Testing the Validity of the Financial Convergence Hypothesis with Fourier Unit Root Tests: The Fragile Five Case

Onur Şeyranlıoğlu

Makale detayları

Testing the Validity of the Financial Convergence Hypothesis with Fourier Unit Root Tests: The Fragile Five Case

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Bingol University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Finans

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 1, pp.11-30

Belge Tipi:

Makale

Yayın Tarihi:

6/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001320117

pISSN:

2651-3234

Anahtar kelimeler:

Özet:

 The aim of this study is to examine the convergence of the financial development index of the Fragile Five countries to the financial development index of the United States of America USA within the framework of the convergence hypothesis proposed by Bernard and Durlauf 1996. The study utilizes annual financial development index data published by the IMF for the period 1980-2020. The study assesses the validity of the financial convergence hypothesis using conventional Augmented Dickey and Fuller ADF test, as well as Fourier ADF test proposed by Christopoulos and León-Ledesma 2010, and Fourier Sollis unit root tests introduced by Ranjbar et al. 2018. The findings of the research show that the financial development indices of the Fragile Five countries do not converge to the dominant country USA, that is, the financial convergence hypothesis is not valid. The results obtained can be interpreted as that the Fragile Five countries have not caught up with the more developed economies in terms of the development of their financial structures, and that the gap between developing countries and countries with well-developed financial markets will continue to remain open unless there is a significant policy change in these countries.

 The aim of this study is to examine the convergence of the financial development index of the Fragile Five countries to the financial development index of the United States of America USA within the framework of the convergence hypothesis proposed by Bernard and Durlauf 1996. The study utilizes annual financial development index data published by the IMF for the period 1980-2020. The study assesses the validity of the financial convergence hypothesis using conventional Augmented Dickey and Fuller ADF test, as well as Fourier ADF test proposed by Christopoulos and León-Ledesma 2010, and Fourier Sollis unit root tests introduced by Ranjbar et al. 2018. The findings of the research show that the financial development indices of the Fragile Five countries do not converge to the dominant country USA, that is, the financial convergence hypothesis is not valid. The results obtained can be interpreted as that the Fragile Five countries have not caught up with the more developed economies in terms of the development of their financial structures, and that the gap between developing countries and countries with well-developed financial markets will continue to remain open unless there is a significant policy change in these countries.

 The aim of this study is to examine the convergence of the financial development index of the Fragile Five countries to the financial development index of the United States of America USA within the framework of the convergence hypothesis proposed by Bernard and Durlauf 1996. The study utilizes annual financial development index data published by the IMF for the period 1980-2020. The study assesses the validity of the financial convergence hypothesis using conventional Augmented Dickey and Fuller ADF test, as well as Fourier ADF test proposed by Christopoulos and León-Ledesma 2010, and Fourier Sollis unit root tests introduced by Ranjbar et al. 2018. The findings of the research show that the financial development indices of the Fragile Five countries do not converge to the dominant country USA, that is, the financial convergence hypothesis is not valid. The results obtained can be interpreted as that the Fragile Five countries have not caught up with the more developed economies in terms of the development of their financial structures, and that the gap between developing countries and countries with well-developed financial markets will continue to remain open unless there is a significant policy change in these countries.

 Bu araştırmanın amacı, Kırılgan Beşli ülkelerinin finansal gelişim endeksinin Amerika Birleşik Devletleri ABD finansal gelişim endeksine yakınsamasının Bernard ve Durlauf 1996 tarafından önerilen yakınsama hipotezi çerçevesinde incelenmesidir. Araştırmada, 1980-2020 dönemi yıllık IMF tarafından yayımlanan finansal gelişim endeksi verileri kullanılmıştır. Araştırmada, finansal yakınsama hipotezinin geçerliliği geleneksel Augmented Dickey ve Fuller ADF, Christopoulos ve LeónLedesma 2010 Fourier ADF ve Ranjbar, Chang, Elmi ve Lee 2018 Fourier Sollis birim kök testleri ile sınanmıştır. Araştırma bulgularında, Kırılgan Beşli ülkelerine ait finansal gelişme endekslerinin başat ülke ABDye yakınsamadığı, yani finansal yakınsama hipotezinin geçerli olmadığı görülmüştür. Elde edilen sonuçlar, Kırılgan Beşli ülkelerinin finansal yapılarının gelişimi açısından daha gelişmiş ekonomileri yakalayamadığını, bu ülkelerde finansal açıdan önemli bir politika değişimi olmadığı sürece gelişmekte olan ve iyi gelişmiş finansal piyasalara sahip ülkeler arasındaki farkın açık kalmaya devam edeceği şeklinde yorumlanabilir.

Makale detayları

Testing the Validity of the Financial Convergence Hypothesis with Fourier Unit Root Tests: The Fragile Five Case

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Bingol University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Finans

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 1, pp.11-30

Belge Tipi:

Makale

Yayın Tarihi:

6/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001320117

pISSN:

2651-3234

Financial Convergence

Financial Development

Fragile Five Countries

Fourier ADF

Fourier SollisFinansal Yakınsama

Finansal Gelişme

Kırılgan Beşli Ülkeleri

Fourier ADF

Fourier Sollis

Sayı

Makale detayları

Yazarlar: Onur Şeyranlıoğlu

Yayıncı: Bingol University

Ana Başlıklar: Ekonometrik ve İstatistiksel Yöntemler | Finans

Dergi: Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 1, pp.11-30

Belge Tipi: Makale

Yayın Tarihi: 6/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001320117

pISSN: 2651-3234

Sayı

Yazarlar:

Onur Şeyranlıoğlu

Yayıncı:

Bingol University

Ana Başlıklar:

Ekonometrik ve İstatistiksel Yöntemler | Finans

Dergi:

Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.8 Issue 1, pp.11-30

Belge Tipi:

Makale

Yayın Tarihi:

6/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001320117

pISSN:

2651-3234