The Determinants of Current Account Deficit in Turkey: An Analysis with MGARCH Models

Seyfettin Erdoğan and Hilal Bozkurt
Additional contact information
Seyfettin Erdoğan: Kocaeli University
Hilal Bozkurt: Kocaeli University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2009, vol. 24, issue 84, 135-172

Abstract: In recent years, the problem of current account deficit has been the most important issue emphasized both in the public opin- ion and in the macroeconomics literature. Because an increase in the current deficit/GDP ratio is perceived as a signal of financial crisis and expectations are affected negatively. As a result attenua- tion tendencies occur in macro economic performance. This situa- tion will increase the importance of the studies to be carried out about the reasons (determinants) of the current account deficit. The findings from these studies will be the data source for the macro economic policy. The main aim of this study is to investigate the determinants of current account deficit in Turkey. Monthly data of 1990-2008 peri- ods has been used and MGARCH methodology has been applied. In our Model, oil prices, M2, export / import coverage ratio, infla- tion, inflation uncertainty, exchange rate, exchange rate uncertainty, FDI/GDP are accepted as the determinants of current account defi- cit. According to the conditional correlation obtained from the model export / import coverage ratio has the highest correlation value and oil price has the second highest correlation value.

Keywords: Current Account Deficit; Twin Deficit; MGARCH Models (search for similar items in EconPapers)
JEL-codes: C22 F32 F41 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/150781 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:24:y:2009:i:84:p:135-172

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().