SavedAdd your journal

Journals / Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2024 / Cilt: 42 Sayı: 4

The Roles and Effects of Macro Financial Linkages on Recessions in Turkey

Türkiye’de Makro Finansal Bağların Durgunluklar Üzerindeki Rolleri ve Etkileri

K. Batu Tunay(Marmara Üniversitesi Finansal Bilimler Fakültesi)0000-0002-9040-5831
Necla Tunay(MARMARA ÜNİVERSİTESİ)0000-0002-8765-276X
Pages
690–712
Publication Date
2024-12-25
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

These results showed that macro-financial linkages can predict recessions by an average of six months in advance.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the effects of macro-financial linkages on recessions in Turkey are analyzed econometrically.
📊
Key Findings & Data:A large data set at monthly frequency covering the period 2006-2023 was analyzed using the factor-augmented probit method developed by Bellego and Ferrara (2009, 2012).
💡
Conclusion & Impact:These results showed that macro-financial linkages can predict recessions by an average of six months in advance.
🔬Design:Modeling & Simulation
📍Scope:2006-2023 Verileri
⚙️Variables:Durgunluklar · Makro Finansal Bağlar · Faktörlerle Genişletilmiş Probit

Abstract

In this study, the effects of macro-financial linkages on recessions in Turkey are analyzed econometrically. A large data set at monthly frequency covering the period 2006-2023 was analyzed using the factor-augmented probit method developed by Bellego and Ferrara (2009, 2012). In this context, first, factors reflecting macro-financial connections were calculated with a static factor analysis. In calculating the factors, a static rather than dynamic modeling and estimation approach was adopted to minimize possible calculation difficulties. Then, recession probabilities were estimated with a set of independent variables consisting of these factors. The findings showed that statistically significant factors generally negatively affected the likelihood of recession. As a result of the estimation of alternative models according to lag lengths, it was determined that the model containing factors with six lags was more successful. However, the estimation results of level and three-lag models are also presented for comparison. The recession probabilities during the 2008 global crisis and the Covid-19 pandemic were estimated at a rate exceeding 0.95. These results showed that macro-financial linkages can predict recessions by an average of six months in advance.

Özet

Bu çalışmada, Türkiye’de makro finansal bağların durgunluklar üzerindeki etkileri ekonometrik olarak analiz edilmektedir. 2006-2023 dönemini kapsayan aylık frekanstaki geniş bir veri seti, Bellego ve Ferrara (2009, 2012) tarafından geliştirilen faktörlerle genişletilmiş probit yöntemi kullanılarak analiz edilmiştir. Bu bağlamda, önce statik bir faktör analizi ile makro finansal bağları yansıtan faktörler hesaplanmıştır. Faktörlerin hesaplanmasında, olası hesaplama güçlüklerini en aza indirmek için dinamik yerine statik bir modelleme ve tahmin yaklaşımı benimsenmiştir. Ardından bu faktörlerden oluşan bir bağımsız değişkenler seti ile durgunluk olasılıkları tahmin edilmiştir. Elde edilen bulgular, istatistiki olarak anlamlı bulunan faktörlerin durgunluk olasılığını genelde negatif etkilediğini göstermiştir. Gecikme uzunlukları açısından alternatif modellerin tahmini sonucunda, altı dönem gecikmeli faktörleri içeren modelin daha başarılı olduğu saptanmıştır. Bununla beraber, karşılaştırma yapmak için düzey ve üç gecikmeli modellerin tahmin sonuçları da sunulmuştur. Dış kaynaklı bir etken olarak 2008 küresel krizi ve Covid-19 pandemisi dönemlerindeki durgunluk olasılıkları, 0.95’i aşan oranda tahmin edilmiştir. Bu sonuçlar, makro-finansal bağların durgunlukları ortalama altı ay önceden haber verebileceğini göstermiştir.

🔖

Cite This Article

Tunay, K. B., Tunay, N. (2024). The Roles and Effects of Macro Financial Linkages on Recessions in Turkey. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 42 Sayı: 4, 690–712. https://doi.org/10.17065/huniibf.1442427

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (37)

  1. Akçay, A.Ö. (2016). Küresel makro finansal şokların Türkiye ekonomisine aktarım kanalı: Global VAR yaklaşımı. Akademik ve Sosyal Araştırmalar Dergisi, 4(26), 388-415. https://doi.org/10.16992/ASOS.1157
  2. Bai, J., & Ng, S., (2002). Determining the number of factors in approximate factor models. Econometrica 70(1), 191–221. https://doi.org/10.1111/1468-0262.00273
  3. Banerjee, S., Anand, J. K., & Bhide, S. (2021). Estimation of macro-financial linkages for the Indian economy. Journal of Emerging Market Finance, 20(1), 7-47. http://dx.doi.org/10.1177/0972652720927856
  4. Bayoumi, T., & Melander, O. (2008). Credit matters: Empirical evidence on U.S. macro-financial linkages. IMF Working Paper, No. WP/08/169, July.
  5. Bellego, C., & Ferrara, L. (2009). Forecasting euro area recessions using time-varying binary response models for financial variables. Working Paper, Banque de France, No. 259.
  6. Bellego, C., & Ferrara, L. (2012). Macro-financial linkages and business cycles: A factor-augmented probit approach. Economic Modelling, 29(5), 1793-1797. https://doi.org/10.1016/j.econmod.2012.05.033
  7. Bernanke, B. S., Boivin, J., & Eliasz, P. (2005). Measuring the effects of monetary policy: A factor augmented vector autoregressive (FAVAR) approach. The Quarterly Journal of Economics, 120(1), 387-422. https:/doi.org/10.1162/0033553053327452
  8. Bluwstein, K. (2017). Macro-financial linkages and the role of unconventional monetary and macroprudential policy. Unpublished doctoral dissertation, European University Institute, Department of Economics, Florence.
  9. Borio, C., Drehmann, M., ve Xia, D. (2018). The financial cycle and recession risk. BIS Quarterly Review, December, 16, 1-13. https://www.bis.org/publ/qtrpdf/r_qt1812g.htm
  10. Caporale, G. M., Karanasos, M., & Yfanti, S. (2022). Macro-financial linkages in the high-frequency domain: Economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets. International Journal of Finance & Economics, 1-28. http://dx.doi.org/10.1002/ijfe.2748
  11. Cerra, V., & Saxena, S. C. (2010). Growth dynamics: The myth of economic recovery. C. Crowe, S. Johnson, J. D. Ostry, J. Zettelmeyer, (Ed.) Macrofinancial lincages. Trends, crises, and policies (pp. 59-84). International Monetary Fund, Washington D.C.
  12. Chen, Z., Iqbal, A., & Lai, H., (2011). Forecasting the probability of US recessions: A Probit and dynamic factor modelling approach. Canadian Journal of Economics, 44(2), 652–671. https://www.jstor.org/stable/41336378
  13. Claessens, S., & Kose, M. A. (2018). Frontiers of macrofinancial linkages. BIS Papers, No: 95, January.
  14. Claessens, S., Kose, M. A., & Terrones, M. E. (2008). Financial stress and economic activity, BDDK Bankacılık ve Finansal Piyasalar, 2(2), 11-23.
  15. Claessens, S., Kose, M. A., & Terrones, M. E. (2011). Financial cycles: What? How? When? National Bureau of Economic Research (NBER), International Seminar on Macroeconomics, 7(1), 303–344.
  16. Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178–190. https://doi.org/10.1016/j.jinteco.2011.11.008
  17. De Haas, R., Ferreira, D., & Taci, A. (2010). What determines the composition of banks’ loan portfolios? Evidence from transition countries. Journal of Banking and Finance, 34, 388-398. https://doi.org/10.1016/j.jbankfin.2009.08.005
  18. Doz, C., Giannone, D., & Reichlin, L., (2011). A two-step estimator for large approximate dynamic factor models based on Kalman filtering. Journal of Econometrics, 164(1), 188–205. https://doi.org/10.1016/j.jeconom.2011.02.012 Estrella, A., Rodrigues, A.P., & Schich, S., (2003). How stable is the predictive power of the yield curve? Evidence from Germany and the United States. The Review of Economics and Statistics, 85(3), 629–644. https://www.jstor.org/stable/3211702
  19. Filip, B.F., (2015). The quality of bank loans within the framework of globalization. Procedia – Economics and Finance, 20, 208-217. https://doi.org/10.1016/S2212-5671(15)00067-2
  20. Grigoli, F., Mansilla, M., & Saldias, M. (2018). Macro-financial linkages and heterogeneous non-performing loans projections: An application to Ecuador. Journal of Banking and Finance, 97(C), 130-141. https://doi.org/10.1016/j.jbankfin.2018.09.023
  21. Ibrahim, M. H. (2019). Oil and macro-financial linkages: Evidence from the GCC countries. The Quarterly Review of Economics and Finance, 72(1), 1-13. https://doi.org/10.1016/j.qref.2019.01.014
  22. Le, C.H.A. (2016). Macro-financial linkages and bank behaviour: Evidence from the second-round effects of the global financial crisis on East Asia. Eurasian Economic Review, 6(3), 365-387. https://doi.org/10.1007/s40822-016-0048-7
  23. Leroy, A., & Pop, A. (2019). Macro-financial linkages: The role of the institutional framework. Journal of International Money and Finance, 92(1), 75-97. https://doi.org/10.1016/j.jimonfin.2018.12.002
  24. Love, I., & Ariss, R. T. (2013). Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality. IMF Working Paper, No: WP/12/271.
  25. Love, I., & Ariss, R. T. (2014). Macro-financial linkages in Egypt: A panel analysis of economic shocks and loan portfolio quality. Journal of International Financial Markets, Institutions and Money, 28, 158-181. https://doi.org/10.1016/j.intfin.2013.10.006
  26. Miyajima, K. (2017). An empirical investigation of oil-macro-financial linkages in Saudi Arabia. Review of Middle East Economics and Finance, 13(2), 1-15. https://doi.org10.1515/rmeef-2017-0018
  27. Muellbauer, J. (2020). Implications of household-level evidence for policy models: The case of macrofinancial linkages. Oxford Review of Economic Policy, 36(3), 510-555. https://doi.org/10.1093/oxrep/graa038
  28. Olafsson, T.T. (2016). Macrofinancial linkages and crises in small open economies. Unpublished doctoral dissertation, Aarhus University School of Business and Social Sciences, Department of Economics and Business Economics, Denmark. https://pure.au.dk/portal/files/103970053/PhD_dissertation_Thorvardur_Tj_rvi_lafsson.pdf
  29. Papadopoulos, G., Chionis, D., & Rachaniotis, N. P. (2018). Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies. Risk Management, 20, 142-166. https://doi.org/10.1057/s41283-017-0032-x
  30. Pesola, J. (2001). The role of macroeconomic shocks in banking crises. Bank of Finland Discussion Paper No. 6/2001, April.
  31. Prieto, E., Eickmeier, S., & Marcellino, M. (2016). Time variation in macro-financial linkages. Journal of Applied Econometrics, 31, 1215-1233. https://doi.org/10.1002/jae.2499
  32. Punzi, M. T. (2020). The impact of uncertainty on the macro-financial linkage with international financial exposure. Journal of Economics and Business, 110, 105894. https://doi.org/10.1016/j.jeconbus.2020.105894
  33. Stock, J., & Watson, M., 2002. Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics, 20, 147–162. https://doi.org/10.1198/073500102317351921
  34. Şengönül, A., Karadaş, H. A., & Koşaroğlu, Ş. M. (2018). Makroekonomik değişkenler ve finansal değişkenlerin uzun dönem ilişkisi: SVAR analizi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 12(1), 63-85.
  35. Tunay, K. B. ve Tunay, N. (2019). Makro finansal şoklar ve banka krizlerinin etkileşimi: Türkiye örneği. Avrasya İşletme ve İktisat Dergisi, 20, 143-158. http://dx.doi.org/10.17740/eas.econ.2019.V20-10
  36. Tunay, K.B. (2016a). Kredi portföy kalitesinin belirleyicileri ve makro finansal bağların rolü. Finans, Politik ve Ekonomik Yorumlar, 53(616), 49-60.
  37. Tunay, K.B. (2016b). Makro finansal bağlar ve kredi portföyü kalitesine etkileri. Yönetim ve Ekonomi Araştırmaları Dergisi, 14(4), 25-44.