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Turkiye’de Mali Surdurulebilirligin Dogrusal Olmayan Bir Analizi: MLSTAR Coklu Lojistik Yumusak Gecisli Otoregresif Modeli

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  • Ozgur Omer ERSIN

    ()
    (Beykent Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Iktisat Bolumu)

Abstract

Iktisat yazininda mali disiplin yalniz maliye politikalari acisindan degil para politikalarinin basarisi acisindan da merkezi role sahiptir. Bu calismada, Turkiye’de mali baskinligin test edilmesinde zamanlararasi butce kisiti dahilindeki mali serilerde duraganlik testlerinden hareket edilen Hamilton ve Flavin (1986), Hakkio ve Rush (1991) ve Trehan ve Walsh (1988) calismalarinda vurgulanan test yontemlerinden farkli olarak dogrusal olmayan Yumusak Gecisli Otoregresif (STAR) modelinin ikiden fazla rejimin modellenmesine olanak verecek sekilde genellestirildigi Coklu Lojistik STAR (MLSTAR) modelinden hareket edilmistir. MLSTAR modelinin kurulum asamalari Luukkonnen v.d. (1988)’in temel alinarak gelistirilen Teräsvirta (1994) yaklasimi cercevesinde ikiden fazla rejimli modele genellestirilmistir. Ampirik kisimda, faiz odemeleri serisi dogrusal ADF, PP testleri, KPSS birim kok testi ve KSS dogrusal olmayan birim kok testi cercevesinde duraganlik reddedilirken; ilgili orneklem ve veri seti icin tahmin edilen MLSTAR modeli, MSE, MAE ve RMSE hata kriterleri ve Diebold–Mariano esit tahmin tutarliligi testi cercevesinde dogrusal model ve iki rejimli LSTAR modeline karsi kabul edilmistir. Turkiye’de butce politikalari acisindan önem tasiyan faiz odemeleri serilerinde rejimler arasi asimetri ve esik etkilerinin onem tasimasina ek olarak, mali baskinligin ve kamu borc maliyetlerinin ozellikle kriz donemleri oncesinde mali surdurulebilirligin saglanmasinda onemli engel teskil ettigi sonuclarina varýlmýþtýr.

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Bibliographic Info

Article provided by Ege University Faculty of Economics and Administrative Sciences in its journal Ege Academic Review.

Volume (Year): 11 (2011)
Issue (Month): Special Issue ()
Pages: 41-58

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Handle: RePEc:ege:journl:v:11:y:2011:i:specialissue:p:41-58

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Web page: http://iibf.ege.edu.tr/ENG/
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Related research

Keywords: Dogrusal olmayan zaman serisi; mali disiplin; STAR modelleri;

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