TESTING THE HYPOTHESIS OF FINANCIAL CONVERGENCE WITH WAVELET ANALYSIS: EMPIRICAL EVIDENCE FROM E7 COUNTRIES

Yunus Kaya

Makale detayları

TESTING THE HYPOTHESIS OF FINANCIAL CONVERGENCE WITH WAVELET ANALYSIS: EMPIRICAL EVIDENCE FROM E7 COUNTRIES

Yazarlar:

Yunus Kaya

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.20 Issue 4, pp.1250-1272

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001336927

pISSN:

2147-9208

Anahtar kelimeler:

Özet:

 The aim of this study is to test the financial convergence hypothesis in E7 countries China, India, Brazil, Russia, Mexico, Indonesia and Turkey. To achieve this, the study assesses the convergence of the financial development index of the E7 countries to that of the United States of America USA. Annual data on the financial development index from the IMF database, covering 1985 to 2021, were utilized. The analysis employs the traditional Augmented Dickey-Fuller ADF unit root test alongside the Fourier ADF FADF unit root test to evaluate the validity of the financial convergence hypothesis. Furthermore, ADF and FADF tests are re-administered to the data series that has been decomposed through wavelet transformation, with an analysis provided for short-, medium--, and long-term results. The findings indicate that, based on the original series of tests, the financial convergence hypothesis is partially upheld in the E7 countries. Moreover, results obtained from the decomposed series demonstrate that this hypothesis is valid in the short term for all E7 nations while only partially valid in the medium and long term. These findings underline the disparities in financial development between the E7 countries and developed nations, suggesting that substantial policy reforms in financial management are imperative for these countries.

 The aim of this study is to test the financial convergence hypothesis in E7 countries China, India, Brazil, Russia, Mexico, Indonesia and Turkey. To achieve this, the study assesses the convergence of the financial development index of the E7 countries to that of the United States of America USA. Annual data on the financial development index from the IMF database, covering 1985 to 2021, were utilized. The analysis employs the traditional Augmented Dickey-Fuller ADF unit root test alongside the Fourier ADF FADF unit root test to evaluate the validity of the financial convergence hypothesis. Furthermore, ADF and FADF tests are re-administered to the data series that has been decomposed through wavelet transformation, with an analysis provided for short-, medium--, and long-term results. The findings indicate that, based on the original series of tests, the financial convergence hypothesis is partially upheld in the E7 countries. Moreover, results obtained from the decomposed series demonstrate that this hypothesis is valid in the short term for all E7 nations while only partially valid in the medium and long term. These findings underline the disparities in financial development between the E7 countries and developed nations, suggesting that substantial policy reforms in financial management are imperative for these countries.

 The aim of this study is to test the financial convergence hypothesis in E7 countries China, India, Brazil, Russia, Mexico, Indonesia and Turkey. To achieve this, the study assesses the convergence of the financial development index of the E7 countries to that of the United States of America USA. Annual data on the financial development index from the IMF database, covering 1985 to 2021, were utilized. The analysis employs the traditional Augmented Dickey-Fuller ADF unit root test alongside the Fourier ADF FADF unit root test to evaluate the validity of the financial convergence hypothesis. Furthermore, ADF and FADF tests are re-administered to the data series that has been decomposed through wavelet transformation, with an analysis provided for short-, medium--, and long-term results. The findings indicate that, based on the original series of tests, the financial convergence hypothesis is partially upheld in the E7 countries. Moreover, results obtained from the decomposed series demonstrate that this hypothesis is valid in the short term for all E7 nations while only partially valid in the medium and long term. These findings underline the disparities in financial development between the E7 countries and developed nations, suggesting that substantial policy reforms in financial management are imperative for these countries.

 Bu çalışmanın amacı, E7 Çin, Hindistan, Brezilya, Rusya, Meksika, Endonezya ve Türkiye ülkelerinde finansal yakınsama hipotezini test etmektir. Bu amaç doğrultusunda E7 ülkelerinin finansal gelişme endeksinin Amerika Birleşik Devletleri ABD finansal gelişme endeksine yakınsaması test edilmiştir. Çalışmada IMF veri tabanından elde edilen ve 1985-2021 dönemlerine ait yıllık finansal gelişim endeks verileri kullanılmıştır. Çalışmada finansal yakınsama hipotezinin geçerliliği klasik Augmented Dickey ve Fuller ADF ve Fourier ADF FADF birim kök testleri ile test edilmiştir. Bunun yanı sıra çalışmada wavelet dönüşümü kullanılarak ayrıştırılan serilere ADF ve FADF birim kök testleri yeniden uygulanarak sonuçlar kısa, orta ve uzun vadede değerlendirilmiştir. Çalışma sonuçlarına göre, orijinal serilerle yapılan testler sonucunda E7 ülkelerinde finansal yakınsama hipotezi kısmen geçerli bulunmuştur. Ayrıştırılmış serilerin sonuçlarına göre ise kısa vadede E7 ülkelerinin tamamında finansal yakınsama hipotezi geçerliyken, orta ve uzun dönemde kısmen geçerli bulunmuştur. Bu sonuçlar gelişmiş ülkelere nazaran E7 ülkelerinde finansal gelişim açısından farklılıklar bulunduğunu göstermekte ve bu ülkelerde finansal açıdan önemli politika değişikliklerinin gerçekleşmesi gerektiğini belirtmektedir.

Makale detayları

TESTING THE HYPOTHESIS OF FINANCIAL CONVERGENCE WITH WAVELET ANALYSIS: EMPIRICAL EVIDENCE FROM E7 COUNTRIES

Yazarlar:

Yunus Kaya

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.20 Issue 4, pp.1250-1272

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001336927

pISSN:

2147-9208

Financial Convergence

Financial Development

Wavelet Analysis

E7 CountriesFinansal Yakınsama

Finansal Gelişme

Wavelet Analizi

E7 Ülkeleri

Sayı

Makale detayları

Yazarlar: Yunus Kaya

Yayıncı: Zonguldak Bulent Ecevit University

Ana Başlıklar: Finans

Dergi: Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.20 Issue 4, pp.1250-1272

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001336927

pISSN: 2147-9208

Sayı

Yazarlar:

Yunus Kaya

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.20 Issue 4, pp.1250-1272

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001336927

pISSN:

2147-9208