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Determining the Relationships Between Domestic Credits, Economic Growth and Inflation in Turkiye by Nonlinear Cointegration Analysis

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  • Yusuf TUNA
  • Ayca DOGANER
  • Guldenur CETIN

Abstract

The aim of this study is to determine the relationship between GDP and inflation and domestic loans given by banks to the private sector by using time series models. In this study, in which the 1972-2020 annual data for Turkiye were used, Harvey et al. (2008) Harvey and Leybourne (2007) linearity tests, traditional unit root tests for linearly determined series and Kapetanios, Shin and Snell (2003) (KSS) unit root tests for nonlinear series were performed. After the series were determined to be stationary, Kapetanios, Shin and Snell (KSS) (2006) cointegration test was performed. According to the results of the analysis, no cointegrated relationship was found between the GDP and inflation and domestic loans given by banks to the private sector in Turkiye. As a result, it can be said that there is no pass-through effect on GDP and inflation rates as a result of the increase/decrease in loans given by banks to the private sector in Turkiye.

Suggested Citation

  • Yusuf TUNA & Ayca DOGANER & Guldenur CETIN, 2022. "Determining the Relationships Between Domestic Credits, Economic Growth and Inflation in Turkiye by Nonlinear Cointegration Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 16(2), pages 173-187.
    • Handle: RePEc:bdd:journl:v:16:y:2022:i:2:p:173-187
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    References listed on IDEAS

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    1. Jordan Shan & Jianhong Qi, 2006. "Does Financial Development 'Lead' Economic Growth? The Case of China," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 197-216, May.
    2. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, March.
    3. Harvey David I & Leybourne Stephen J & Xiao Bin, 2008. "A Powerful Test for Linearity When the Order of Integration is Unknown," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-24, September.
    4. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
    5. Robert G. King & Ross Levine, 1993. "Finance and Growth: Schumpeter Might Be Right," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(3), pages 717-737.
    6. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2006. "Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models," Econometric Theory, Cambridge University Press, vol. 22(2), pages 279-303, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Domestic Loans; GDP; Inflation; Linearity Test; Nonlinear Cointegration Analysis.;
    All these keywords.

    JEL classification:

    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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