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Küresel Finansal Stresin Türk Devletlerinin Ekonomileri Üzerindeki Etkisi

Year 2024, Volume: 27 Issue: 1, 18 - 30, 30.04.2024

Ali Özer Serkan Unal İstemi Çömlekçi

https://doi.org/10.29249/selcuksbmyd.1319691

Abstract

Bu çalışmada Türk Devletleri Teşkilatı üyesi olan Türkiye, Kazakistan, Azerbaycan, Özbekistan ve Kırgızistan devletlerinde küresel finansal stresin ekonomik etkileri araştırılmıştır. Bu araştırma ile öncelikle Türki cumhuriyetlerin global ekonomiye ne ölçüde entegre olduklarını ve global mali strese ne derece duyarlı oldukları analiz edilmiştir. İkinci olarak Türki cumhuriyetlerin kendi arasında da ekonomik direnç farklılıkları analiz edilebilmiştir. Üçüncü olarak hem ekonomik büyüklük hem dış ticaret verileri bağımlı değişken olarak kullanılmış ve bu sayede farklı boyutlarıyla finansal stresin etkisini tayin etmek mümkün olmuştur. Küresel finansal stresin göstergesi olarak St. Louis Finansal Stres Endeksi kullanılmış; ekonomik göstergeler olarak ise gayri safi yurt içi hasıladaki değişim, ithalattaki değişim ve ihracattaki değişim kullanılmıştır. Çalışma dönemi olarak St. Louis Finansal Stres Endeksi’nin hesaplanma başlangıç tarihi olan 1993 ile 2022 yıllar arası belirlenmiştir. Araştırmada EKK, GMM ve ARDL yöntemleriyle oluşturulmuş modellerden faydalanılmıştır. Çalışma döneminde GSYİH ve ihracatta en fazla yüzdesel artış Azerbaycan’da gerçekleşirken ithalatta en yüksek artış Kırgızistan’da gerçekleşmiştir. Araştırmadan elde edilen bulgulara göre küresel finansal stresin Türk cumhuriyetlerinin temel ekonomik performansında negatif etkiye sahip olduğu görülmektedir. Araştırma sonuçları finansal stresin özellikle GSYİH üzerinde negatif etkisi olduğunu, ithalat ve ihracat üzerindeki etkisinin ise sınırlı olduğunu göstermektedir.

Keywords

Küresel finansal stres Turki Cumhuriyetler Gsyih İhracat İthalat

References

  • Aboura, S. and Roye, B. (2017). Financial stress and economic dynamics: The case of France, International Economics 149, 57–73.
  • Bahramian, P., Saliminezhad, A. and Aker, Ş. (2022). The link between financial stress index and economic activity: prominent Granger causalities across frequencies in Luxembourg, Journal of Economic Studies, 49 (1), 126-139.
  • Balakrishnan, R., Danninger, S., Elekdağ, S.and Tytell, I. (2011) The Transmission of Financial Stress from Advanced to Emerging Economies, Emerging Markets Finance and Trade, 47(2), 40-68, DOI: 10.2753/REE1540-496X4703S203.
  • Biglarkhani, G., Beytari, J. and Sefidbakht, E. (2023). The Effect of Macroeconomic Indicators on the Financial Stress Index in the Members of the Organization of the Petroleum Exporting Countries (OPEC), International Journal of Finance and Managerial Accounting, 8 (29), Spring, 195-209.
  • Bouri, E., Gupta, R., Lau, C.K.M., Roubaud, D., Wang, S. (2018) Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles, The Quarterly Review of Economics and Finance, 69, 297–307.
  • Brown, R. L, J. Durbin and J. M. Evans (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society. Series B (Methodological). Vol. 37, No. 2 (1975), 149-192.
  • Bülbül, H. ve Akgül, I. (2018). Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Aralık, 13 (3), 125 – 140.
  • Cardarelli, R., Elekdag, S. and Lall, S. (2011). Financial stress and economic contractions, Journal of Financial Stability, 7, 78–97.
  • Çevik, E.İ., Dibooglu, S., Kutan, M.A. (2013). Measuring financial stress in transition economies, Journal of Financial Stability, 9, 597–611.
  • Dahalan, J., Hussin, B. A., Umar, M. (2016). Measuring Financial Stress Index for Malaysian Economy, International Journal of Economics and Financial Issues, 6 (3), 942-947.
  • Dünya Bankası. (2023). Dünya bankası temel ekonomi verileri. Kaynak: https://data.worldbank.org/ Ekinci, A. (2013). Financial Stress Index For Turkey, Doğuş Üniversitesi Dergisi, 14 (2), 213-229.
  • Engle, R. F. ve Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
  • Filatov, V. (2021). A New Financial Stress Index for Ukraine, Visnyk of the National Bank of Ukraine, No. 251, 37–54.
  • Gomis-Porqueras, Pedro, Romina Ruprecht, and Xuan Zhou (2023). \A Financial Stress Index for a Small Open Economy: The Australian Case," Finance and Economics Discussion Series 2023-029. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2023.029.
  • Hansen, L.P. (1982). Large Sample Properties Of Generalized Method Of Moments Estimators. Econometrica, 50(4): 1029-1054.
  • Hayashi, F. (2011), Econometrics, Princeton University Press.
  • Illing, M. and Liu, Y. (2003). An Index of Financial Stress for Canada, Bank of Canada Working Paper 2003-14, June.
  • Ishrakieh, L.M., Dagher, L., El Hariri, S. (2020). A financial stress index for a highly dollarized developing country: The case of Lebanon, Central Bank Review, 20, 43-52.
  • Johansen, S,ve Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration--with applications to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
  • Kim, H., Shi, W. and Kim, H.H. (2020). Forecasting financial stress indices in Korea: a factor model approach, Empirical Economics, 59:2859–2898.
  • Kliesen, K. L., Owyang, M. T. ve Vermann, E. K. (2012). Disentangling diverse measures: A survey of financial stress indexes. Federal Reserve Bank of St. Louis Review, 94(5), 369-397.
  • Long, T.Q. and Morgan, P.J. (2023) Monetary Policies and Financial Stress During the COVID-19 Pandemic: An Event Study Analysis, Emerging Markets Finance and Trade, 59:5, 1572-1590, DOI: 10.1080/1540496X.2022.2148462
  • MacDonald Ronald, Sogiakas Vasilios, Tsopanakis Andreas (2018). Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index, Journal of International Financial Markets, Institutions and Money, 52, 17-36, https://doi.org/10.1016/j.intfin.2017.09.003
  • Manamperi, Nimantha (2015). A Comparative Analysis on US Financial Stress Indicators, International Journal of Economics and Financial Issues, 5(2), 613-623.
  • Monin P.J. (2019). The OFR Financial Stress Index. Risks. 7 (1), 25, https://doi.org/10.3390/risks7010025
  • Nadežda Siņenko, Deniss Titarenko & Mikus Āriņš (2013) The Latvian financial stress index as an important element of the financial system stability monitoring framework, Baltic Journal of Economics, 13:2, 87-112, DOI: 10.1080/1406099X.2013.10840534.
  • Nazlıoğlu, Ş., Soytaş, U. and Gupta, R. (2015). Oil prices and financial stress: A volatility spillover analysis. Energy Policy, 82, 278–288.
  • Newey W.K. ve West. K.D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica. 55(3): 703-708.
  • Pesaran, M.H. ve Shin, Y., 1999. An Autoregressive Distributed Lag-Modelling Approaches to Co-Integration Analysis, Chapter 11, in Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Strom S.Cambridge University Press, Cambridge.
  • Pesaran, M. H., Y. Shin ve R. Smith (2001). Bounds Testing Approach to the analysis of Level Relationships. Journal of Applied Economics, 16, 289-326.
  • Sahoo, J.(2021) Financial stress index, growth and price stability in India: some recent evidence, Transnational Corporations Review, 13 (2), 222-236. DOI:10.1080/19186444.2020.1768789.
  • Xin Sheng, Won Joong Kim, Rangan Gupta, and Qiang Ji (2023). The impacts of oil price volatility on financial stress: Is the COVID-19 period different?. International Review of Economics and Finance 85, 520–532.
  • Verbeck, M. (2012), A Guide to Modern Econometrics, John Wiley&Sons Ltd. Sussex, United Kingdom.
  • Yin, W., Chen, Z., Luo, X. and Kirkulak-Uludag, B. (2022): Forecasting cryptocurrencies’ price with the financial stress index: a graph neural network prediction strategy, Applied Economics Letters, DOI: 10.1080/13504851.2022.2141436.
  • Zheng Fu, Zhiguo Chen, Arshian Sharif, Ummara Razi (2022). The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach, Resources Policy, 78, 102860, https://doi.org/10.1016/j.resourpol.2022.102860.
  • Ziyodilloev Khushnud, Zhou Qingjie (2022). The Factors Influencing to Financing Stability of Banking Industry: In Case of Central Asian Countries. Reports. 2 (1), 22-31. doi: 10.11648/j.reports.20220201.14

The Effect of Global Financial Stress on The Economies of Turkish States

Year 2024, Volume: 27 Issue: 1, 18 - 30, 30.04.2024

Ali Özer Serkan Unal İstemi Çömlekçi

https://doi.org/10.29249/selcuksbmyd.1319691

Abstract

In this study, the economic effects of global financial stress in the states of Turkey, Kazakhstan, Azerbaijan, Uzbekistan, and Kyrgyzstan, which are members of the Organization of Turkic States, were investigated. With this research, firstly, the extent to which the Turkic Republics are integrated into the global economy and how sensitive they are to global financial stress has been analyzed. Secondly, the differences in the economic resistance of the Turkic republics among themselves could be analyzed. Thirdly, both economic size and foreign trade data were used as dependent variables, thus it was possible to determine the effect of financial stress with its different dimensions. As an indicator of global financial stress, St. Louis financial stress index was used, and the change in gross domestic product, change in imports, and change in exports were used as economic indicators. As a research period, St. Louis financial stress index was calculated between 1993 and 2022. The research used models created by Least Squares, GMM, and ARDL methods. During the study period, the highest proportional increase in GDP and exports occurred in Azerbaijan, while the highest increase in imports occurred in Kyrgyzstan. According to the findings obtained from the study, it is seen that global financial stress has a negative effect on the economic performance of the Turkic Republics. Research results show that financial stress has a negative impact, especially on GDP, and its effect on imports and exports is limited.

Keywords

Global financial stress Turkic Republics GDP Exports Imports

References

  • Aboura, S. and Roye, B. (2017). Financial stress and economic dynamics: The case of France, International Economics 149, 57–73.
  • Bahramian, P., Saliminezhad, A. and Aker, Ş. (2022). The link between financial stress index and economic activity: prominent Granger causalities across frequencies in Luxembourg, Journal of Economic Studies, 49 (1), 126-139.
  • Balakrishnan, R., Danninger, S., Elekdağ, S.and Tytell, I. (2011) The Transmission of Financial Stress from Advanced to Emerging Economies, Emerging Markets Finance and Trade, 47(2), 40-68, DOI: 10.2753/REE1540-496X4703S203.
  • Biglarkhani, G., Beytari, J. and Sefidbakht, E. (2023). The Effect of Macroeconomic Indicators on the Financial Stress Index in the Members of the Organization of the Petroleum Exporting Countries (OPEC), International Journal of Finance and Managerial Accounting, 8 (29), Spring, 195-209.
  • Bouri, E., Gupta, R., Lau, C.K.M., Roubaud, D., Wang, S. (2018) Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles, The Quarterly Review of Economics and Finance, 69, 297–307.
  • Brown, R. L, J. Durbin and J. M. Evans (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society. Series B (Methodological). Vol. 37, No. 2 (1975), 149-192.
  • Bülbül, H. ve Akgül, I. (2018). Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, Aralık, 13 (3), 125 – 140.
  • Cardarelli, R., Elekdag, S. and Lall, S. (2011). Financial stress and economic contractions, Journal of Financial Stability, 7, 78–97.
  • Çevik, E.İ., Dibooglu, S., Kutan, M.A. (2013). Measuring financial stress in transition economies, Journal of Financial Stability, 9, 597–611.
  • Dahalan, J., Hussin, B. A., Umar, M. (2016). Measuring Financial Stress Index for Malaysian Economy, International Journal of Economics and Financial Issues, 6 (3), 942-947.
  • Dünya Bankası. (2023). Dünya bankası temel ekonomi verileri. Kaynak: https://data.worldbank.org/ Ekinci, A. (2013). Financial Stress Index For Turkey, Doğuş Üniversitesi Dergisi, 14 (2), 213-229.
  • Engle, R. F. ve Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
  • Filatov, V. (2021). A New Financial Stress Index for Ukraine, Visnyk of the National Bank of Ukraine, No. 251, 37–54.
  • Gomis-Porqueras, Pedro, Romina Ruprecht, and Xuan Zhou (2023). \A Financial Stress Index for a Small Open Economy: The Australian Case," Finance and Economics Discussion Series 2023-029. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2023.029.
  • Hansen, L.P. (1982). Large Sample Properties Of Generalized Method Of Moments Estimators. Econometrica, 50(4): 1029-1054.
  • Hayashi, F. (2011), Econometrics, Princeton University Press.
  • Illing, M. and Liu, Y. (2003). An Index of Financial Stress for Canada, Bank of Canada Working Paper 2003-14, June.
  • Ishrakieh, L.M., Dagher, L., El Hariri, S. (2020). A financial stress index for a highly dollarized developing country: The case of Lebanon, Central Bank Review, 20, 43-52.
  • Johansen, S,ve Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration--with applications to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210.
  • Kim, H., Shi, W. and Kim, H.H. (2020). Forecasting financial stress indices in Korea: a factor model approach, Empirical Economics, 59:2859–2898.
  • Kliesen, K. L., Owyang, M. T. ve Vermann, E. K. (2012). Disentangling diverse measures: A survey of financial stress indexes. Federal Reserve Bank of St. Louis Review, 94(5), 369-397.
  • Long, T.Q. and Morgan, P.J. (2023) Monetary Policies and Financial Stress During the COVID-19 Pandemic: An Event Study Analysis, Emerging Markets Finance and Trade, 59:5, 1572-1590, DOI: 10.1080/1540496X.2022.2148462
  • MacDonald Ronald, Sogiakas Vasilios, Tsopanakis Andreas (2018). Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index, Journal of International Financial Markets, Institutions and Money, 52, 17-36, https://doi.org/10.1016/j.intfin.2017.09.003
  • Manamperi, Nimantha (2015). A Comparative Analysis on US Financial Stress Indicators, International Journal of Economics and Financial Issues, 5(2), 613-623.
  • Monin P.J. (2019). The OFR Financial Stress Index. Risks. 7 (1), 25, https://doi.org/10.3390/risks7010025
  • Nadežda Siņenko, Deniss Titarenko & Mikus Āriņš (2013) The Latvian financial stress index as an important element of the financial system stability monitoring framework, Baltic Journal of Economics, 13:2, 87-112, DOI: 10.1080/1406099X.2013.10840534.
  • Nazlıoğlu, Ş., Soytaş, U. and Gupta, R. (2015). Oil prices and financial stress: A volatility spillover analysis. Energy Policy, 82, 278–288.
  • Newey W.K. ve West. K.D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica. 55(3): 703-708.
  • Pesaran, M.H. ve Shin, Y., 1999. An Autoregressive Distributed Lag-Modelling Approaches to Co-Integration Analysis, Chapter 11, in Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Strom S.Cambridge University Press, Cambridge.
  • Pesaran, M. H., Y. Shin ve R. Smith (2001). Bounds Testing Approach to the analysis of Level Relationships. Journal of Applied Economics, 16, 289-326.
  • Sahoo, J.(2021) Financial stress index, growth and price stability in India: some recent evidence, Transnational Corporations Review, 13 (2), 222-236. DOI:10.1080/19186444.2020.1768789.
  • Xin Sheng, Won Joong Kim, Rangan Gupta, and Qiang Ji (2023). The impacts of oil price volatility on financial stress: Is the COVID-19 period different?. International Review of Economics and Finance 85, 520–532.
  • Verbeck, M. (2012), A Guide to Modern Econometrics, John Wiley&Sons Ltd. Sussex, United Kingdom.
  • Yin, W., Chen, Z., Luo, X. and Kirkulak-Uludag, B. (2022): Forecasting cryptocurrencies’ price with the financial stress index: a graph neural network prediction strategy, Applied Economics Letters, DOI: 10.1080/13504851.2022.2141436.
  • Zheng Fu, Zhiguo Chen, Arshian Sharif, Ummara Razi (2022). The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach, Resources Policy, 78, 102860, https://doi.org/10.1016/j.resourpol.2022.102860.
  • Ziyodilloev Khushnud, Zhou Qingjie (2022). The Factors Influencing to Financing Stability of Banking Industry: In Case of Central Asian Countries. Reports. 2 (1), 22-31. doi: 10.11648/j.reports.20220201.14
There are 36 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Original Research Articles
Authors

Ali Özer 0000-0003-4736-3418

Serkan Unal 0000-0002-7060-979X

İstemi Çömlekçi 0000-0001-8922-071X

Publication Date April 30, 2024
Submission Date June 25, 2023
Published in Issue Year 2024 Volume: 27 Issue: 1

Cite

APA Özer, A., Unal, S., & Çömlekçi, İ. (2024). Küresel Finansal Stresin Türk Devletlerinin Ekonomileri Üzerindeki Etkisi. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, 27(1), 18-30. https://doi.org/10.29249/selcuksbmyd.1319691

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