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    IS THERE ANY TIME-VARYING RELATIONSHIP BETWEEN FISCAL AND TRADE DEFICITS IN TURKEY?
    (Univ Economics-Prague, 2016) Gok, Baris; Catik, A. Nazif
    In this article we analyse the evolution of the relationship between budget and trade deficits in Turkey covering the period 1985:1 to 2013:4. The structural break tests suggest the existence of a regime shift after the severe 2001 crisis. Time-varying responses obtained from the TVP-VAR model up to 2003 support the Keynesian view by providing evidence in favour of twin deficits, whereas the remaining responses suggest the remarkable divergence between fiscal and trade deficits.
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    A nonlinear investigation of the twin deficits hypothesis over the business cycle: Evidence from Turkey
    (Elsevier Science Bv, 2015) Catik, Abdurrahman Nazif; Gok, Baris; Akseki, Utku
    In this paper, we analyze the twin deficits hypothesis covering the period from 1994 to 2012 in Turkey. In contrast to previous studies on Turkey, the existence of twin deficits is investigated by regime-dependent impulse response functions and forecast error variance decompositions based on a multivariate two-regime threshold VAR (WAR) model. Our results suggest that the dynamics between the current account and budget account variables are affected by macroeconomic activity: twin deficits are only the case in the upper regime, when the economy operates above its potential level. When the economy is in the lower regime, budget and trade deficits show divergent movements. The results are consistent with Kim and Roubini (2008), indicating that the divergence of fiscal balance and current account might be explained by the cyclical fluctuations of output. (C) 2014 Elsevier By. All rights reserved.
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    A Time-Varying Parameter VAR Investigation of the Exchange Rate Pass-Through in Turkey
    (Savez Ekonomista Vojvodine, 2016) Catik, Abdurrahman Nazif; Karacuka, Mehmet; Gok, Baris
    The effects of exchange rate movements on price levels have important implications to macroeconomic policies through the impacts on trade balance and inflation. In contrast to previous studies, we employ a VAR model with time-varying parameters to measure the magnitude of exchange rate pass-through (ERPT). The findings confirm the time-varying pattern in the ERPT, as the magnitude of ERPT has reached its maximum value during the 1994 financial crisis. The decline in the magnitude of ERPT has become more pronounced after the 2001 financial crisis as a result of the implementation of inflation targeting, which has shifted Turkey's economy from a long lasting high inflationary phase to a low inflationary economic environment.