A study on bank credit volumes of fragile five countries

Levent Sezal

Article Details

A study on bank credit volumes of fragile five countries

Authors:

Levent Sezal

Publisher:

Hitit University

Main Topics:

Finans | Finansal Ekonometri

Journal:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 1, pp.209-222

Document Type:

Article

Publication Date:

6/2023

Document Language:

English

Document ID (Org No.):

2001292962

pISSN:

2757-7449

Keywords:

Abstract:

 Fragility can be defined in different ways depending on the economic unit studied, the risk factor and the perspective of the researcher. The common points of economic units, which are considered as fragile, are that they are mostly fragile due to events that develop against their will for example, economic crises, internal and external shocks. In this study, it was aimed to investigate the relationship between each other by examining the CreditGDP ratios of Brazil, India, Indonesia, South Africa and Turkey grouped as the Fragile Five between 1996Q1-2022Q2. The series used in the study, Extended Dickey Fuller ADF, Philips Perron PP unit root tests were used to investigate the degree of stationarity of the series. Whether there is a causal relationship between the series, and if there is causality, it was analyzed with the Toda-Yamamoto method to determine its directions. According to the results of the Toda-Yamamoto causality test, at the 5 significance level, a causality relationship was found between Brazil and India among the fragile five countries, while no causality relationship was found between the other countries in the reciprocal tests.

 Fragility can be defined in different ways depending on the economic unit studied, the risk factor and the perspective of the researcher. The common points of economic units, which are considered as fragile, are that they are mostly fragile due to events that develop against their will for example, economic crises, internal and external shocks. In this study, it was aimed to investigate the relationship between each other by examining the CreditGDP ratios of Brazil, India, Indonesia, South Africa and Turkey grouped as the Fragile Five between 1996Q1-2022Q2. The series used in the study, Extended Dickey Fuller ADF, Philips Perron PP unit root tests were used to investigate the degree of stationarity of the series. Whether there is a causal relationship between the series, and if there is causality, it was analyzed with the Toda-Yamamoto method to determine its directions. According to the results of the Toda-Yamamoto causality test, at the 5 significance level, a causality relationship was found between Brazil and India among the fragile five countries, while no causality relationship was found between the other countries in the reciprocal tests.

 Fragility can be defined in different ways depending on the economic unit studied, the risk factor and the perspective of the researcher. The common points of economic units, which are considered as fragile, are that they are mostly fragile due to events that develop against their will for example, economic crises, internal and external shocks. In this study, it was aimed to investigate the relationship between each other by examining the CreditGDP ratios of Brazil, India, Indonesia, South Africa and Turkey grouped as the Fragile Five between 1996Q1-2022Q2. The series used in the study, Extended Dickey Fuller ADF, Philips Perron PP unit root tests were used to investigate the degree of stationarity of the series. Whether there is a causal relationship between the series, and if there is causality, it was analyzed with the Toda-Yamamoto method to determine its directions. According to the results of the Toda-Yamamoto causality test, at the 5 significance level, a causality relationship was found between Brazil and India among the fragile five countries, while no causality relationship was found between the other countries in the reciprocal tests.

 Kırılganlık, incelenen ekonomik birime, risk unsuruna ve araştırmacının bakış açısına göre farklı şekillerde tanımlanabilmektedir. Kırılgan olarak sayılan ekonomik birimlerin ortak noktaları, çoğunlukla kendi iradesi dışında gelişen olaylar örneğin ekonomik krizler, iç ve dış şoklar gibi nedeniyle kırılgan olmalarıdır. Bu çalışmada, Kırılgan Beşli olarak gruplandırılan Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiyenin 1996Q1-2022Q2 dönemleri arasında KrediGSYİH oranları incelenerek birbirleri arasındaki ilişkinin araştırılması amaçlanmıştır. Çalışmada kullanılan seriler, Genişletilmiş Dickey Fuller ADF, Philips Perron PP birim kök testleri ile serilerin durağanlık dereceleri araştırılmıştır. Seriler arasında bir nedensellik ilişkisi olup olmadığı, nedensellik varsa yönlerinin tespit edilmesi için karşılıklı olarak Toda-Yamamoto yöntemiyle analiz edilmiştir. Toda-Yamamoto nedensellik testi sonuçlarına göre ise, 5 anlamlılık seviyesinde, kırılgan beşli ülkeleri arasında Brezilya ve Hindistan arasında nedensellik ilişkisi tespit edilirken diğer ülkeler arasında karşılıklı olarak yapılan testlerde herhangi bir nedensellik ilişkisine rastlanmamıştır.

Article Details

A study on bank credit volumes of fragile five countries

Authors:

Levent Sezal

Publisher:

Hitit University

Main Topics:

Finans | Finansal Ekonometri

Journal:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 1, pp.209-222

Document Type:

Article

Publication Date:

6/2023

Document Language:

English

Document ID (Org No.):

2001292962

pISSN:

2757-7449

Fragile Five Countries

Loans

Extended Dickey-Fuller

Philips-Perron (PP)

Toda-Yamamoto Causality TestKırılgan Beşli Ülkeleri

Krediler

Genişletilmiş Dickey Fuller (ADF)

Philips Perron (PP)

Toda-Yamamoto Nedensellik Testi.

Issues

Article Details

Authors: Levent Sezal

Publisher: Hitit University

Main Topics: Finans | Finansal Ekonometri

Journal: Hitit Sosyal Bilimler Dergisi Vol.16 Issue 1, pp.209-222

Document Type: Article

Publication Date: 6/2023

Document Language: English

Document ID (Org No.): 2001292962

pISSN: 2757-7449

Issues

Authors:

Levent Sezal

Publisher:

Hitit University

Main Topics:

Finans | Finansal Ekonometri

Journal:

Hitit Sosyal Bilimler Dergisi Vol.16 Issue 1, pp.209-222

Document Type:

Article

Publication Date:

6/2023

Document Language:

English

Document ID (Org No.):

2001292962

pISSN:

2757-7449