商业和金融周期之间的相互作用:来自土耳其的证据

IF 0.7 Q2 AREA STUDIES
Veysel Karagöl, Burhan Dogan
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引用次数: 2

摘要

本研究探讨土耳其商业与金融周期之间的关系。虽然国内生产总值(gdp)代表了商业周期,但除了信贷和股市指标外,还计算了包括实际有效汇率在内的9个不同指数,以反映金融周期。最初,Bry-Boschan季度算法用于定义周期特征,如转折点、持续时间、幅度、斜率和累积损失。随后,通过Hodrick-Prescott滤波得到的序列进行了Hacker和Hatemi-J(2006)对称和Hatemi-J(2012)不对称因果检验。除了金融周期的数量高于商业周期的数量之外,金融周期比商业周期遵循一个更倾斜和快速的周期。研究结果还指出,两个周期之间存在显著的同步,特别是在收缩阶段。此外,从土耳其的金融周期到商业周期,存在对称和不对称的因果关系。这些证据表明,政策制定者应该考虑金融周期对产出的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Interaction between business and financial cycles: evidence from Turkey
This study investigates the relationship between the business and financial cycles in Turkey. While gross domestic product represented business cycles, nine different indices including real effective exchange rate in addition to credit and stock markets indicators were calculated for financial cycles. Initially, Bry-Boschan quarterly algorithm was used for defining cycle characteristics such as turning points, duration, amplitude, slope and cumulative loss. Subsequently, the series detrended through Hodrick-Prescott filter were subjected to Hacker and Hatemi-J (2006) symmetric and Hatemi-J (2012) asymmetric causality tests. In addition to the fact that the number of financial cycles is higher than the number of business cycles, financial cycles follow a more sloped and rapid cycle than business cycles. Findings also point out that there is significant synchronization between the two cycles especially during contraction phases. Furthermore, there is the presence of a symmetric and asymmetric causality relationship running from financial cycles to business cycles in Turkey. These evidences outline that policy makers should take into account the role played by financial cycles on the output.
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来源期刊
CiteScore
1.30
自引率
16.70%
发文量
3
审稿时长
10 weeks
期刊介绍: The Eastern Journal of European Studies (EJES) seeks to provide a forum for multidisciplinary and interdisciplinary dialogue between ideas, and a framework for theoretical and empirical analyses covering major topics in European studies: European history, politics, European economy and European policies, EU community law, European culture and society. EJES encourages studies focusing on Central and Eastern Europe (including Eastern Neighbourhood) in order to better understand its transformations induced by the integration process and to address its specific challenges by supporting scientific debates on the general European theory and practice. Furthermore, the editorial board regularly invites distinguished guest editors to coordinate thematic issues.
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