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

K. Batu Tunay; Necla Tunay

Makale detayları

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

Yazarlar:

K. Batu Tunay | Necla Tunay

Yayıncı:

Hacettepe University

Ana Başlıklar:

Ekonomik Modeller ve Öngörü | Konjonktür Dalgalanmaları | Finansal Ekonomi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.690-712

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334107

pISSN:

1301-8752

Anahtar kelimeler:

Özet:

 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.

 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.

 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.

 Bu çalışmada, Türkiyede 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, 0.95i aşan oranda tahmin edilmiştir. Bu sonuçlar, makro-finansal bağların durgunlukları ortalama altı ay önceden haber verebileceğini göstermiştir.

Makale detayları

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

Yazarlar:

K. Batu Tunay | Necla Tunay

Yayıncı:

Hacettepe University

Ana Başlıklar:

Ekonomik Modeller ve Öngörü | Konjonktür Dalgalanmaları | Finansal Ekonomi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.690-712

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334107

pISSN:

1301-8752

Recessions

Macro-financial Linkages

Factor-augmented ProbitDurgunluklar

Makro Finansal Bağlar

Faktörlerle Genişletilmiş Probit

Sayı

Makale detayları

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

Yazarlar: K. Batu Tunay | Necla Tunay

Yayıncı: Hacettepe University

Ana Başlıklar: Ekonomik Modeller ve Öngörü | Konjonktür Dalgalanmaları | Finansal Ekonomi

Dergi: Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.690-712

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001334107

pISSN: 1301-8752

Recessions

Macro-financial Linkages

Factor-augmented ProbitDurgunluklar

Makro Finansal Bağlar

Faktörlerle Genişletilmiş Probit

Sayı

Yazarlar:

K. Batu Tunay | Necla Tunay

Yayıncı:

Hacettepe University

Ana Başlıklar:

Ekonomik Modeller ve Öngörü | Konjonktür Dalgalanmaları | Finansal Ekonomi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.690-712

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334107

pISSN:

1301-8752