crisis (No. w16150). National Bureau of Economic Research.
- Ho, G., & Lu, Y. (2013). A financial conditions index for Poland. International Monetary Fund.
- Jolliffe, I. T. (2002). Principal component analysis (Vol. 2). New York: Springer.
- Kaiser, H. F. (1974). An index of factorial simplicity. Psychometrika, 39(1), 31-36.
- Kara, H., Özlü, P., & Ünalmış, D. (2015). Türkiye için finansal koşullar endeksi. Central Bank Review, 15(3), 41-73.
- Kasabalı, C.,(2004). Doğrudan Yabancı Sermaye Yatırımlarının Ekonomik Büyümeye Etkisi: Toda-Yamamoto Yaklaşımı, Yüksek Lisans Tezi, Gazi Üniversitesi Sosyal Bilimler Enstitüsü Ekonometri AnaBilim Dalı.
- Kapetanios, G., Price, S., & Young, G. (2018). A UK financial conditions index using targeted data reduction: Forecasting and structural identification. Econometrics and Statistics, 7, 1-17.
- Kaya, E., & Barut, A. (2020). Finansal koşulların değerlendirilmesi: Türkiye için endeks bazlı bir çalışma. Maliye Dergisi, 177, 121-144.
- Koop, G., & Korobilis, D. (2014). A new index of financial conditions. European Economic Review, 71, 101-116.
- Mayes, D. G., & Virén, M. (2001). Financial conditions indexes, Bank of Finland Discussion Paper No. 2001-17.
- Montagnoli, A., & Napolitano, O. (2005). Financial Condition Index and interest rate settings: a comparative analysis. Istituto di Studi Economici Working Paper, 8, 2005.
- Sahoo, M. (2017). Financial conditions index (FCI), inflation and growth: Some evidence. Theoretical and Applied Economics, 3(612), 147-172.
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1-48.
- Sümer, A. L., & Aydin, N. (2022). Finansal koşullar endeksinin ekonomik büyümeye etkisi: BRICS-T örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 18(1), 224-243.
- Swiston, M. A. (2008). A US financial conditions index: putting credit where credit is due. International Monetary Fund.
- Tarı, R., Koç, S., & Abasız, T. (2019). Ekonometri (14. Baskı). Umuttepe Yayınları, Kocaeli.
- Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
- Zheng, G., & Yu, W. (2014). Financial conditions index's construction and its application on financial monitoring and economic forecasting. Procedia Computer Science, 31, 32-39.
Details
| Primary Language | English |
|---|---|
| Subjects | Financial Economy |
| Journal Section | Articles |
| Authors | |
| Early Pub Date | February 29, 2024 |
| Publication Date | February 29, 2024 |
| Submission Date | December 3, 2023 |
| Acceptance Date | January 15, 2024 |
| Published in Issue | Year 2024 Volume: 9 Issue: 1 |
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.