Publication: OECD Ülkelerinde ikiz açık teorisinin panel veri modelleri ile incelenmesi
Abstract
Ekonometride nedensellik kavramı Granger tarafından yapılan çalışmalar ile önem kazanmıştır. Granger nedensellik testi, nedenselliğin ne olduğunu fonksiyonel bir şekilde açıklamaktadır. Daha sonraki yıllarda Glymour, Le Roy, Cortwright, Holtz Eaken ve Newey ve Rosen, Laiszlo’ nın nedensellik çalışmaları önemlidir.Bu tezde 29 OECD ülkesinden 1990-2005 yılları için toplanan panel veriler kullanılarak, bütçe açıkları ve dış ticaret açıkları arasındaki nedensellik ilişkilerini incelemektedir. Bu amaçla Granger’in nedensellik tanımına dayanan Holtz Eaken-Newey ve Rosen testi kullanılmıştır. İlk olarak tüm ülkeleri yılları kapsayan panel veri tabanı kullanılarak LLC, IPS, Maddala ve Wu, SURADF,CADF,CIPS durağanlık testleri kullanılmış, daha sonra Pedroni ve Kao eş bütünleme testleri kullanılarak bütçe açıkları ve dış ticaret açıkları arasındaki eş bütünleme ilişkisi incelenmiş. Son olarak bütçe açıkları ve dış ticaret açıkları arasındaki nedensellik ilişkisi Holtz Eaken-Newey ve Rosen testi kullanılarak incelenmiştir. Panel veri tabanı kullanılarak yapılan analizde 29 OECD ülkesinin verilerinin durağan olmadığı bütçe açıkları ve dış ticaret açıkları arasında eş bütünleme ilişkisi olduğu görülmüştür. Holtz Eaken-Newey Rosen nedensellik testi sonucunda dış ticaret açıklarından bütçe açıklarına doğru tek yönlü bir nedensellik ilişkisi tespit edilmiştir.
ABSTARCT THE ANALYSIS OF TWIN DEFICT IN OECD COUNTRIES BY USING PANEL DATA MODELS The causality in econometrics became important through the studies made by Granger. Granger Causality test clarifies what the causality is functionally. In the following years, Glamour’s, Le Roy’s, Cortwright’s, Holtz Eaken-Newey-Rosen and Laiszlo’s studies of casuality are also important İn this thesis, the causality relation between the budget deficit and foreign trade deficit of 29 OECD countries is analyzed according to their panel data between 1990 and 2005. For this purpose, Holtez Eaken- Newey and Rosen Test, which is based on the causality definition of Granger, is used. At first hand, the panel data base, which contains all the countries and years, is used and with this data base stationary tests of LLC, IPS and Maddala ve Wu,SURADF,CADF,CIPS are used. Then, by using Pedroni ve Kao cointegration tests the cointegration relation between budget deficit and foreign trade deficit is analyzed. Finally, the causality relation between budget deficit and foreign trade deficit is analyzed by using Holtz Eaken-Newey Rosen Test.In the analysis that is done by using panel data base, it is observed that the data of 29 OECD countries is not stationary and there is a cointegration relation between their budget deficit and foreign trade deficit. As a result of Holtz Eaken-Newey Rosen Test, it is determined that there is a one way causality relation from foreign trade deficit to budget deficit.
ABSTARCT THE ANALYSIS OF TWIN DEFICT IN OECD COUNTRIES BY USING PANEL DATA MODELS The causality in econometrics became important through the studies made by Granger. Granger Causality test clarifies what the causality is functionally. In the following years, Glamour’s, Le Roy’s, Cortwright’s, Holtz Eaken-Newey-Rosen and Laiszlo’s studies of casuality are also important İn this thesis, the causality relation between the budget deficit and foreign trade deficit of 29 OECD countries is analyzed according to their panel data between 1990 and 2005. For this purpose, Holtez Eaken- Newey and Rosen Test, which is based on the causality definition of Granger, is used. At first hand, the panel data base, which contains all the countries and years, is used and with this data base stationary tests of LLC, IPS and Maddala ve Wu,SURADF,CADF,CIPS are used. Then, by using Pedroni ve Kao cointegration tests the cointegration relation between budget deficit and foreign trade deficit is analyzed. Finally, the causality relation between budget deficit and foreign trade deficit is analyzed by using Holtz Eaken-Newey Rosen Test.In the analysis that is done by using panel data base, it is observed that the data of 29 OECD countries is not stationary and there is a cointegration relation between their budget deficit and foreign trade deficit. As a result of Holtz Eaken-Newey Rosen Test, it is determined that there is a one way causality relation from foreign trade deficit to budget deficit.