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Ic Borclarin etkileri-VAR Analizi PDF
Ic Borclarin etkileri-VAR Analizi PDF
TEKNYLE ANALZ *
Analysis of Economic Effects of Domestic Debt in Turkey using
VAR Technique
Dr. Ferhat Bakan ZGEN **
Dr. Blent GLOLU ***
zet
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).
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
i =1
(1.1)
i =1
(1.2)
(1.3)
F=
(HKTS HKT ) / r
HKT / (n k )
Burada
HKTS
kstlanm
modelin
(1.4)
hata
kareler
toplamn,
HKT
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
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
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
12
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
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
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
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
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
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
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
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*
Theil U
0.506
0.503
0.500
0.504
0.509
0.516
0.517
0.519
14
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
15
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
12
17
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
19
20
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
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
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
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
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
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
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
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
25
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.
-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
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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-35822,0
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-67958,0
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-133857,0
-4377,0
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-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
712590,0
880651,0
1103027,0
1307721,0
1509137,0
1750575,0
1999085,0
2244094,0
237890,0
468879,0
689928,0
1011714,0
1445833,0
1770298,0
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
5922099,6
6246306,5
6478002,0
6860767,2
7353258,6
7742668,0
8176655,6
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9268667,5
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1569494,0
1213911,2
1293200,8
1399730,8
1490590,3
695972,0
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5560752,0
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76792,0
200701,0
309707,0
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362139,0
492654,0
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1303381,0
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3644166,0
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
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5531,0
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1107020,4
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4925588,0
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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
1641168,0
2286825,0
3247789,0
3930644,0
4855430,0
5670179,0
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3285725,0
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5920469,0
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9899023,0
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4098482,0
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17517484,0
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22057753,0
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2498490,0
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
69744,5
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76128,3
78455,0
80910,5
83673,5
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98284,7
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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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3191740,5
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3357631,5
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3170562,9
2557019,3
62628,9
11265514,8
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12539159,7
13216728,0
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15201530,3
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17560642,3
18187491,5
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20540731,7
21202751,4
22390977,9
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25986921,9
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35905018,0
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55253955,9
56251679,9
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82,8
82,7
81,9
81,2
77,6
71,3
73,0
81,7
82,2
81,8
82,6
83,6
82,2
81,1
80,9
81,4
85,3
81,2
81,3
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
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60,4
81,4
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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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87,0
93,4
93,5
90,1
92,3
95,2
98,7
98,2
90,3
89,6
84,3
102,5
99,9
103,9
100,3
101,1
98,8
105,5
110,6
106,4
102,7
101,4
87,6
108,8
104,1
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33152296,0
39314395,0
3656701,0
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
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
1.06E-16
1438.283
-14.69745
-11.21118