Publication: Finansal piyasaların gelişmişliği ve ekonomik büyüme ilişkisi : 1998-2010 Türkiye uygulaması
Abstract
Bu çalışmada finansal sistemin gelişmişliği ve ekonomik büyüme arasındaki ilişki incelenmiştir. Bu tezin amacı Türkiye’de Finansal gelişme ile ekonomik büyüme arasındaki nedensellik ilişkisini ve yönünü tespit etmektir. Çalışmada ekonomik büyüme göstergesi olarak 1998 sabit fiyatlarıyla Gayri Safi Yurtiçi Hasıla (GSYİH); finansal sistemin gelişmişlik göstergeleri olarak ise M1, M2, M2-M1 Para Arzları, İMKB Toplam İşlem Hacmi, İMKB Toplam Piyasa Değeri ve Yurtiçi Toplam Krediler değişkenleri kullanılmıştır. Nedensellik ilişkisini tespit etmek için 1998-2010 dönemine ilişkin üç aylık veriler kullanılmıştır. Veriler sırasıyla, Augmented Dickey–Fuller birim kök testi, Granger Nedensellik testi ve VAR Analizi’ne tabi tutulmuşlardır. M1 Para Arzı, M2 Para Arzı, M2-M1 Para Arzı ve İMKB Toplam Piyasa Değeri ile GSYİH arasında incelenen dönem için nedensellik ilişkisi bulunmadığı saptanmıştır. Yurtiçi Toplam Krediler ve GSYİH arasında hem GSYİH’dan Yurtiçi Toplam Kredilere hem de Yurtiçi toplam Kredilerden GSYİH’ya doğru çift yönlü nedensellik tespit edilmiştir. İMKB Toplam İşlem Hacmi ile GSYİH arasında ise sadece İMKB Toplam İşlem Hacmi’nden GSYİH’ya doğru nedensellik ilişkisi olduğu görülmüştür. Elde edilen etki tepki fonksiyonları ve varyans ayrıştırması sonuçları, nedensellik analizi sonuçlarını desteklemektedir.
In this study, the relationship between Financial Development and Economic Growth is examined. Purposes of this master thesis is to examine the causality relationship between Financial Development and Economic Growth in Turkey. In this master thesis Gross Domestic Product (GDP at 1998 constant prices) is used as the variable for Economic Growth. The other variables which is used to examine financial development are M1, M2, M2-M1, Istanbul Stock Exchange Trading Volume, Istanbul Stock Exchange Total Market Value and Total Bank Credits. In this study, the quarterly data between 1998-2010 is used to analyze the causality relationship between Financial Development and Economic Growth. The data is examined by using econometric methods; Augmented Dickey–Fuller Unit Root Test, Granger Causality Test and VAR Analysis. According to the test results, there is no causality relationship between M1,M2, M2-M1, , Istanbul Stock Exchange Total Market Value and GDP. Also, there is a causality relationship between Istanbul Stock Exchange Trading Volume and GDP. The way of this relation ship is both from Total Bank Credits to GDP and from GDP to Total Bank Credits. On the other hand, there is a causality relationship from Istanbul Stock Exchange Total Market Value to GDP. Results of VAR Analysis also support the results of causality tests.
In this study, the relationship between Financial Development and Economic Growth is examined. Purposes of this master thesis is to examine the causality relationship between Financial Development and Economic Growth in Turkey. In this master thesis Gross Domestic Product (GDP at 1998 constant prices) is used as the variable for Economic Growth. The other variables which is used to examine financial development are M1, M2, M2-M1, Istanbul Stock Exchange Trading Volume, Istanbul Stock Exchange Total Market Value and Total Bank Credits. In this study, the quarterly data between 1998-2010 is used to analyze the causality relationship between Financial Development and Economic Growth. The data is examined by using econometric methods; Augmented Dickey–Fuller Unit Root Test, Granger Causality Test and VAR Analysis. According to the test results, there is no causality relationship between M1,M2, M2-M1, , Istanbul Stock Exchange Total Market Value and GDP. Also, there is a causality relationship between Istanbul Stock Exchange Trading Volume and GDP. The way of this relation ship is both from Total Bank Credits to GDP and from GDP to Total Bank Credits. On the other hand, there is a causality relationship from Istanbul Stock Exchange Total Market Value to GDP. Results of VAR Analysis also support the results of causality tests.