TRKYEDE BORLARIN KTSAD ETKLERNN VAR

TEKNYLE ANALZ *
Analysis of Economic Effects of Domestic Debt in Turkey using
VAR Technique
Dr. Ferhat Bakan ZGEN **
Dr. Blent GLOLU ***
zet

Bu makalede1 1988:12-2003:4 dneminde i borlarla dier belli bal

makroekonomik deikenler arasndaki nedensellik ilikileri test edilmi, ilikilerin
yn ve bykl, VAR tekniiyle belirlenmeye allmtr. VAR tekniinden
elde edilen etki-tepki fonksiyonlar, Monte Carlo simlasyonu kullanlarak
iyiletirilmitir. alma sonular, i borlar zerinde en nemli deikenin
merkez bankas paras olduunu gstermektedir. Faiz oran, dviz kuru, faiz d
bte harcamalar da i borlar zerinde etkili olmakla birlikte, bunlarn etkileri
olduka dktr. Sonular, i borlardaki bir okun, merkez bankas paras
zerinde ters ynl, gl etkiye sahip olduuna iaret etmektedir. Bu durumda
kamu borcunun parasallatrlmad, i borlanma yoluyla finansmann, para
basma yoluyla finansmana ikame ediliyor olduu dnlebilir. Sonu olarak, i
borlardaki artn, eninde sonunda parasallatrlarak, enflasyon orannda arta yol
aabilecei ynndeki ho olmayan monetarist aritmetik hipotezi, inceleme dnemi
iin dorulanamamtr.

Abstract
In this article, causalities between domestic debt and main macroeconomic
variables are tested for 1988:12-2003:4 period and, the direction and size of these
relationships are determined by using econometric VAR technique. The impulseresponse functions from VAR are improved by Monte Carlo simulations. The
results of the article indicate that the central bank money is the variable which has
the most significant impact on the domestic debt. Although the interest rate, foreign
exchange level and non-interest budget expenditures influence also the domestic
debt, their influences are relatively small. The results show also that a shock to the
domestic debt has negative and significant impact on central bank money. In this
case one could not argue that the domestic debt is monetarised. Thus the unpleasant
monetarist arithmetic hypothesis which suggests that the domestic debt is
monetarised is not supported by the results.

Bu alma, Adnan Menderes niversitesi tarafndan, BF 02006 nolu proje kapsamnda, Bilimsel
Aratrma Projeleri Ynergesi erevesinde desteklenmitir. Bu alma, ODT Gelime Dergisi,
Haziran 2004, Say 31, ss. 93-114de yaynlanmtr.
**
Adnan Menderes niversitesi Nazilli ktisadi ve dari Bilimler Fakltesi Maliye Blm
***
Adnan Menderes niversitesi Nazilli ktisadi ve dari Bilimler Fakltesi ktisat Blm

GR
Trkiye zerine yaplan baz ampirik almalarda, kamu kesimi borlanma
gereindeki art, enflasyonun en nemli nedeni olarak ilan edilir. Bu almalarda
genellikle oransal (rasyo) analiz yntemi ya da iki deikenli Granger nedensellik
testleri kullanlmaktadr. almalardan kan genel sonu, i borlardan, faiz
oranlarna ve para arzna doru pozitif nedensellik ilikilerinin olduu ynndedir.
Bu tr analizler yaplrken, seilen deikenlerin ve kullanlan yntemin, doru
sonular alma asndan ok byk bir nemi vardr. Ekonometrik almalarda
grlen en nemli eksikliklerden birisi, seilen deikenlere ve kullanlan teknie
bal olarak, bir sistem btnl yaklamnn ou zaman gz ard ediliyor olmas;
srekli, btnn bir alt parasnn incelenmek zorunda kalnmasdr. Ksmi analiz
sonrasnda deikenler arasnda bulunan ilikiler, genel sistem btnlnde ortaya
kan ilikilerden farkl olabilmektedir2. ktisadi deikenler arasndaki ilikilerin
analizinde, bir sistem btnl yaklamnn yakalanmas, kurulan modele,
kullanlan deikenlere, isel ve dsal deiken ayrmnn doru yaplp
yaplmadna bal, son derece zor bir konudur.
Ekonometri, bu alanda son yllarda vektr otoregresif (VAR) tekniiyle, ok
nemli bir aama kaydetmitir. VAR teknii, ekonometrik modelin kurulmas
srasnda, modeli kstlayan eitli varsaymlarn mutlaka kullanlmasn gerektirmez.
Dolaysyla model, mmkn olduunca iktisat teorisinden bamsz olarak

Yazarlar deerli neri ve katklarndan dolay ODT gelime dergisinin iki anonim hakemine
teekkrlerini sunar.
2
Ekonometride nedensellik aratrmalarndaki bu sorun hakknda daha fazla aklama iin Bkz:
(Sims, 1972: 540-552) ve (Lutkepohl, 1982: 367-378).

oluturulabilir3. Bu ekilde, ekonometrik modelin daha doru tanmlanmas,

nedensellik testlerinin gvenilirliini artrr ve deiken seiminden kaynaklanan
sorunlarn dndaki sorunlar, byk lde azaltlm olur.
Trkiyede kamu borlanmas konusunda, eitli ampirik analiz metotlar
kullanlarak baz almalar yaplmtr. Abaan (1993) ho olmayan monetarist
aritmetik yaklamnn hipotezinin, Trkiyede gz ard edilemeyeceine dikkat
ekmitir. lengin (1995), kstlanmam VAR analizi kullanarak, bte a,
parasal byme, enflasyon, dviz kuru ve retim arasndaki nedensellik ilikilerini
test etmitir. Bilgili (1997), i borlanmann vergiden farkl iktisadi etkilere yol
amayacan ne sren Ricardo denklik hipotezinin, Trkiye iin doru olmadn
bulmutur. Saraolu (1997), kamu harcamalar, vergi gelirleri, dviz kuru, milli
gelir ve enflasyon arasndaki ilikileri incelemi, enflasyonun para arz ve vergi
gelirlerinden etkilendii sonucuna ulamtr. zgn (2000), bte aklaryla
enflasyon arasndaki ilikiyi, Anand-Wijnbergen modeli ve VAR analizi ile test
etmi, bte aklarnn srdrlebilir olmad sonucuna ek olarak, i borlanmann
olumsuz makroekonomik etkilerine dikkat ekmitir. Derdiyok (2001), Trkiyede
borlanma politikalarn 1980 sonras iin, oransal analiz yntemiyle deerlendirmi,
kamu borlanmasnn ar olduundan hareketle, olumsuz makroekonomik etkilere
yol aabilecei sonucuna ulamtr. Kibritiolu (2001), Trkiyede enflasyonun
nedenleri konusunda, ok geni bir literatr zeti sunmutur. Kibritiolu, bte
aklar, mali dengesizlik ve i borlarn ar artnn, enflasyonun temel
nedenlerinden birisi olduu sonucuna ulaan almalara dikkat ekerken, ayn

Model kurma aamasnda fazlaca nsel bilgiden yararlanlmasnn sakncalar hakknda, daha teknik
bilgi iin Bkz: (Sims, 1980: 1-47).

zamanda Trkiyede ve her yerde enflasyonun sadece makroekonomik bir olay deil,
kurumsal bir olgu olduunu da vurgulamtr.
Btn bu almalardan, Trkiyede i borlarn iktisadi etkileri konusunda
nemli sonular elde edilebilir. Fakat bu makalede, dierlerinden farkl olarak, VAR
teknii ve bu teknikteki son gelimelerde dikkate alnarak, i borlarla dier belli
bal makroekonomik deikenler arasndaki ilikiler, i borlarn iktisadi etkileri
asndan incelenmektedir. 1988:12-2003:04 dneminde i borlarla dier belli bal
makroekonomik deikenler arasndaki nedensellik ilikileri test edilmekte,
ilikilerin yn ve bykl ekonometrik olarak belirlenmeye allmaktadr.
almann birinci blmnde, VAR teknii hakknda ksa bilgiler
verilmekte, ikinci blmde, kullanlan deikenler tantlmaktadr. nc blmde
VAR analizi sonular incelenmekte ve drdnc blmde elde edilen sonular
tartlmaktadr.
I- Vektr Otoregressif Model (VAR)
VAR modeli zaman serisi modelleri iinde, son dnemde en fazla
kullanlandr. Sims (1980), Dijk ve Franses (2000), Johansen (2000), Kilian ve
Chang (2000), Lutkepohl (2000), VAR modellemesi ve analizi konusunda son
dnemdeki literatre rnek gsterilebilir.
VAR modeli, seilen btn deikenleri birlikte ele alr ve bir sistem
btnl iinde inceler. Kesin bir biimde isel ve dsal deiken ayrm sz
konusu deildir. Ekonometrik modelin ekillendirilmesi aamasnda, belirli ve
modelin oluumuna etki eden kat bir iktisadi teorinin varl kabul edilmez. ktisadi
teorinin ne srd kstlamalarn, varsaymlarn, model tanmn bozmasna izin

verilmez. Deikenler aras ilikiler hakknda bir n kst konulmaz. Bylelikle

ekonometristlerin model kurma aamasnda yapmak zorunda olduklar n
varsaymlarn, olumsuz etkileri byk lde ortadan kalkmaktadr. ktisat teorisinin
ne srd eitli hipotezlerin istatistik ve ekonometrik testleri, daha sonra saysal
iktisadi veriler kullanlarak yaplr.
VAR modelleri ncelikle makroekonomik deikenler arasndaki ilikilerin
incelenmesinde ve rassal oklarn deikenler sistemine olan dinamik etkisinin
analizinde kullanlr. Hatta birok iktisatya gre kstsz VAR, ngr iin klasik
yapsal modellemeden daha iyi sonu verir (Greene, 1993: 553). sel deikenlerin,
modele ait denklemlerin hem sa, hem de sol tarafnda yer almas, incelenen ilikinin
tahminini ve oradan bir sonu karlmasn zorlatrdndan, deikenler aras
ilikileri yapsal olmayan tekniklerle belirlemek, bazen daha iyi sonu vermektedir.
ki deikenli VAR modeli, standard ekilde yle ifade edilebilir:
P

yt = a1 + b1i yt-i + b2i Xt-i + 1t

i =1

i =1

xt = c1 + d1i yt-i + d2i Xt-i +2t

i =1

(1.1)

i =1

Yukardaki modelde gecikmelerin uzunluunu, ortalamas sfr, kendi

gecikmeli deerleriyle olan kovaryanslar sfr ve varyanslar sabit, normal dalma
sahip, rassal hata terimlerini gstermektedir. VAR modelinde hatalarn kendi
gecikmeli deerleriyle ilikisiz olmas varsaym, modele herhangi bir kst getirmez.
nk deikenlerin gecikme uzunluunun artrlmasyla otokorelasyon sorununun
stesinden gelinilir.

Hatalar zamann belli bir noktasnda birbiriyle ilikiliyse, yani aralarndaki

korelasyon sfrdan farkl ise, hatalardan birindeki deiim, zamann belli bir
noktasnda dierini etkileyecektir. Ayrca hata terimleri modelin sandaki tm
deikenlerle ilikisizdir. Modelin sa tarafnda, sadece isel deikenlerin gecikmeli
deerleri yer ald iin, eanllk problemiyle karlalmaz. Bu durumda, modeldeki
her bir denklem klasik en kk kareler yntemiyle tahmin edilebilir. VAR
modelinde optimal gecikme uzunluklar, Akaike, Schwartz, Hannan-Quinn vb.
kriterlerle saptanabilir.
VAR modelleri, kstlanm ve kstlanmam VAR modelleri olarak iki trl
uygulanabilir4 ve VAR analizinden yolla sonu alnabilir. Granger nedenselliini
gsteren F testleri, deikenler arasndaki etkileimi gsteren varyans ayrtrmas
ve etki-tepki fonksiyonlar, VARda sonu almada kullanlan yollardr.
A- VARda Granger Nedensellii
1969 ylnda Granger, nedensellik ve dsallk kavramlarn ortaya atmtr
(Granger, 1969: 553-560). Buna gre eer x deikenine ait bilgilerin modele
eklenmesi, y deikeninin ngrsne katk salyorsa, x deikeni ynin nedenidir.
Yukarda sunulan model iin Granger nedensellik testi snamas u ekilde
gerekletirilir :
Aadaki H1 hipotezinin kabul halinde x, ynin nedeni deildir
H1 : b21= b22=..b2 = 0

(1.2)

H2 hipotezinin kabul halinde y, xin nedeni deildir.

H2 : d11= d12=..d1 = 0
4

(1.3)

Bu almada kstlanmam VAR tercih edilmitir.

Eer H1 ve H2 hipotezlerinin her ikisi de reddedilirse, x ve y arasnda iki

tarafl nedensellik olduu anlalr. Bu durumda geri besleme etkisinden
bahsedilebilir.
Yukardaki hipotez testleri, Wald testiyle snanabilir:

F=

(HKTS HKT ) / r
HKT / (n k )

Burada

HKTS

kstlanm

modelin

(1.4)
hata

kareler

toplamn,

HKT

kstlanmam modelin hata kareler toplamn, r kst saysn, n gzlem saysn ve k

modeldeki parametre saysn gstermektedir. Eer hesaplanan F deeri, F tablo
deerinden bykse, H1 ve H2 hipotezi reddedilir.
B- Etki-Tepki Fonksiyonlar
Etki-tepki fonksiyonlar, rassal hata terimlerinden birindeki bir standart
sapmalk okun, isel deikenlerin imdiki ve gelecekteki deerlerine olan etkisini
yanstr. VAR analizinde, incelenen deikenler arasndaki dinamik etkileimi
belirlemede, simetrik ilikileri5 tespit etmede, etki-tepki fonksiyonlarnn byk pay
vardr. Bir makroekonomik bykln zerinde en etkili deikenin hangisi olduu
varyans ayrtrmas ile; etkili bulunan bu deikenin politika arac olarak
kullanlabilir olup olmad ise, etki-tepki fonksiyonlar ile belirlenir.
Standard VAR modelinden etki-tepki katsaylarn elde etmede en ok
kullanlan yntemlerden birisi, hatalarn Cholesky ayrtrmas kullanlarak
dikeyletirilmesi (orthogonalize edilir) ve elde edilen varyans-kovaryans matrisinin

rnein x, y'yi etkiliyorsa ve ayn zamanda y'de x' i etkiliyorsa, iki deiken arasnda simetrik iliki
vardr denir.

diagonal hale getirilmesidir.6 Bu yzden deikenlerin srasnn deitirilmesi, etkitepki fonksiyonlarnda ok byk deimelere yol aabileceinden, bu noktaya
dikkat edilmelidir.
Ayrca etki-tepkiler, VAR modelinin katsaylarnn dorusal olmayan bir
fonksiyonu olmalarndan dolay, bunlarn gerek deerleri hesaplanamaz. Ancak
etki-tepki fonksiyonlarnn gerek deerleri belirli bir olaslkla gven aralklarnn
iinde yer alrlar. Bundan dolay etki-tepki fonksiyonlarnn katsaylarnn gven
aralklarnn hesaplanmasnda kullanlan analitik yntemler, son zamanlarda eletiri
konusu olmutur (Kilian ve Chang, 2000). Bu konuda Monte Carlo ve bootstrap
yntemleri ska kullanlmaya balanmtr.
Bu

almada

etki-tepki

fonksiyonlarnn

standart

hatalarnn

hesaplanmasnda Monte Carlo teknii kullanlmaktadr. Bu teknie gre, Hamilton

(1994) tarafndan hesaplanan VAR katsaylarnn asimptotik dalmndan, rassal bir
rneklem seilir. Simlasyonla elde edilmi bu katsaylardan yararlanarak, etki-tepki
katsaylar elde edilir. Bu sre, belirli bir sayda tekrarlanarak7, etki-tepki
katsaylarnn rneklem dalm bulunur. Bu dalmdan faydalanarak standart
sapmalar elde edilir. Bu ekilde elde edilen standart sapmalar, etki-tepki
fonksiyonlarnn standart hatalarn verecektir.
C- Varyans Ayrtrmas
Varyans ayrtrmas, isel deikenlerden birisindeki deiimi, tm isel
deikenleri etkileyen ayr ayr oklar olarak ayrr. Bu anlamda varyans ayrtrmas,
sistemin dinamik yaps hakknda bilgi verir. Varyans ayrtrmasnn amac, her bir
6

Teknik bilgi iin Bkz. (Hamilton, 1994: 323).

rassal okun, gelecek dnemler iin ngrnn hata varyansna olan etkisini ortaya
karmaktr.
ngrnn hata varyans, h uzunluktaki bir dnem iin, her bir deikenin
hata varyansna katks olarak ifade edilebilir. Daha sonra bu ekilde elde edilen her
bir varyans, toplam varyansa oranlanarak, yzde olarak nisp arl bulunur.
Varyans ayrtrmasndan elden edilen sonularn yorumlanmas da
nemlidir. Yukardaki gibi bir model dnrsek 1t deki bir ok, tahmin dnemi
uzunluu ne olursa olsun xin ngr hata varyansn etkilemiyorsa, x dsal kabul
edilebilir. nk x, yden bamsz olarak hareket etmektedir. Aksine, 1t deki bir
ok tamamen (ya da nemli lde) xin ngr hata varyansn etkiliyorsa, x isel
bir deiken kabul edilir. Varyans ayrtrmasnda da deikenlerin sras sonulara
etki etmektedir.
II- Veri Seti
Yukardaki teorik ereveye uyumlu ekilde yaplan bu almada, 1988:122003:04 dnemini kapsayan aylk, mevsimsel etkilerden arndrlmam seriler
kullanlmtr. Btn seriler, yzdesel art olarak hesaplanmtr8. Verilerin
analizinde Eviews 4 programndan yararlanlmtr. almada, (kstlanmam) VAR
analizi iin kullanlan deikenler unlardr: bor stou (BR), enflasyon oran
(ENF), mevduat faiz oranlar (FAZ), dviz (dolar/tl) kuru (DVKR), sanayi retim
endeksi (SE), para arz (M2Y), merkez bankas paras (MBP), toplam konsolide
bte harcamalar (KBHAR), faiz d bte harcamalar (FDHAR), vergi gelirleri
(VERGEL) ve bte dengesi (BD).

7
8

Bu almada etki-tepki katsaylar 1000 tekrar yaplarak elde edilmitir.

rnein i bor stokunun yzdesel art serisini bulabilmek iin kullanlan forml, aadaki gibidir:

Bu deikenlerden i bor stou, enflasyon oran, para arz, merkez bankas

paras, toplam konsolide bte harcamalar, faiz d bte harcamalar, vergi gelirleri
ve bte dengesi 1987 fiyatlar baz alnarak enflasyonun etkisinden arndrlmtr.
III- Trkiyede Borlarn ktisadi Etkilerine likin VAR Analizi
Sonular
VAR literatrnde yaygn olan gre gre, analiz sonularnn gvenilir
olmas iin, analizde kullanlan serilerin duraanlnn salanmas gereklidir.
Modelin btn olarak duraanl ise, modelden elde edilen karakteristik
polinomunun ters kklerine baklarak anlalabilir (Banerjee vd., 1993:141). Btn
kkler birim emberin iinde yer alyorsa VAR sreci duraandr.
Aylk serilerin hemen hemen tamamndan beklenen, birim kk ierme duraan olmama- durumu, bu almada byme oranlaryla alld iin
grlmemitir. Geniletilmi Dickey-Fuller birim kk testleri gibi modern
ekonometrik yntemlerle yaplan duraanlk analizi sonular, serilerin tmnn
=0.05 anlamllk dzeyinde duraan olduu savn dorulamaktadr. Seriler
mevsimsel etkilerden arndrlmadndan, birim kk testleri 11 tane merkezi
mevsimsel kukla deiken kullanlarak yaplmtr. Testler, herbir deiken iin 12
tane gecikmeyle balam ve gecikmeler birer birer azaltlarak, Schwartz kriteriyle
optimal gecikme uzunluu iki olarak belirlenmitir9. Btn deikenler, yzdesel
art olarak tanmlandklarndan, dzey olarak duraandr.10
almada toplam sekiz tane kstsz VAR modeli tahmin edilmitir. Herbir
VAR modeli, yedi isel deikenden, onbir merkezi mevsimsel kukla deikenden,

BR = (BRt - BRt-1)/BRt-1
("t" cari dnemi, t-1 bir nceki dnemi gsterir)
Geniletilmi Dickey-Fuller Testi sonular Ek-1de verilmitir.
10
Serilerin duraan olduklar KPSS ve Phillips-Perron testleriyle de dorulanmtr.
9

10

bir tane 1994, 2000 ve 2001 krizlerini temsil eden kriz kukla deikeninden ve bir de
sabit terimden olumaktadr. VAR analizine de 12 gecikme ile balanm ve birer
birer indirilerek optimal gecikme uzunluunun iki olduu Akaike kriteriyle tespit
edilmitir. Tahmin edilen VAR modelleri unlardr:
VAR1 : GBR ENF GDVKR GM2Y GFAZ GSE GKBHAR
VAR2 : GBR ENF GDVKR GM2Y GFAZ GSE GVERGEL
VAR3 : GBR ENF GDVKR GM2Y GFAZ GSE GFDHAR
VAR4 : GBR ENF GDVKR GM2Y GFAZ GSE GBD
VAR5 : GBR ENF GDVKR GMBP GFAZ GSE GFDHAR
VAR6 : GBR ENF GDVKR GMBP GFAZ GSE GBD
VAR7 : GBR ENF GDVKR GMBP GFAZ GSE GVERGEL
VAR8 : GBR ENF GDVKR GMBP GFAZ GSE GKBHAR
A- Nedensellik Testi Sonular
Tahmin edilen 8 tane VAR modeli iin Wald testi kullanlarak yaplan
Granger nedensellik snamas sonular, aada tablolar halinde (Tablo 1-8)
verilmitir. Sonular, faiz oran, merkez bankas paras ve faiz d bte
harcamalarndan i borlara doru tek tarafl ve gl bir nedensellik ilikisi ortaya
koymaktadr Ayrca i borlardan dviz kuruna, konsolide bte harcamalarna ve
vergi gelirlerine doru nedensellik grlmektedir. Nedensellik testi sonular, daha
nce yaplan almalarn aksine, i bor artyla enflasyon oran arasnda gl bir
nedensellie iaret etmemektedir.
Benzer biimde i bor artyla sanayi retimi arasnda da nedensellik
grlmemektedir. Faiz oran, merkez bankas paras ve faiz d bte
harcamalarndan, i borlara doru gl bir nedensellik olmas beklenen bir

11

sonutur. bor artndaki en byk faktrn, faiz oranlarndaki ve bte

harcamalarndaki arttan kaynakland bilinen bir gerektir. Merkez bankas
parasndan i borlara doru gl bir nedenselliin var olmas, para basma yoluyla
finansmann, i borlanma yoluna daha az bavurulmasna yol aabildiini ve
bylece i bor artnn snrlanabildiini gstermektedir. Bu nedensellik ayn
zamanda i borcun parasallatrldn gsterebilir. Ayn ekilde i borla, dviz
kuru, konsolide bte harcamalar ve vergi gelirleri arasndaki nedensellik de iktisadi
beklentilere uygundur. Kamu harcamalarnn i borlanma yoluyla finansman,
iktisadi birimler tarafndan yeterli lde ve uygun faiz oranndan desteklendiinde,
d borlanma yoluyla finansman ve yabanc paraya olan talebi azaltacandan,
dviz kuru decek yani TL deer kazanacaktr.

12

Tablo 1:VAR1 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GM2Y
GFAZ
GSE
GKBHAR

GBR ENF
0.20
0.91
2.78**
0.48
1.36
1.34
0.32
2.93**
0.18
0.378
4.78***
0.99

GDVKR GM2Y
0.94
1.01
1.31
0.46
0.67
1.75
0.98
1.70
1.16
0.95
0.25
0.14

GFAZ
4.41***
0.46
0.57
0.53
2.06*
6.40***

GSE
0.97
0.33
0.12
1.84
1.20

GKBHAR
0.19
1.34
2.34*
3.91***
0.87
3.81***

1.64

Tablo 2:VAR2 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GM2Y
GFAZ
GSE
GVERGEL

GBR ENF
0.39
1.21
3.38***
0.61
1.90
1.59
0.34
2.63**
0.10
0.46
8.81***
0.71

GDVKR
1.04
1.09
1.80
0.86
1.02
0.05

GM2Y
1.07
0.85
0.91
1.23
1.15
0.50

GFAZ GSE
4.05***
1.20
0.53
0.18
1.12
0.063
0.68
3.13***
1.21
2.58**
7.11***
1.91

GVERGEL
1.96
1.88
0.65
1.96
0.07
0.72

Tablo 3: VAR3 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GM2Y
GFAZ
GSE
GFDHAR

GBR ENF
0.50
0.99
3.43**
0.46
1.93
0.58
0.34
2.38*
0.11
0.82
0.15
2.81**

GDVKR
0.98
1.02
1.31
1.08
1.20
0.028

GM2Y
1.09
0.59
1.51
2.01
0.86
0.67

GFAZ GSE
4.65***
0.77
0.72
1.55
1.44
0.091
0.49
1.78
0.88
2.43*
2.68**
3.49**

GFDHAR
2.32*
16.9***
6.64***
4.56***
2.52*
1.94

Tablo 4: VAR4 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GM2Y
GFAZ
GSE
GBD

GBR ENF
0.25
0.81
1.98
0.44
1.86
1.27
0.32
2.65*
0.43
0.47
0.03
0.72

GDVKR
0.94
1.00
1.61
0.77
0.75
2.11

GM2Y
0.89
1.12
1.35
1.00
1.34
0.029

GFAZ GSE
4.62***
0.99
0.43
0.36
0.61
0.15
0.62
2.57*
1.02
2.34*
3.33**
0.12

GBD
0.061
0.36
1.52
0.44
0.25
1.41

Tablo 5: VAR5 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GMBP
GFAZ
GSE
GFDHAR

GBR ENF
GDVKR
2.33*
0.63
1.94
3.13***
3.93**
2.57*
0.29
2.89** 10.74***
0.92
0.39
0.016
0.072
0.0023
1.68
0.83
5.24***
2.12*

GMBP
GFAZ
27.95*** 6.76***
1.15
1.03
5.88***
0.42
6.47***
1.63
0.19
1.69
2.23*
2.87**

GSE
0.26
1.72
0.14
0.75
0.98

GFDHAR
4.57***
18.27***
14.85***
0.0053
3.00**
2.18*

4.72***

13

Tablo 6: VAR6 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GMBP
GFAZ
GSE
GBD

GBR ENF
GDVKR
0.25
0.94
1.18
4.10***
2.75** 4.22***
0.23
3.45** 11.13***
0.85
1.58
0.07
0.29
0.05
1.27
0.51
0.057
0.12

GMBP
0.89
0.29
4.01***

GFAZ
4.62***
0.76
0.17
6.35***

1.51
0.23
19.55***

1.76
0.72

GSE
0.99
0.40
0.08
0.62
1.00

GBD
0.06
0.24
0.89
0.40
1.09
1.28

0.14

Tablo 7: VAR7 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GMBP
GFAZ
GSE
GVERGEL

GBR ENF
GDVKR
2.58*
0.22
1.33
4.05***
3.09** 4.59***
0.29
3.31** 10.95***
0.69
1.50
0.158
0.07
0.09
1.40
7.86***
2.66*
0.43

GMBP
27.21***
0.39
4.60***
0.88
0.16
0.44

GFAZ GSE
6.28***
0.18
0.74
0.23
0.30
0.03
5.87***
0.76
1.18
1.81
7.87*** 2.93**

GVERGEL
3.70**
2.14*
1.02
0.049
0.07
0.70

Tablo 8 : VAR8 Modeli Nedensellik Testi Sonular

GBR
ENF
GDVKR
GMBP
GFAZ
GSE
GKBHAR

GBR ENF
1.69
0.95
2.63*
3.63***
0.25
3.33**
0.69
1.33
0.09
0.027
3.97**
3.37**

GDVKR GMBP
GFAZ
0.13
24.96*** 6.24***
3.64**
0.21
0.68
4.42***
0.10
9.85***
6.37***
0.11
0.93
1.66
0.23
1.39
1.39
0.63
5.32***

GSE
0.31
0.48
0.07
0.33
1.21

GKBHAR
0.27
1.80
2.8**
2.15*
0.44
4.08***

2.31*

* Sfr hipotezi =0.10lik dzeyde reddedilmektedir.

**Sfr hipotezi =0.05lik dzeyde reddedilmektedir.
*** Sfr hipotezi =0.01lik dzeyde reddedilmektedir.
Tablolar, stunlarda yer alan deikenlerden, satrlardaki deikenlere doru nedensellii
gstermektedir.

Tablo 9 : Theil Eitsizlik Katsays (Dnem i Deerler)

Model
VAR1
VAR2
VAR3
VAR4
VAR5
VAR6
VAR7
VAR8

Theil U
0.506
0.503
0.500
0.504
0.509
0.516
0.517
0.519

14

B- Etki-Tepki Analizi Sonular

Bir makroekonomik byklk zerinde, herhangi bir deikenin etkili olup
olmad, ncelikle nedensellik testleri ile llr. Ardndan, etkili deikenin,
politika arac olarak kullanlabilirlii, etki-tepki fonksiyonlaryla, etki derecesi ise
varyans ayrtrmalaryla belirlenir. Bu blmde, nedensellik testlerinden elde edilen
sonularn pekitirilmesi amacyla, etki-tepki fonksiyonlarnn grafikleri, nce
modeldeki deikenlere verilen oklara i borlarn tepkisi asndan, sonra da i
borlara verilen oklara modeldeki deikenlerin tepkisi asndan incelenmektedir.
Etki-tepki grafikleri, yukardaki sekiz tane VAR modeli arasndan en uygunu olan
VAR5 modeline gre dzenlenmitir11. VAR5 modelinin duraan olduu ek 2deki
AR karakteristik polinomunun ters kklerinin hepsinin birim emberin iinde
yeraldn gsteren grafikten anlalmaktadr.

11

En uygun modelin seiminde yle bir yol izlenmitir: Sekiz tane VAR modeli arasndaki temel
farkllk, ilk drt tanesinde, para arznn, geni anlamda para arzyla (M2Y), dier drt tanesinde ise
merkez bankas parasyla llm olmasdr. Nedensellik testlerinden de grlebilecei gibi, bu iki
para arz gstergesinden merkez bankas paras, i borla ve dier deikenlerle ilikilidir. Bu
durumda ilk drt tane VAR modeli gz ard edilmitir. Geri kalan drt VAR modeli (VAR5 VAR6
VAR7 VAR8) arasndan, Theil U eitsizlik katsaysnn en kk deerini veren VAR5 modeli
seilmitir
Theil U eitsizlik katsays u ekilde hesaplanmtr:

U=

1 T
(Y s t Y a t ) 2

T t =1
T
1
1 T
s
2
(
Y
)
+
(Y a t ) 2
t

T t =1
T t =1

Daha fazla bilgi iin Bkz. Pindyck R. ve Rubinfeld D. (1991:340).

15

1- Modeldeki Deikenlere Verilen oklara Borlarn Tepkisi

ekil 1
Borlarn Borlara Tepkisi

ekil 2
Borlarn Enflasyona Tepkisi

0 .0 6

0 .0 6

0 .0 4

0 .0 4

0 .0 2

0 .0 2

0 .0 0

0 .0 0

-0 .0 2

-0 .0 2

-0 .0 4
1

10 11 12

-0 .0 4
1

0 .0 6

0 .0 6

0 .0 4

0 .0 4

0 .0 2

0 .0 2

0 .0 0

0 .0 0

-0 .0 2

-0 .0 2

10 11 12

-0 .0 4
1

10 11 12

10 11 12

ekil 6
Borlarn Sanayi retimine
Tepkisi

ekil 5
Borlarn Faiz Oranna Tepkisi
0.06

0.06

0.04

0.04

0.02

0.02

0.00

0.00

-0.02

-0.02

-0.04

ekil 4
Borlarn Merkez Bankas
Parasna Tepkisi

ekil 3
Borlarn Dviz Kuruna Tepkisi

-0 .0 4
1

-0.04
1

10

11

12

10

11

12

16

ekil 7
Borlarn Faiz D Bte Harcamalarna Tepkisi
0.06
0.04

0.02
0.00

-0.02

-0.04
1

10

11

12

Yukarda ekil 1 ve 7 arasndaki etki-tepki fonksiyonu grafikleri, srasyla i

bor stoku, enflasyon oran, dviz kuru, merkez bankas paras, faiz oran, sanayi
retimi ve faiz d bte harcamalarna verilen oklara, i borlarn tepkisini
gstermektedir12. ekil 1e gre, i borlarda yaklak %4lk bir ok gereklemi
ve ksa zamanda etkisini kaybetmitir. ekil 2den, enflasyondaki bir oka, i bor
stounun tepkisiz kald grlmektedir.
Dviz kurundaki (pozitif) bir ok, i bor art zerinde nemli bir etkiye
sahip deildir. (ekil 3). Parasal bir genileme oku ise (merkez bankas parasndaki
art olarak llm), i borlar zerinde birinci ay etki yapmamakta, ikinci ay da
ise i borlarda %2 gibi nemli de neden olmaktadr. nc ayda ise i borlar
hafife artmakta ve ok etkisini yitirmektedir (ekil 4). ekil 5-7den, faiz
oranndaki, faiz d bte harcamalarndaki ve sanayi retimindeki bir okun, i
borlar zerinde nemli bir etkisi olmad grlmektedir.

12

VAR modelinin ayrtedilmesinde Cholesky ayrtrmasndan yararlanldndan deikenlerin

modeldeki sralamas nem kazanmaktadr. Bu nedenle VAR5 modeli, deikenlerin sras
deitirilerek yeniden tahmin edilmi ve etki-tepki fonksiyonlar yeniden hesaplanmtr. Sonularda
byk deiiklikler gzlenmemitir.

17

2- Borlara Verilen oklara Modeldeki Deikenlerin Tepkisi

ekil 8
Enflasyonun Borlara Tepkisi

ekil 9
Dviz Kurunun Borlara Tepkisi

0 .0 2 0

0 .0 4

0 .0 1 5

0 .0 3

0 .0 1 0

0 .0 2

0 .0 0 5

0 .0 1

0 .0 0 0

0 .0 0

-0 .0 0 5

-0 .0 1

-0 .0 1 0
1

10 11 12

ekil 10
Merkez Bankas Parasnn
Borlara Tepkisi

-0 .0 2
1

10 11 12

ekil 11
Faiz Orannn Borlara Tepkisi
0.12

0.4

0.10

0.2

0.08

0.0

0.06
0.04

-0.2

0.02
-0.4

0.00

-0.6

-0.02

-0.8

-0.04
1

10 11 12

ekil 12
Sanayi retim Endeksinin
Borlara Tepkisi
0 .0 6

10 11 12

ekil 13
Faiz D Bte Harcamalarnn
Borlara Tepkisi
0 .0 6

0 .0 4

0 .0 4

0 .0 2
0 .0 2
0 .0 0
0 .0 0
-0 .0 2
-0 .0 2

-0 .0 4
-0 .0 6
1

10 11 12

-0 .0 4
1

10 11 12

18

ekil 8 ve 13 arasndaki grafikler, i borlardaki bir oka, modeldeki dier

deikenlerin tepkisini yanstmaktadr. borlardaki pozitif bir ok, enflasyon oran,
dviz kuru, faiz oran, sanayi retimi ve faiz d bte fazlasn nemli lde
etkilemezken, merkez bankas parasn hzl biimde drmekte ve bu d beinci
aya kadar srdkten sonra yavalamakta ve etkisini kaybetmektedir (ekil 10).
Beinci aydan sonra i bor oku emilmekte ve istikrar salanmaktadr. borlarn
merkez bankas paras zerindeki bu etkisi nedensellik testlerinde bulunamamt.
borlardaki bir okun merkez bankas paras zerinde ters etki yaratmas, son yllarda
uygulanan ve Merkez Bankasnn Hazineye ve dier kamu kurulularna verdii
avans ve kredileri snrlandran para politikalarnn bir sonucu olarak grlebilir.
Sonu olarak etki-tepki fonksiyonlar nedensellik testlerini dorulamakta, sadece i
borlar ve merkez bankas paras arasndaki ilikinin tek tarafl olmadn
gstermektedir.
C- oklu Varyans Ayrtrmas Sonular
Buraya kadar olan ksmda, en uygun bulunan VAR5 modelinden elde edilen
Granger nedensellik testleri sonular ve etki-tepki grafikleri yorumlanmtr. Bu
ksmda, i bor deikeni zerinde en ok hangi deiken ya da deikenlerin etkili
olduu sorusuna cevap aranacak ve bu amala varyans ayrtrmas yaplacaktr.
VAR5 modelindeki deikenlerin varyans ayrtrmas sonular Tablo 10da
verilmitir. Tablo 10.1deki sonulara gre, i borlarn gelecek dnemler iin
ngr hata varyans iinde en byk paya sahip deiken, yaklak %24lk pay ile
merkez bankas parasdr. kinci en yksek paya sahip deiken, yaklak %5 ile, faiz
orandr. nc ve drdnc deikenler, srasyla dviz kuru ve faiz d bte
harcamalardr. En dk paya sahip deikenler ise, sanayi retimi ve enflasyondur.

19

Bu durumda, kamu harcamalarnn para basma yoluyla ve i borla

finansman birbirini ikame ettiklerinden, merkez bankas parasndaki art, i bor
artn yavalatacaktr. Mevduat faiz orannn artmas ise, devlet i borlanma
senetlerinin faiz oranlarn artrma ynnde bask yapacak ve devletin i bor ykn
artracaktr. Dviz kurunun artmas, dvize endeksli i bor senetleri yoluyla i bor
stounun artmasna neden olacaktr. Ayrca dviz kurunun artma eiliminde olmas,
yabanc paraya olan talebi artracandan, i bor senetlerine talep azalma eilimine
girecektir. Bylece gerekli miktarda i borlanma yapabilmek iin, devlet, i
borlanma senetlerinin faiz orann artracaktr. Sonuta dviz kurunun artmas, i
bor stounun artmasna neden olabilir. Faiz d bte harcamalarnn da artmas i
borlanma gereksinimini artracandan, i bor stoku artacaktr. Varyans
ayrtrmas sonular ayrca, i bor deikeninin yaklak %9lk pay ile
enflasyonun ngr hata varyans iinde nemli bir paya sahip olduunu
gstermektedir (Tablo 10.2). borlarn dier deikenlerin ngr hata varyans
iindeki pay olduka dktr.

20

Tablo 10:Modeldeki Deikenlerin Varyans Ayrtrmas

Tablo 10.1: Borlarn Varyans Ayrtrmas:
Dnem
GICBRC
ENF
GDVKR

GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

0.000000
25.73821
24.37826
23.93588
23.71306
23.62366
23.54216
23.53616
23.53904
23.53838
23.53698
23.53657

0.000000
3.613809
4.054097
4.790811
4.846901
4.825148
4.825422
4.824189
4.829665
4.830157
4.830229
4.830322

0.000000
0.032026
0.193040
0.193065
0.194878
0.258952
0.295972
0.307152
0.307331
0.307520
0.307535
0.307781

0.000000
0.702639
2.632217
2.816445
3.078191
3.310476
3.531497
3.535979
3.537559
3.537784
3.540105
3.540575

Tablo 10.2 : Enflasyonun Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR

GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

0.000000
0.528581
0.581015
1.047640
1.342145
1.571231
1.614580
1.623467
1.628969
1.633651
1.633936
1.633923

0.000000
0.441104
0.338559
0.481216
0.763560
0.946502
0.998684
1.013612
1.020875
1.022212
1.022491
1.022515

0.000000
0.404979
0.371803
1.263671
1.583230
1.589844
1.588082
1.594937
1.595218
1.594983
1.595010
1.595144

0.000000
0.671221
17.02142
17.80066
17.50302
17.37683
17.38840
17.37361
17.36826
17.36863
17.36999
17.37018

Tablo 10.3 : Dviz Kurunun Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR
GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

0.000000
0.001210
0.005059
0.042697
0.649142
0.775179
0.774593
0.774215
0.778026
0.777994
0.778080
0.778183

0.000000
0.075726
0.248552
1.064838
1.042904
1.181043
1.193727
1.206151
1.205577
1.207736
1.208237
1.208219

0.000000
4.518778
15.92949
15.54196
16.21485
16.15606
16.27310
16.26359
16.28565
16.29118
16.29084
16.29068

100.0000
67.49697
64.67595
63.69804
63.23118
62.81697
62.58953
62.57204
62.55550
62.55054
62.54696
62.54592

9.103471
7.573239
5.895848
5.572092
5.662656
5.798246
5.827576
5.836439
5.845245
5.847203
5.847259
5.847191

2.305316
2.194171
3.250672
3.247132
3.327248
3.416100
3.413147
3.412136
3.413141
3.412850
3.412895
3.412939

0.000000
0.260122
0.440794
0.735967
1.071695
1.321278
1.322208
1.325719
1.333213
1.337390
1.337433
1.337442

90.89653
88.88575
72.08486
68.10799
67.28710
66.85262
66.62884
66.56481
66.54889
66.54168
66.53991
66.53969

38.15217
30.04385
25.50781
24.63217
24.21580
24.12011
24.07120
24.10291
24.09212
24.08875
24.08870
24.08900

0.000000
2.156225
3.625648
3.829795
3.864100
3.843514
3.893212
3.898767
3.897696
3.898223
3.900753
3.901392

0.000000
1.495127
3.706500
5.726727
5.858288
5.864733
5.953839
5.993131
5.992547
5.991641
5.991404
5.991355

59.54252
57.71019
50.22341
48.79959
47.74807
47.55009
47.49346
47.46402
47.44570
47.44150
47.44052
47.43979

0.000000
5.456073
4.835004
6.671603
6.801987
6.801422
6.780764
6.776966
6.779790
6.779991
6.780721
6.781194

21

Tablo 10.4 : Merkez Bankas Parasnn Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR
GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

0.000000
1.265880
6.310247
6.449705
6.339898
6.438496
6.436832
6.454642
6.455501
6.454082
6.453795
6.453870

0.000000
0.834484
0.800513
1.156690
1.195381
1.293893
1.315024
1.313897
1.314815
1.314492
1.315785
1.316117

0.000000
0.002912
1.233353
1.948641
2.490771
3.138044
3.155161
3.180641
3.179982
3.194530
3.197253
3.197564

Tablo 10.5 : Faiz Oranlarnn Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR
GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

94.21721
90.06378
85.56014
82.66663
81.63457
81.39877
81.19725
81.16824
81.13618
81.13061
81.12573
81.12488

0.000000
0.632955
1.415382
1.699533
1.682293
1.751227
1.748438
1.762111
1.762003
1.765482
1.765436
1.765778

0.000000
1.621150
2.162751
4.248805
5.107739
5.173980
5.317387
5.328186
5.348474
5.348432
5.351414
5.351719

Tablo 10.6 : Sanayi retim Endeksinin Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR
GMBP

GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

0.093563
0.505179
2.579349
3.108151
3.103234
3.101969
3.102533
3.102181
3.102030
3.102344
3.102354
3.102361

98.08667
94.17846
91.10252
90.14098
89.92774
89.89589
89.87941
89.87817
89.87351
89.87287
89.87267
89.87259

0.000000
1.609979
2.263900
2.602438
2.673606
2.673503
2.685323
2.685566
2.690028
2.690010
2.690084
2.690081

Tablo 10.7 : Faiz D Bte Harcamalarn Varyans Ayrtrmas:

Dnem
GICBRC
ENF
GDVKR
GMBP
GFAIZ

GSUE

GFDHAR

1
2
3
4
5
6
7
8
9
10
11
12

1.005454
1.670641
2.480315
4.073623
4.059807
4.056833
4.053727
4.057005
4.056821
4.056792
4.056785
4.056815

94.05549
86.88604
83.96820
81.81647
81.64380
81.50761
81.45930
81.43845
81.43266
81.43068
81.43022
81.43009

0.048557
0.185858
0.777505
1.375249
1.370070
1.368804
1.368400
1.368507
1.370121
1.370168
1.370335
1.370618

0.168410
1.570851
1.451489
1.438606
1.429076
1.428059
1.437235
1.440744
1.440197
1.440161
1.440354
1.440355

0.431050
0.575591
0.555927
0.572726
0.573005
0.573139
0.574970
0.574911
0.574891
0.575050
0.575051
0.575052

0.000190
0.074544
0.099443
0.169381
0.230076
0.267123
0.267831
0.269878
0.272752
0.273309
0.273365
0.273394

0.980157
1.412032
1.711291
2.343533
2.969205
2.936953
2.937117
2.961537
2.978824
2.978473
2.978447
2.978458

1.764016
1.969161
5.044719
4.982998
5.063585
5.042050
5.054062
5.054343
5.055494
5.057678
5.057546
5.057498

0.280161
1.405001
1.792612
1.847684
1.851521
1.853078
1.854410
1.854208
1.854368
1.854436
1.854455
1.854487

1.574917
6.033764
5.450854
5.326679
5.347575
5.398287
5.395566
5.394023
5.394655
5.394889
5.394918
5.394943

1.190694
14.04967
15.14134
14.75869
14.56056
14.50222
14.49913
14.48332
14.48067
14.48545
14.48699
14.48668

3.752925
3.596878
3.861821
4.215705
4.342491
4.324732
4.322760
4.323504
4.334318
4.334280
4.335459
4.335607

0.366757
1.198098
1.144403
1.170354
1.206142
1.206861
1.206837
1.207669
1.207682
1.207808
1.207897
1.207903

0.216794
1.208777
2.898789
3.590780
3.582747
3.575512
3.623291
3.634774
3.634661
3.634564
3.634501
3.634494

97.78059
82.24916
74.02576
71.96749
71.07411
70.32159
70.28833
70.23745
70.22009
70.20280
70.19739
70.19669

0.097444
0.545229
0.503702
0.747724
0.740246
0.881184
0.922873
0.922866
0.923329
0.923353
0.924065
0.924167

0.741804
0.527693
0.561287
0.557663
0.664757
0.695563
0.696514
0.697299
0.697490
0.697481
0.697490
0.697522

0.980472
2.098696
1.987603
1.944566
2.028458
2.074158
2.079241
2.078701
2.080788
2.082102
2.082284
2.082283

2.166680
2.027537
3.114795
3.078503
3.107536
3.120473
3.121049
3.127167
3.127665
3.127666
3.127931
3.127983

Sra: GICBRC ENF GDVKR GMBP GFAIZ GSUE GFDHAR

22

SONU
Bu almada, i borlarla nemli makroekonomik deikenler arasndaki
ilikiler, kstlanmam VAR teknii ile analiz edilmitir. almann birinci derece
sonular u ekilde zetlenebilir:
VAR analiziyle elde edilen tr kt (Granger nedenselik testleri, etki-tepki
fonksiyonlar ve varyans ayrtrmas), Trkiyede i bor artn etkileyen en
nemli deikenin merkez bankas paras olduunu gstermektedir. Faiz oran, faiz
d bte harcamalar ve dviz kuru, i borlar zerinde etkili dier deikenlerdir.
Ancak bu deikenlerin i borlar zerindeki etkisi snrl kalmaktadr. borlardaki
bir okun da merkez bankas parasnda byk deimelere yol at grlmektedir.
Bu sonuca dayanarak, incelenen dnemde Trkiyede i borlarn parasallatrld
ve bylece enflasyonun hzlandrld tezinin geerli olmad sylenebilir.
borlardaki pozitif bir okun, enflasyon zerinde nemli bir etki yapmamas da bu
sonucu desteklemektedir. Ayrca i borlardaki artn parasallatrlarak enflasyona
yol at ynndeki ho olmayan monetarist aritmetik hipotezi, alma sonularnca
desteklenmemektedir.

23

KAYNAKLAR
Abaan, E. D. (1993), "Government Debt, The Central Bank and Inflation: Testing of
Three Hypotheses and The Structure of Causality", METU Studies in
Development, 20 (3), 251-267.
Akaike, H. (1973), "Maximum Likelihood Estimation of Gaussian Autoregressive
Moving Average Models," Biometrika, 60, 255-265.
Bilgili, F. (1997), "Testing the Ricardian Equivalance Theorem in the Framework of
the Permanent Income Hypothesis", Presented Paper at the METU
Conference on Economics.
Banerjee, A., Dolado, J., Galbraith, J, Hendry, D.F. (1993), Cointegration, Error
Correction and the Econometric Analysis of Non-Stationary Data,
Oxford:Oxford University Press.
Derdiyok, T. (2001), "1980 Sonras Borlanma Politikalar", 16. Trkiye Maliye
Sempozyumu, 28-31 Mays 2001, Antalya. 1-22.
Dickey, D.A ve Fuller W.A.(1979) Distribution of the Estimators for
Autoregressive Time Series with a Unit Root, Journal of The American
Statistical Association, 74, 427-431.
Dijk, D. V. T. Tersvirta ve P. H. Franses (2000), "Smooth Transition
Autoregressive Models - A Survey of Recent Developments", Erasmus
University Economic Institute Research Report, No: 23, June 2000, 1-56.
Granger, C.W.J. (1969), "Investigating Causal Relations by Econometric Models and
Cross-Spectral Methods", Econometrica, 37, 553-560.
Granger, C.W.J. (1988), "Some Recent Developments in a Concept of Causality,
Journal of Econometrics, 39 (1-2), September-October 1988, 199-211.
Greene, W. H. (1993), Econometric Analysis, Second Edition, Prentice-Hall
Publication.
Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton.
Johansen, S. (2000), Modelling of Cointegration in the Vector Autoregressive
Model, Economic Modelling, 17, 359-373.
Kibritiolu, A. (2001), "Causes of Inflation in Turkey: A Literature Survey with
Special Reference to Theories of Inflation", University of Illinois, College of
Commerce and Business Administration Office of Research, Working
Papers, Number 01-0115, 1-44.

24

Kilian, L. ve P. L. Chang (2000), How Accurate are Confidence Intervals for

Impulse Responses in Large VAR Models, Economics Letters, 69, 299307.
Lutkepohl, H. (1982). "Non-Causality Due to Omited Variables", Journal of
Econometrics, 19, 367-378.
Lutkepohl, H. (2000), Bootstrapping Impulse Responses in VAR Analyses,
Humboldt University, Quantification and Simulation of Economic
Processes, National Research Center Discussion Papers, Sfb 373, No 22,
1-11.
zgn, D. B. (2000), "An Empirical Approach to Fiscal Deficit and Inflation:
Evidence from Turkey", The Republic of Turkey Prime Ministry The
Undersecretariat of Treasury General Directorate of Economic Research
Working Papers, January 2000, 1-57.
Pindyck R.S. ve Rubinfeld D.L. (1991). Econometric Models and Economic
Forecasts. MacGraw-Hill, New York, First Edition.
Saraolu, B. (1997). Trkiyenin Milli Geliri ve Zaman Serisi Modelleri
Yardmyla Daimi Gelirinin Tahmin Edilmesi, Hazine Mstearl
Yaynlar.
Schwartz, G. (1978). Estimating the Dimension of a Model, The Annals of
Statistics, Vol 5, No 2, 461-464.
Sims, C. A. (1972). "Money Income and Causality", The American Economic
Review, 62, 540-552.
Sims, C. A. (1980), "Macroeconomics and Reality", Econometrica, 48, 1-47.
lengin, B. (1995), "Bte A, Parasal Byme, Enflasyon, Dviz Kuru ve
retim Arasndaki Nedensellik likileri: Trkiye zerine Bir Uygulama",
ODT Gelime Dergisi, 22 (1), 101-116.

25

EK 1: Geniletilmi Dickey-Fuller Testi Sonular

Sabit Terimsiz Sabit Terimli Sabit+Trend
GCBRC
-7.37***
-7.72***
-7.96***
ENF
-2.55***
-7.35***
-7.63***
GDVKR
-4.46***
-6.73***
-6.71***
GMBP
-7.80***
-7.86***
-7.97***
GFAZ
-5.59***
-5.59***
-5.57***
GSE
-9.71***
-9.91***
-9.89***
GFDHAR
-5.96***
-9.12***
-9.08***
GM2Y
-8.05***
-8.58***
-8.55***

Sabit+Trend+Mevsimsel Dummy
-6.59***
-6.08***
-6.26***
-7.57***
-5.33***
-9.07***
-8.97***
-7.48***

Gecikme uzunluklar Akaike bilgi kriterine gre iki olarak tespit edilmitir. Bkz: Akaike (1973).
*** %1 anlamllk dzeyine gre birim kk hipotezi reddedilmektedir.

EK 2 : AR Karakteristik Polinomunun Ters Kkleri

1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

26

Yazarlarn Ad Soyad:
Ferhat Bakan ZGEN
Blent GLOLU
Adres:
Adnan Menderes niversitesi
Nazilli ktisadi ve dari Bilimler Fakltesi
09800 Nazilli / Aydn
E-Mail:
bulent_guloglu@yahoo.com ve bguloglu@adu.edu.tr
fbozgen@hotmail.com ve fozgen@adu.edu.tr
Tlf:
0533 746 88 53
0535 592 74 00 ve 0256 3151973 (i)
Fax:
0256 315 19 69 (i)
NOT:
almada kullanlan nominal deerler ve alma boyunca tahmin edilen formlleri
gsteren tablolar, ok fazla yer igal etmeleri dolaysyla, aada Ek 3 ve 4
balyla, ayrca bilginize sunulmutur. Bizim kanaatimize gre, bu verilerin ve
formllerin, istenildiinde yazarlar tarafndan okuyucuya salanmas ve ODT
Gelime Dergisinde yer igal etmemesi, daha uygun bir yntem olarak
grlmektedir.

27

TARH
12-1988
01-1989
02-1989
03-1989
04-1989
05-1989
06-1989
07-1989
08-1989
09-1989
10-1989
11-1989
12-1989
01-1990
02-1990
03-1990
04-1990
05-1990
06-1990
07-1990
08-1990
09-1990
10-1990
11-1990
12-1990
01-1991
02-1991
03-1991
04-1991
05-1991
06-1991
07-1991
08-1991
09-1991
10-1991

VERGEL
14232,0
1405,0
2673,0
4332,0
6032,0
8370,0
10275,0
12583,0
14830,0
17048,0
20002,0
22697,0
25550,0
2808,0
5191,0
7998,0
11236,0
15249,0
18589,0
22752,0
26622,0
30385,0
35307,0
40262,0
45399,0
4551,0
8581,0
13390,0
19093,0
25766,0
30513,0
38152,0
44907,0
52177,0
60600,0

TUFE
212,2
226,2
237,0
244,2
259,4
267,3
272,9
281,2
291,1
307,5
326,5
340,7
348,6
362,0
378,0
397,6
424,0
437,3
443,6
439,5
450,7
489,9
523,4
549,6
559,2
586,4
618,2
645,2
687,5
710,4
731,4
741,0
770,5
817,4
871,3

SUE
65,0
61,8
64,5
70,1
59,8
62,3
66,4
61,5
65,1
72,1
72,4
72,1
67,3
68,5
70,0
79,6
65,0
71,7
71,5
62,5
67,9
79,5
84,3
82,2
72,6
63,6
72,5
81,9
66,5
81,3
65,1
74,4
72,8
80,9
85,1

MBP
11851,7
12341,3
13367,0
14169,8
14378,0
14274,0
14491,5
16320,3
16459,0
16439,8
17645,4
18603,4
18531,5
18662,8
18999,3
19670,1
19468,3
19588,0
20621,4
22661,2
23269,5
24012,1
24102,2
23713,3
23354,9
25069,3
25797,1
27929,5
28810,6
30533,7
32806,5
34526,4
36636,1
38265,8
40557,9

M2Y
31726,1
33900,3
35990,3
38007,7
39594,1
40776,7
41981,4
44162,2
45959,7
48306,2
51339,5
54653,0
57935,0
60464,0
61728,6
63474,5
66223,1
68300,1
70877,1
73817,0
76910,3
78742,0
81746,1
85312,7
87810,8
90241,8
93576,1
98943,7
102550,5
106389,9
113734,8
118514,7
126679,4
134523,0
144426,8

KBHARC
21447,0
1859,0
3740,0
6252,0
8753,0
10998,0
13889,0
17171,0
21026,0
24586,0
28650,0
32488,0
38871,0
3866,0
6946,0
11863,0
16885,0
22438,0
27615,0
32922,0
38505,0
43950,0
50116,0
56729,0
68527,0
6651,0
13167,0
20490,0
28882,0
37982,0
46208,0
57869,0
69005,0
84060,0
98194,0

FDHAR
16469,0
1364,0
2753,0
4583,0
6401,0
8144,0
10353,0
13153,0
16218,0
19305,0
22456,0
25481,0
30612,0
2956,0
5433,0
9629,0
13294,0
17058,0
21601,0
26122,0
30322,0
34957,0
39863,0
45173,0
54561,0
4534,0
9770,0
14691,0
21189,0
27796,0
34735,0
44944,0
53930,0
68037,0
79663,0

MEVDFAZ
66,1
62,8
61,2
57,4
55,1
52,5
50,5
51,2
51,6
51,6
51,5
51,0
49,1
47,5
46,7
46,7
46,7
46,9
46,9
47,0
47,0
47,1
47,8
49,0
50,7
51,9
53,4
59,3
60,8
62,0
61,4
62,1
63,8
68,5
69,6

EK 3: Kullanlan Deikenlerin Nominal Deerleri

DVKR
1800,0
1851,7
1912,6
1982,7
2058,7
2073,7
2121,1
2144,7
2187,5
2244,7
2279,3
2316,6
2314,5
2333,2
2381,5
2457,5
2504,3
2552,6
2631,7
2668,8
2682,0
2721,2
2744,4
2779,7
2876,9
2996,5
3143,2
3543,0
3794,8
3985,3
4221,3
4382,0
4512,5
4651,5
4846,1

BD
-3860,0
77,0
-47,0
-513,0
-910,0
-393,0
-900,0
-1438,0
-2511,0
-3400,0
-3695,0
-4046,0
-7502,0
-139,0
-154,0
-1567,0
-2771,0
-3533,0
-4693,0
-5331,0
-6361,0
-7458,0
-7054,0
-7725,0
-13288,0
-217,0
-1739,0
-2883,0
-4191,0
-5349,0
-6777,0
-8554,0
-11316,0
-16882,0
-20064,0
CBRC
28458,1
29233,9
29670,4
29877,3
30864,6
32242,8
32826,3
33062,3
34040,3
35230,7
35849,0
36537,0
41934,1
44190,1
44607,9
46028,6
47392,0
47475,0
48932,5
47366,7
49467,9
50158,7
50182,7
50614,1
57180,0
58792,2
59718,9
65053,8
66143,2
65876,3
67867,4
70156,8
71505,2
76022,4
80831,0

11-1991
12-1991
01-1992
02-1992
03-1992
04-1992
05-1992
06-1992
07-1992
08-1992
09-1992
10-1992
11-1992
12-1992
01-1993
02-1993
03-1993
04-1993
05-1993
06-1993
07-1993
08-1993
09-1993
10-1993
11-1993
12-1993
01-1994
02-1994
03-1994
04-1994
05-1994
06-1994
07-1994
08-1994
09-1994
10-1994
11-1994
12-1994

69238,0
78643,0
8593,0
15784,0
24344,0
34794,0
46157,0
56615,0
69156,0
81444,0
94494,0
108674,0
124930,0
141602,0
14760,0
29049,0
44645,0
64975,0
85657,0
105782,0
127691,0
150591,0
175188,0
199538,0
229652,0
264273,0
27905,0
53120,0
82774,0
118771,0
162537,0
213008,0
267759,0
329749,0
389716,0
452353,0
516450,0
587760,0

917,0
957,0
1046,7
1099,4
1152,9
1196,2
1206,7
1212,6
1228,6
1275,5
1370,5
1474,1
1546,0
1588,3
1672,3
1738,8
1821,7
1901,6
1991,4
2027,9
2126,9
2183,7
2305,8
2464,7
2622,3
2717,2
2837,0
3007,5
3163,3
3944,8
4337,4
4377,0
4452,6
4543,1
4868,3
5330,4
5761,9
6127,0

82,8
75,9
76,8
76,8
82,1
71,7
80,6
72,3
78,9
74,8
85,4
86,8
83,0
80,9
79,4
80,1
79,5
82,4
83,2
78,1
85,8
77,0
90,4
90,3
87,1
92,5
86,2
77,2
81,0
73,8
69,6
71,5
71,8
76,7
83,9
84,6
84,7
81,9

41775,4
42272,0
47355,9
50115,4
52211,2
57870,2
59898,1
64131,5
67643,8
73010,7
76440,1
79308,5
83774,6
86397,2
95909,3
103490,5
106816,6
105814,8
111581,9
113573,1
113926,5
114270,1
126631,0
125557,2
120664,0
120710,6
139790,5
135345,8
133432,5
131672,1
153584,4
148843,0
171402,7
171220,4
187236,6
187533,3
190491,6
194511,6

151040,2
160098,9
170454,3
180933,5
191695,9
200451,2
211767,3
225404,0
232411,2
246395,4
259914,5
269863,1
276945,1
288037,6
302528,4
318659,3
345071,5
357535,3
369611,0
381244,3
395428,4
415581,0
439564,1
463750,6
483417,8
505146,7
550732,3
586582,3
624357,0
748963,6
805641,6
845251,2
902010,1
951899,0
1005008,7
1048083,9
1088572,3
1145124,9

110676,0
130263,0
12918,0
23914,0
36814,0
55670,0
72188,0
86419,0
106302,0
124875,0
147736,0
169399,0
190516,0
221657,0
24009,0
60426,0
91825,0
122495,0
160604,0
187703,0
222133,0
257180,0
294267,0
336245,0
411615,0
485249,0
41556,0
93357,0
162798,0
214536,0
266339,0
325916,0
408616,0
488098,0
569780,0
654257,0
715067,0
897296,0

89722,0
106190,0
9232,0
18566,0
29438,0
39907,0
53298,0
66143,0
82137,0
96367,0
117112,0
134817,0
153475,0
181360,0
20082,0
40935,0
63745,0
87934,0
120568,0
144870,0
175530,0
206031,0
235883,0
269794,0
313071,0
368779,0
31588,0
75879,0
119107,0
157970,0
195511,0
236760,0
296409,0
344249,0
393375,0
449649,0
483671,0
599011,0

69,8
69,6
68,7
68,1
68,0
69,2
69,4
69,7
69,4
68,4
68,1
68,0
68,8
69,1
69,1
66,4
63,7
63,8
64,0
64,0
64,0
64,0
64,0
64,0
64,0
64,0
67,7
85,4
87,1
131,4
131,8
121,7
79,3
67,5
67,3
62,5
74,5
77,3

4952,7
5060,0
5322,6
5674,5
6100,0
6429,6
6715,9
6889,6
6952,3
7101,7
7280,5
7567,5
8123,2
8360,0
8711,8
9049,7
9386,7
9558,2
9980,7
10560,7
11186,6
11646,4
11882,3
12508,5
13377,5
14061,7
15194,6
17740,4
20628,1
32222,8
33900,1
31746,0
31031,9
31727,5
33984,5
34952,1
36331,0
37477,8

-22130,0
-33516,0
-1871,0
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-32306,0
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-55377,0
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-133857,0
-4377,0
-19132,0
-51273,0
-55533,0
-49198,0
-41193,0
-55378,0
-58284,0
-68122,0
-74615,0
-54179,0
-152180,0

81499,2
97647,8
96880,0
99765,3
106179,1
110769,0
113964,8
118162,2
121933,5
127045,5
136080,2
144519,3
147484,9
194236,6
207383,9
219328,8
232603,7
237830,7
245788,7
252060,5
258388,0
292017,1
300250,7
317379,4
329969,2
357346,6
378735,6
413243,6
418337,7
429142,1
449519,4
468029,7
509260,8
550790,3
565984,1
601424,8
615047,0
799309,0

63088,0
124396,0
192428,0
258743,0

370721,0

453922,0
549510,0
644459,0
740679,0
859298,0
971346,0
1084350,0
116174,0
217033,0
333617,0
468160,0
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2192036,0
2657000,0
3081216,0
3617610,0
4151700,0
4745484,0
472602,0

01-1995
02-1995
03-1995
04-1995

05-1995

06-1995
07-1995
08-1995
09-1995
10-1995
11-1995
12-1995
01-1996
02-1996
03-1996
04-1996
05-1996
06-1996
07-1996
08-1996
09-1996
10-1996
11-1996
12-1996
01-1997
02-1997
03-1997
04-1997
05-1997
06-1997
07-1997
08-1997
09-1997
10-1997
11-1997
12-1997
01-1998

8069,9
8304,7
8625,3
9311,4
10036,1
10592,0
10962,3
11810,9
12272,5
12879,7
13770,1
14423,8
14721,8
14926,8
15630,0
16643,2
17925,5
18897,5
19344,8
20404,1
21603,2
22818,4
24586,0
25614,0
26192,9
27535,3
29129,3
31381,8
34412,7
36779,3
38535,8
41133,9

7911,2

6542,1
6918,1
7201,8
7665,5

88,7
86,0
87,0
88,8
86,5
93,9
94,8
89,1
77,1
89,7
82,8
91,4
90,5
90,5
88,0
90,6
100,0
99,3
94,6
88,7
80,6
99,0
88,3
101,1
99,0
101,6
101,2
109,9
113,0
107,9
109,6
90,6

79,3

79,3
75,7
79,5
83,8

394260,0
400482,6
401941,7
437318,6
456312,0
453157,4
397353,0
401490,1
442395,8
442136,1
446247,1
477277,9
518329,6
561580,2
627532,4
596459,4
552613,5
540395,3
620277,0
801321,5
867014,7
841822,0
830357,4
824106,5
837325,7
876234,9
966448,6
1147363,8
1334960,9
1007967,2
738913,7
928136,1

365108,4

206948,3
222815,2
253087,5
293002,4

1616579,6
1722692,1
1823954,4
1879345,5
1945522,9
2065422,6
2270447,8
2383301,5
2554415,3
2692362,6
2892648,5
3077219,7
3254419,0
3484352,2
3755830,9
3981238,6
4245850,1
4593320,9
4906000,6
5330227,3
5640369,5
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6246306,5
6478002,0
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7742668,0
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8788075,1
9268667,5
9967174,1
10872884,3

1569494,0

1213911,2
1293200,8
1399730,8
1490590,3

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7990748,0
912648,0

592308,0

76792,0
200701,0
309707,0
470531,0

449918,0
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4101006,0
5712831,0
538081,0

363763,0

55287,0
119132,0
178900,0
276386,0

73,1
69,1
68,8
69,1
69,4
78,2
83,9
85,5
84,8
82,7
79,7
79,4
79,1
79,6
79,7
79,6
79,5
79,6
79,7
77,2
76,6
76,5
76,6
76,8
77,4
79,2
82,6
82,2
82,6
82,9
83,2
82,5

73,1

87,0
87,4
78,7
73,7

43293,5
44570,8
46735,1
47892,7
50125,1
52517,5
56872,0
60594,3
64214,4
68447,5
72725,1
76919,6
79877,9
82910,5
85120,9
89070,0
93956,8
98727,2
104968,1
112359,8
119480,0
125160,5
131220,0
137425,7
144425,7
153563,5
163775,2
170562,3
178334,5
187472,0
200010,4
212158,9

43173,8

40237,4
41109,0
41866,8
42411,6

-113052,0
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-115352,0

5531,0
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1107020,4
1124899,0
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5560870,0
5778768,0
6283425,0
6637689,0

1114715,3

851958,5
898025,3
948002,6
1009756,2

02-1998
03-1998
04-1998
05-1998
06-1998
07-1998
08-1998
09-1998
10-1998
11-1998
12-1998
01-1999
02-1999
03-1999
04-1999
05-1999
06-1999
07-1999
08-1999
09-1999
10-1999
11-1999
12-1999
01-2000
02-2000
03-2000
04-2000
05-2000
06-2000
07-2000
08-2000
09-2000
10-2000
11-2000
12-2000
01-2001
02-2001
03-2001

1078686,0
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4859819,0
7064918,0

43077,2
44789,1
47183,5
48689,8
49291,2
50882,1
52818,5
56558,4
60194,7
62888,9
64913,5
67753,9
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72406,9
76128,3
78455,0
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83673,5
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113290,6
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120571,3
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126626,7
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130248,1
133054,8
137246,8
141834,6
147340,4
151026,2
154183,8
156768,9
165677,8

93,5
105,2
89,7
105,0
101,0
101,8
100,3
108,3
110,5
105,2
99,1
82,0
86,9
92,5
94,3
101,0
102,1
98,2
88,2
98,5
100,7
103,1
102,4
85,0
93,1
93,0
96,4
103,1
104,1
101,2
103,5
104,9
114,3
114,7
98,2
91,4
88,4
85,8

873935,4
1118208,4
1677163,1
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3357631,5
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3170562,9
2557019,3
62628,9

11265514,8
11789160,7
12539159,7
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82,8
82,7
81,9
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77,6
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73,0
81,7
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81,8
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80,9
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81,2
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76,4
76,0
72,3
59,5
38,1
38,7
40,0
42,5
39,0
41,0
37,8
33,8
50,5
47,6
51,5
105,6
60,4
81,4
120,3

223769,5
235927,7
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50851184,0

04-2001
05-2001
06-2001
07-2001
08-2001
09-2001
10-2001
11-2001
12-2001
01-2002
02-2002
03-2002
04-2002
05-2002
06-2002
07-2002
08-2002
09-2002
10-2002
11-2002
12-2002
01-2003
02-2003
03-2003
04-2003

9783904,0
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182841,5
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87,0
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93,5
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95,2
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90,3
89,6
84,3
102,5
99,9
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100,3
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105,5
110,6
106,4
102,7
101,4
87,6
108,8
104,1

-2756752,4
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75419719,9
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7296676,0
11123200,0
15785876,0
20935622,0
25230978,0
30557965,0
35832950,0
40660277,0
46490829,0
52685540,0
63614975,0
4967606,0
9947204,0
15465886,0
20849830,0

102,3
72,9
68,0
67,9
67,8
67,6
65,1
61,7
61,2
59,2
58,9
54,1
49,6
47,3
49,2
49,9
49,2
49,3
49,4
44,9
44,8
45,5
45,5
46,9
45,3

1212775,7
1135234,5
1218529,5
1323682,6
1404316,8
1473394,2
1604007,0
1524867,4
1455691,7
1372475,9
1353222,8
1360257,8
1320908,8
1392898,0
1527606,1
1657075,3
1643385,2
1650932,3
1654840,4
1611629,5
1591252,4
1663822,0
1631060,1
1663371,0
1635044,7

-332948,0
-4808315,0
-8103743,0
-12305243,0
-14912356,0
-18434075,0
-23990942,0
-25552631,0
-28566462,0
-5353674,0
-10634071,0
-12635645,0
-15212083,0
-15699141,0
-17874684,0
-20618696,0
-21642769,0
-24578640,0
-27295679,0
-29719097,0
-39085183,0
-4242203,0
-6714428,0
-10888639,0
-16381039,0

59209081,0
84545604,0
90331702,0
96395222,0
101814108,0
105768511,0
109305703,0
117244767,0
122157260,0
128140632,0
118045491,0
120299042,0
123290378,0
122778051,0
126830490,0
130375517,0
137093311,0
140290726,0
144184506,0
145295615,0
149869691,0
155376296,0
159412356,0
162557876,0
170088087,0

Ek 4: VAR5 Modeli Tahmin Sonular

Sample(adjusted): 1989:03 2003:04
Included observations: 170 after adjusting endpoints
Standard errors & t-statistics in parentheses
GICBRC

ENF

GDVKR

GMBP

GFAIZ

GSUE

GFDHAR

GICBRC(-1)

-0.006082
(0.08656)
(-0.07026)

0.040269
(0.03554)
(1.13297)

0.098142
(0.09389)
(1.04531)

-3.219976
(5.79596)
(-0.55556)

0.286141
(0.21058)
(1.35883)

-0.012503
(0.11775)
(-0.10618)

-0.149184
(0.11524)
(-1.29451)

GICBRC(-2)

0.063779
(0.07050)
(0.90468)

0.043295
(0.02895)
(1.49560)

0.190382
(0.07647)
(2.48969)

-2.228441
(4.72061)
(-0.47207)

-0.037433
(0.17151)
(-0.21825)

0.035924
(0.09591)
(0.37458)

0.017244
(0.09386)
(0.18371)

ENF(-1)

-0.581629
(0.27117)
(-2.14488)

0.335090
(0.11135)
(3.00939)

-0.572158
(0.29413)
(-1.94526)

37.17638
(18.1575)
(2.04745)

-0.140643
(0.65970)
(-0.21319)

-0.019482
(0.36889)
(-0.05281)

-1.168150
(0.36103)
(-3.23558)

ENF(-2)

0.274431
(0.24759)
(1.10842)

0.161796
(0.10166)
(1.59147)

0.500226
(0.26855)
(1.86269)

5.241705
(16.5783)
(0.31618)

-0.422012
(0.60233)
(-0.70064)

-0.006075
(0.33681)
(-0.01804)

0.472498
(0.32963)
(1.43340)

GDVKR(-1)

0.079302
(0.10020)
(0.79147)

0.079601
(0.04114)
(1.93476)

0.527620
(0.10868)
(4.85480)

-30.22517
(6.70912)
(-4.50509)

0.028845
(0.24376)
(0.11833)

-0.221595
(0.13631)
(-1.62573)

0.151329
(0.13340)
(1.13440)

GDVKR(-2)

-0.102882
(0.10489)
(-0.98087)

0.044111
(0.04307)
(1.02419)

0.038037
(0.11377)
(0.33433)

0.973701
(7.02330)
(0.13864)

-0.041937
(0.25517)
(-0.16435)

-0.055919
(0.14269)
(-0.39190)

-0.273640
(0.13965)
(-1.95951)

GMBP(-1)

-0.009576
(0.00129)
(-7.44312)

0.000605
(0.00053)
(1.14584)

0.004761
(0.00140)
(3.41170)

-0.104339
(0.08614)
(-1.21122)

0.003442
(0.00313)
(1.09964)

-0.001065
(0.00175)
(-0.60876)

-0.002445
(0.00171)
(-1.42765)

GMBP(-2)

-0.001519
(0.00146)
(-1.03829)

0.000632
(0.00060)
(1.05125)

-0.000315
(0.00159)
(-0.19872)

0.087476
(0.09799)
(0.89269)

0.005267
(0.00356)
(1.47941)

-0.000298
(0.00199)
(-0.14987)

-0.003163
(0.00195)
(-1.62343)

GFAIZ(-1)

0.105123
(0.02909)
(3.61321)

-0.014821
(0.01195)
(-1.24058)

-0.018483
(0.03156)
(-0.58569)

-3.388248
(1.94812)
(-1.73924)

-0.153028
(0.07078)
(-2.16203)

-0.043119
(0.03958)
(-1.08945)

0.028166
(0.03874)
(0.72714)

GFAIZ(-2)

0.033758
(0.03274)
(1.03116)

-0.011343
(0.01344)
(-0.84384)

-0.027276
(0.03551)
(-0.76813)

-7.235706
(2.19209)
(-3.30082)

-0.232046
(0.07964)
(-2.91357)

0.061312
(0.04454)
(1.37671)

0.102241
(0.04359)
(2.34572)

GSUE(-1)

0.024033
(0.06124)
(0.39246)

0.018575
(0.02514)
(0.73875)

0.005045
(0.06642)
(0.07596)

5.014054
(4.10030)
(1.22285)

0.123726
(0.14897)
(0.83053)

-0.601131
(0.08330)
(-7.21616)

0.104079
(0.08153)
(1.27660)

GSUE(-2)

0.044186
(0.06071)
(0.72785)

-0.026363
(0.02493)
(-1.05756)

-0.027078
(0.06585)
(-0.41122)

2.908388
(4.06498)
(0.71547)

0.206487
(0.14769)
(1.39812)

-0.187500
(0.08259)
(-2.27036)

0.246334
(0.08083)
(3.04772)

GFDHAR(-1)

-0.079135
(0.05984)
(-1.32248)

0.028784
(0.02457)
(1.17150)

0.201998
(0.06490)
(3.11224)

-0.307173
(4.00672)
(-0.07666)

0.247577
(0.14557)
(1.70072)

-0.160307
(0.08140)
(-1.96933)

-0.137773
(0.07967)
(-1.72935)

GFDHAR(-2)

-0.172041
(0.06153)
(-2.79596)

0.151425
(0.02527)
(5.99319)

0.310963
(0.06674)
(4.65919)

-0.307946
(4.12015)
(-0.07474)

0.279294
(0.14969)
(1.86577)

0.047198
(0.08371)
(0.56385)

-0.297985
(0.08192)
(-3.63738)

0.064954
(0.02210)
(2.93901)

-0.015704
(0.00907)
(-1.73048)

-0.073401
(0.02397)
(-3.06198)

-0.892428
(1.47985)
(-0.60305)

-0.080569
(0.05377)
(-1.49851)

0.046361
(0.03007)
(1.54203)

0.287939
(0.02942)
(9.78570)

DUMY

-0.022781
(0.01987)
(-1.14642)

0.014010
(0.00816)
(1.71705)

0.068385
(0.02155)
(3.17275)

4.003552
(1.33057)
(3.00890)

0.451832
(0.04834)
(9.34650)

-0.071891
(0.02703)
(-2.65943)

-0.048017
(0.02646)
(-1.81494)

CS1

-0.064169
(0.01904)
(-3.37019)

0.020133
(0.00782)
(2.57514)

-0.016068
(0.02065)
(-0.77804)

2.388235
(1.27493)
(1.87323)

-0.120948
(0.04632)
(-2.61109)

-0.040170
(0.02590)
(-1.55083)

-1.058667
(0.02535)
(-41.7621)

CS2

-0.135418
(0.06179)
(-2.19143)

0.017067
(0.02537)
(0.67261)

0.174762
(0.06703)
(2.60736)

1.625099
(4.13773)
(0.39275)

0.194248
(0.15033)
(1.29212)

-0.193832
(0.08406)
(-2.30577)

0.689107
(0.08227)
(8.37592)

CS3

-0.176838
(0.07928)
(-2.23056)

0.130647
(0.03255)
(4.01327)

0.154367
(0.08599)
(1.79513)

1.322515
(5.30852)
(0.24913)

0.019931
(0.19287)
(0.10334)

0.314277
(0.10785)
(2.91402)

0.184239
(0.10555)
(1.74548)

CS4

0.084162
(0.06183)
(1.36129)

-0.109889
(0.02539)
(-4.32861)

-0.323609
(0.06706)
(-4.82567)

-0.408576
(4.13980)
(-0.09869)

-0.415766
(0.15041)
(-2.76426)

0.073009
(0.08411)
(0.86806)

0.477111
(0.08231)
(5.79627)

CS5

0.013845
(0.03617)
(0.38277)

-0.076567
(0.01485)
(-5.15510)

-0.185313
(0.03923)
(-4.72333)

1.498917
(2.42200)
(0.61888)

-0.285758
(0.08800)
(-3.24738)

0.127812
(0.04921)
(2.59747)

0.284869
(0.04816)
(5.91533)

CS6

-0.007828
(0.02737)
(-0.28605)

-0.065124
(0.01124)
(-5.79552)

-0.139440
(0.02968)
(-4.69768)

1.166980
(1.83240)
(0.63686)

-0.184345
(0.06657)
(-2.76898)

0.077768
(0.03723)
(2.08898)

0.156531
(0.03643)
(4.29624)

CS7

-0.031341
(0.02196)
(-1.42717)

-0.030471
(0.00902)
(-3.37919)

-0.097312
(0.02382)
(-4.08539)

1.959759
(1.47045)
(1.33276)

-0.212502
(0.05342)
(-3.97761)

0.058818
(0.02987)
(1.96885)

0.084792
(0.02924)
(2.90009)

CS8

-0.029993
(0.02192)
(-1.36856)

-0.013377
(0.00900)
(-1.48650)

-0.075031
(0.02377)
(-3.15635)

2.041636
(1.46747)
(1.39126)

-0.160144
(0.05332)
(-3.00365)

0.043844
(0.02981)
(1.47061)

0.037006
(0.02918)
(1.26827)

CS9

-0.074398
(0.02048)
(-3.63247)

0.015577
(0.00841)
(1.85216)

-0.050823
(0.02222)
(-2.28773)

1.218611
(1.37143)
(0.88857)

-0.085742
(0.04983)
(-1.72080)

0.128181
(0.02786)
(4.60049)

-0.010481
(0.02727)
(-0.38436)

CS10

-0.085246
(0.01985)
(-4.29431)

0.020754
(0.00815)
(2.54613)

-0.001029
(0.02153)
(-0.04778)

-0.091685
(1.32920)
(-0.06898)

-0.084358
(0.04829)
(-1.74681)

0.124479
(0.02700)
(4.60953)

-0.051261
(0.02643)
(-1.93957)

CS11

-0.095249
(0.01721)
(-5.53425)

0.009428
(0.00707)
(1.33411)

0.006204
(0.01867)
(0.33232)

-0.482802
(1.15243)
(-0.41894)

-0.067968
(0.04187)
(-1.62331)

0.064086
(0.02341)
(2.73718)

-0.091700
(0.02291)
(-4.00189)

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

0.556065
0.475349
0.246049
0.041480
6.889195
314.5124
-3.382499
-2.884460
0.009326
0.057267

0.650004
0.586369
0.041486
0.017033
10.21448
465.8273
-5.162675
-4.664636
0.044373
0.026484

0.497742
0.406422
0.289478
0.044992
5.450543
300.6959
-3.219952
-2.721913
0.041914
0.058398

0.342553
0.223017
1103.181
2.777508
2.865693
-400.1827
5.025679
5.523717
-0.237566
3.151009

0.494108
0.402127
1.456223
0.100913
5.371882
163.3764
-1.604429
-1.106390
0.005354
0.130509

0.632596
0.565795
0.455344
0.056429
9.469902
262.1929
-2.766975
-2.268937
0.006450
0.085636

0.984223
0.981355
0.436144
0.055226
343.1166
265.8549
-2.810058
-2.312019
0.178915
0.404449

Determinant Residual Covariance

Log Likelihood
Akaike Information Criteria
Schwarz Criteria

1.06E-16
1438.283
-14.69745
-11.21118