Finansal kırılganlık endeksi (TÜRKİYE 1989-2011) ve yorumlar
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Date
2013
Authors
Çakmak, Umut
Journal Title
Journal ISSN
Volume Title
Publisher
Uludağ Üniversitesi
Abstract
Makalenin amacı, Finansal Kırılganlık Endeksi (FKE) yardımıyla 1989- 2011 arasında Türkiye ekonomisinin temel makro ekonomik göstergelerindeki değişim ve bu değişimin sonuçlarının analiz edilmesidir. Bu bağlamda Türkiye ekonomisi için 8 makro ekonomik temel değişken seçilerek, bir FKE türetilmiştir. Bu sekiz değişken şunlardır: (1) Cari İşlemler Dengesi/GSMH; (2) Reel Kur Endeksi, (3) İthalat/İhracat (4) Kısa Vadeli dış borç/ TCMB döviz Rezervleri; (5) Konsolide Bütçe Dengesi/GSMH; (6) İMKB 100 endeksinin yıllık artış oranı(7) Kısa-vadeli Dış Borç/Orta ve Uzun-vadeli Dış Borç; (8)Kamu Net Borç Stoku/GSMH. Finansal kırılganlığın arttığını gösteren “eşik değer” 0.40 olarak bulunmuş ve bu eşik değerin hem 1994 hem de 2001 krizlerini önceden tahmin etme yetisi olduğu gözlenmiştir. Endeks değeri; 1992 ve 1999 yıl-sonu itibariyle düşükken (sırasıyla - 0,06 ve 0,25), 1993 yıl-sonunda 0.98; 2000’de ise 0.90 değerine ulaşarak, ekonomide kırılganlığın artığına dair çok güçlü sinyaller üretmiştir. Buna karşın endeks değeri, finansal kırılganlığın artığını gösteren eşik değere 2001 krizinden sonra hiç ulaşamamış; 2008-2009 krizini öngören bir sinyal üretmemiştir. Ama bu da, 2008-2009 krizinin yurtiçi değil yurt-dışı kaynaklı olduğu göz önüne alınırsa, olması gerektiği gibidir.
The main purpose of this article is to take a snap-shot of the changes that occurred in the key macro variables of the Turkish economy in the past two decades and to comment on the results. ln this context a Financial Vulnerability Index (FVI) was constructed using the following eight selected fundamental variables for the 1989-2011 period: (1) Ratio of the the Current Account Balance to GDP, (2) The Reel Exchange-Index, (3)Imports/Exports Ratio, (4) Ratio of Short Term Foreign Debt to Central Bank Forex Reserves, (5) Budget Deficits/GNP Ratio, (6) The annual Rate of Increase in the IMKB-100 Index, (7) Ratio of Short-Term to Medium + Long-Term Foreign Debt and (8) Public Debt Stock /GNP Ratio. This FVI, the threshold-value of which is 0.40, was successful in predicting both the 1994 and 2001 currency crises for it has produced strong signals in the years immediately preceding the two “home-made” crises: While low as of the year end of 1992 and 1999 (-0.06 and 0.025 respectively), the index rose precipitously to 0.98 and 0.90 (respectively) as of years’ end of 1992 and 2000. Between 2002-2011, this index oscillated but never crossed the threshold value and thus did not produce any predictive signals preceding the 2008-2009 crises. But considering the fact that the said crises was “imported” and not “home-made”, this is neither surprising nor can be construed as a failure to predict.
The main purpose of this article is to take a snap-shot of the changes that occurred in the key macro variables of the Turkish economy in the past two decades and to comment on the results. ln this context a Financial Vulnerability Index (FVI) was constructed using the following eight selected fundamental variables for the 1989-2011 period: (1) Ratio of the the Current Account Balance to GDP, (2) The Reel Exchange-Index, (3)Imports/Exports Ratio, (4) Ratio of Short Term Foreign Debt to Central Bank Forex Reserves, (5) Budget Deficits/GNP Ratio, (6) The annual Rate of Increase in the IMKB-100 Index, (7) Ratio of Short-Term to Medium + Long-Term Foreign Debt and (8) Public Debt Stock /GNP Ratio. This FVI, the threshold-value of which is 0.40, was successful in predicting both the 1994 and 2001 currency crises for it has produced strong signals in the years immediately preceding the two “home-made” crises: While low as of the year end of 1992 and 1999 (-0.06 and 0.025 respectively), the index rose precipitously to 0.98 and 0.90 (respectively) as of years’ end of 1992 and 2000. Between 2002-2011, this index oscillated but never crossed the threshold value and thus did not produce any predictive signals preceding the 2008-2009 crises. But considering the fact that the said crises was “imported” and not “home-made”, this is neither surprising nor can be construed as a failure to predict.
Description
Keywords
Finansal kırılganlık endeksi, Kamu tasarruf açığı, Cari işlemler açığı, Financial vulnerability index, Public deficit, Current account deficit
Citation
Çakmak, U. (2013). "Finansal kırılganlık endeksi (TÜRKİYE 1989-2011) ve yorumlar". Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 32(1), 239-260.