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The Analysis of the Causal Relationship Between Budget Balance and Current Account Balance by MGARCH Methodology: Turkey Experience

Yıl 2014, Cilt: 14 Sayı: 2, 71 - 79, 29.06.2014
https://doi.org/10.18037/ausbd.62277

Öz

The aim of the study is to explore the causality relationship between the budget balance and the current account balance of Turkey. Differently from the literature, the causality relationship is examined by considering the volatility of the variables in question. Accordingly, the multivariate GARCH (MGARCH) methodology for modelling the volatility and 1987-2005 quarterly data of Turkey are utilized. Depending upon the results of the selection criterion and autocorrelation tests, constant conditional correlation (CCC) model is determined as the appropriate MGARCH model for the analysis. The results of the Granger causality test applied on the CCC model find no evidence that supports the effect of the budget deficit on the current account deficit. Contrarily, the current account balance is found to be influential both on the budget balance and the volatility of the budget balance. Therefore it should be considered that the policies regarding the current account balance affects the budget balance as well.

Kaynakça

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Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Pelin Varol İyidoğan

Yayımlanma Tarihi 29 Haziran 2014
Gönderilme Tarihi 1 Ocak 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 14 Sayı: 2

Kaynak Göster

APA Varol İyidoğan, P. (2014). The Analysis of the Causal Relationship Between Budget Balance and Current Account Balance by MGARCH Methodology: Turkey Experience. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 14(2), 71-79. https://doi.org/10.18037/ausbd.62277