Research Article
BibTex RIS Cite

The Interaction Between Economic Uncertainties and Financial Cycles in Türkiye: Frequency Domain Symmetric and Asymmetric Causality Analysis

Year 2025, Volume: 10 Issue: 2, 484 - 501, 30.06.2025

Ayşegül Şahin

https://doi.org/10.30784/epfad.1666589

Abstract

This study analyzes the impact of the Turkish Economic Uncertainty Index on financial cycles with monthly data for the period 2010:01–2024:12. Financial cycles are represented by a composite index formed by indicators such as banking spread, real housing prices, and the BIST100 index. In order to examine the relationship at the short-, medium-, and long-term levels, Breitung and Candelon (2006) applied a frequency domain symmetric and asymmetric causality test. The findings show that decreases in economic uncertainty significantly affect the positive component of financial cycles in both the short and long term. On the other hand, it was found that the economic uncertainty index tended to decrease in the short term during financial contraction periods. The results indicate that reducing uncertainties not only provides market confidence but also supports persistent financial expansion processes. The study makes an original contribution to the literature by revealing for the first time the impact of policy uncertainty on financial cycles on a frequency-based basis through the asymmetric effect channel.

Keywords

Economic Policy Uncertainty Financial Cycles Symmetric and Asymmetric Causality

References

  • Aizenman, J. and Pinto, B. (2005). Managing economic volatility and crises: A practitioner's guide. UK: Cambridge University Press.
  • Alessandri, P. and Mumtaz, H. (2019). Financial regimes and uncertainty shocks. Journal of Monetary Economy, 101, 31–46. https://doi.org/10.1016/j.jmoneco.2018.05.001
  • Aydın, G.K., Yıldırım, R.K. and Münyas, T. (2024). Ekonomi politika belirsizliğinin BIST, tahvil faiz oranı, döviz kuru ve ülke risk primi (CDS) üzerindeki etkisi. International Journal of Disciplines in Economics & Administrative Sciences Studies, 10(4), 94-106. https://doi.org/10.5281/zenodo.13607916
  • Bahmani-Oskooee, M. and Maki-Nayeri, M. (2019). Asymmetric effects of policy uncertainty on domestic investment in G7 countries. Open Economies Review, 30(4), 675-693. https://doi.org/10.1007/s11079-019-09523-z.
  • Baker, S.R., Bloom, N. and Davis, S.J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Bernanke, B.S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98(1), 85-106. https://doi.org/10.2307/1885568
  • Bloechl, A. (2014). Reducing the excess variability of the Hodrick-Prescott filter by flexible penalization (Munich Discussion Paper No. 2014-1). Retrieved from https://www.econstor.eu/handle/10419/104411
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248
  • Borio, C. (2014). The financial cycle and macroeconomics: What have we learnt? Journal of Banking & Finance, 45, 182-198. https://doi.org/10.1016/j.jbankfin.2013.07.031
  • Bozoklu, S. and Yilanci, V. (2013). Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger Causality Test in the Frequency Domain. Energy Policy, 63, 877-881. https://doi.org/10.1016/j.enpol.2013.09.037
  • Breitung, J. and Candelon, B. (2006). Testing for short-and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378, https://doi.org/10.1016/j.jeconom.2005.02.004
  • Caner, M. and Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. https://doi.org/10.1016/S0261-5606(01)00011-0
  • Chen, X. and Chiang, T.C. (2020). Empirical investigation of changes in policy uncertainty on stock returns-evidence from China's Market. Research in International Business and Finance, 53, 101183, https://doi.org/10.1016/j.ribaf.2020.101183
  • Ciner, C. (2011). Commodity prices and inflation: Testing in the Frequency Domain. Research in International Business and Finance, 25(3), 229–237. https://doi.org/10.1016/j.ribaf.2011.02.001
  • Claessens, S., Kose, M.A. and Terrones, M.E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190. https://doi.org/10.1016/j.jinteco.2011.11.008
  • Dai, P.F., Xiong, X., Liu, Z., Huynh, T.L.D. and Sun, J. (2021). Preventing crash in stock market: The role of economic policy uncertainty during COVID-19. Financial Innovation, 7, 1-15. https://doi.org/10.1186/s40854-021-00248-y
  • Enders, W. (2015). Applied econometric time series (Fourth edition). New York: University of Alabama.
  • Fasanya, I.O., Oyewole, O.J. and Agbatogun, T. (2021). How does economic policy uncertainty connect with the volatility spillovers in Asia-Pacific markets? Asian Economics Letters, 2(2), 1-6. https://doi.org/10.46557/001c.21437
  • Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of American Statistical Association, 77(378), 304. https://doi.org/10.2307/2287238
  • Glynn, J., Perera, N. and Verma, R. (2007). Unit root tests and structural breaks: A survey with applications. Revista de Métodos Cuantitativos para la Economía y la Empresa, 3, 63-79. Retrieved from https://www.redalyc.org/
  • Gómez-González, J.E., Ojeda-Joya, J.N., Zárate, H.M. and Tenjo-Galarza, F. (2014). Testing for causality between credit and real business cycles in the frequency domain: An illustration. Applied Economics Letters, 21(10), 697-701. https://doi.org/10.1080/13504851.2014.884689.
  • Goodharti, C. and Hofmann, B. (2005). The IS curve and the transmission of monetary policy: Is there a puzzle? Applied Economics, 37(1), 29–36. https://doi.org/10.1080/0003684042000280355
  • Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424. https://doi.org/10.2307/1912791
  • Hamilton, J. D. (2020). Time series analysis. Princeton University Press.
  • Hatemi-J,A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. https://doi.org/10.1007/s00181-011-0484-x
  • Hatemi-J,A. (2019). The causal impact of stock market development on economic development in the UAE: An asymmetric approach. Economia Internazionale/International Economics, 72(2), 171-184. Retrieved from https://econpapers.repec.org/
  • Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K. and Watson, M. (2010). Financial conditions indexes: A fresh look after the financial crisis (NBER Working Paper No. 16150). Retrieved from https://www.nber.org/system/files/working_papers/w16150/w16150.pdf
  • Hodrick, R.J. and Prescott, E.C. (1997). Postwar US business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29(1), 1-16. https://doi.org/10.2307/2953682
  • Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields 88(4), 429–444. https://doi.org/10.1007/BF01192551
  • Karagöl, V. (2021). Küresel finansal çevrimler Türkiye’de iş çevrimlerine neden olur mu? Bir frekans alanı analizi. Maliye Dergisi, 180, 345-362. Retrieved from https://ms.hmb.gov.tr/
  • Karagöl, V. and Doğan, B. (2021). Interaction between business and financial cycles: Evidence from Turkey. Eastern Journal of European Studies, 12(2), 123-150. https://doi.org/10.47743/ejes-2021-0207
  • Kırca, M. and Canbay, Ş. (2022). Determinants of housing inflation in Turkey: A conditional frequency domain causality. International Journal of Housing Markets and Analysis, 15(2), 478-499. https://doi.org/10.1108/IJHMA-02-2021-0013
  • Kilic, I. and Balli, F. (2024). Measuring economic country-specific uncertainty in Türkiye. Empirical Economics, 67(4), 1649-1689. https://doi.org/10.1007/s00181-024-02594-z
  • Koncak, A. and Nazlıoğlu, E.H. (2024). Küresel belirsizlikler ve Türkiye pay senedi piyasası arasındaki ilişki: Dalgacık uyum analizinden kanıtlar. Maliye Dergisi, 186, 251-274. Retrieved from https://gcris.pau.edu.tr/
  • Korkmaz, Ö. and Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin Borsa İstanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219. https://doi.org/10.18506/anemon.452749
  • Liu, D., Sun, W., Xu, L. and Zhang, X. (2023). Time-frequency relationship between economic policy uncertainty and financial cycle in China: Evidence from wavelet analysis. Pacific-Basin Finance Journal, 77, 101915. https://doi.org/10.1016/j.pacfin.2022.101915
  • Liu, Q. (2016). Capital inflows, financial cycles and business cycles in Asian countries (Unpublished doctoral dissertation). McGill University, Montreal, Canada.
  • Ludvigson, S.C., Ma, S. and Ng, S. (2021). Uncertainty and business cycles: exogenous impulse or endogenous response? American Economic Journal: Macroeconomics, 13(4), 369-410. https://doi.org/10.1257/mac.20190171
  • Ma, Y. and Zhang, J. (2016). Financial cycle, business cycle and monetary policy: Evidence from four major economies. International Journal of Finance & Economics, 21(4), 502-527. https://doi.org/10.1002/ijfe.1566
  • Narayan, P.K., Iyke, B.N. and Sharma, S.S. (2021). New measures of the COVID-19 pandemic: A new time-series dataset. Asian Economics Letters, 2(2), 439-445. https://doi.org/10.1016/j.eap.2021.06.006
  • Pastor, L. and Veronesi, P. (2012). Uncertainty about government policy and stock prices. The Journal of Finance, 67(4), 1219-1264. https://doi.org/10.1111/j.1540-6261.2012.01746.x
  • Perron, P. (1989). The Great Crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-1401. https://doi.org/10.2307/1913712
  • Perron, P. and Vogelsang, T.J. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business & Economic Statistics, 10, 301–320. https://doi.org/10.2307/1391544
  • Policy Uncertainty. (2024). Economic policy uncertainty index [Dataset]. Retrieved from https://www.policyuncertainty.com/
  • Popp, A. and Zhang, F. (2016). The macroeconomic effects of uncertainty shocks: The role of the financial channel. Journal of Economic Dynamics and Control, 69, 319-349. https://doi.org/10.1016/j.jedc.2016.05.021
  • Ranjbar, O., Chang, T., Nel, E. and Gupta, R. (2017). Energy consumption and economic growth nexus in South Africa: Asymmetric frequency domain approach. Energy Sources, Part B: Economics, Planning, and Policy, 12(1), 24– 31. https://doi.org/10.1080/15567249.2015.1020120
  • Said, S.E. and Dickey, D.A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. https://doi.org/10.1093/biomet/71.3.599
  • Schüler, Y.S., Hiebert, P. and Peltonen, T. A. (2015). Characterising the financial cycle: A multivariate and time-varying approach (ECB Working Paper No. 1846). Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1846.en.pdf
  • Strohsal, T., Proaño, C.R. and Wolters, J. (2019). Characterizing the financial cycle: Evidence from a frequency domain analysis. Journal of Banking & Finance, 106, 568-591. https://doi.org/10.1016/j.jbankfin.2019.06.010
  • Tastan, H. (2015). Testing for spectral Granger causality. The Stata Journal, 15(4), 1157–1166. https://doi.org/10.1177/1536867X1501500411
  • Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Tümtürk, O. and Kırca, M. (2024). Belirsizliklerin enflasyon üzerindeki etkisinin zamanla değişen nedensellik yöntemiyle analizi: Türkiye örneği. Fiscaoeconomia, 8(1), 222-243. https://doi.org/10.25295/fsecon.1378532
  • Vidya, C.T., Mummidi, S. and Adarsh, B. (2022). Effect of the COVID–19 pandemic on world trade networks and exposure to shocks: A cross–country examination. Emerging Markets Finance and Trade, 59(3), 863-879. https://doi.org/10.1080/1540496X.2022.2108699
  • Yu, H., Fang, L. and Sun, B. (2018). The role of global economic policy uncertainty in long-run volatilities and correlations of US industry-level stock returns and crude oil. PloS one, 13(2), e0192305. https://doi.org/10.1371/journal.pone.0192305

Türkiye'de Ekonomik Belirsizlikler ve Finansal Çevrimler Arasındaki Etkileşim: Frekans Alanında Simetrik ve Asimetrik Nedensellik Analizi

Year 2025, Volume: 10 Issue: 2, 484 - 501, 30.06.2025

Ayşegül Şahin

https://doi.org/10.30784/epfad.1666589

Abstract

Bu çalışma, Türkiye ekonomik belirsizlik endeksinin finansal çevrimler üzerindeki etkisini 2010:01–2024:12 dönemi için aylık verilerle analiz etmektedir. Finansal çevrimler, bankacılık spreadi, reel konut fiyatları ve BIST100 endeksi gibi göstergeler üzerinden oluşturulan bileşik bir endeks ile temsil edilmiştir. İlişkiyi kısa, orta ve uzun dönem düzeyinde inceleyebilmek amacıyla Breitung ve Candelon (2006) frekans alanı simetrik ve asimetrik nedensellik testi uygulanmıştır. Bulgular, ekonomik belirsizlikteki azalışların finansal çevrimlerin pozitif bileşenini hem kısa hem de uzun vadede anlamlı şekilde etkilediğini göstermektedir. Buna karşılık, finansal daralma dönemlerinde ekonomik belirsizlik endeksinin kısa vadede azalma eğilimi gösterdiği tespit edilmiştir. Elde edilen sonuçlar, belirsizliklerin azaltılmasının sadece piyasa güveni sağlamakla kalmayıp, aynı zamanda kalıcı finansal genişleme süreçlerini desteklediğine işaret etmektedir. Çalışma, asimetrik etki kanalıyla politika belirsizliğinin finansal döngüler üzerindeki etkisini frekans-temelli olarak ilk kez ortaya koyarak literatüre özgün bir katkı sağlamaktadır.

Keywords

Ekonomik Politika Belirsizliği Finansal Çevrimler Simetrik ve Asimetrik Nedensellik

References

  • Aizenman, J. and Pinto, B. (2005). Managing economic volatility and crises: A practitioner's guide. UK: Cambridge University Press.
  • Alessandri, P. and Mumtaz, H. (2019). Financial regimes and uncertainty shocks. Journal of Monetary Economy, 101, 31–46. https://doi.org/10.1016/j.jmoneco.2018.05.001
  • Aydın, G.K., Yıldırım, R.K. and Münyas, T. (2024). Ekonomi politika belirsizliğinin BIST, tahvil faiz oranı, döviz kuru ve ülke risk primi (CDS) üzerindeki etkisi. International Journal of Disciplines in Economics & Administrative Sciences Studies, 10(4), 94-106. https://doi.org/10.5281/zenodo.13607916
  • Bahmani-Oskooee, M. and Maki-Nayeri, M. (2019). Asymmetric effects of policy uncertainty on domestic investment in G7 countries. Open Economies Review, 30(4), 675-693. https://doi.org/10.1007/s11079-019-09523-z.
  • Baker, S.R., Bloom, N. and Davis, S.J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Bernanke, B.S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98(1), 85-106. https://doi.org/10.2307/1885568
  • Bloechl, A. (2014). Reducing the excess variability of the Hodrick-Prescott filter by flexible penalization (Munich Discussion Paper No. 2014-1). Retrieved from https://www.econstor.eu/handle/10419/104411
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248
  • Borio, C. (2014). The financial cycle and macroeconomics: What have we learnt? Journal of Banking & Finance, 45, 182-198. https://doi.org/10.1016/j.jbankfin.2013.07.031
  • Bozoklu, S. and Yilanci, V. (2013). Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger Causality Test in the Frequency Domain. Energy Policy, 63, 877-881. https://doi.org/10.1016/j.enpol.2013.09.037
  • Breitung, J. and Candelon, B. (2006). Testing for short-and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378, https://doi.org/10.1016/j.jeconom.2005.02.004
  • Caner, M. and Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. https://doi.org/10.1016/S0261-5606(01)00011-0
  • Chen, X. and Chiang, T.C. (2020). Empirical investigation of changes in policy uncertainty on stock returns-evidence from China's Market. Research in International Business and Finance, 53, 101183, https://doi.org/10.1016/j.ribaf.2020.101183
  • Ciner, C. (2011). Commodity prices and inflation: Testing in the Frequency Domain. Research in International Business and Finance, 25(3), 229–237. https://doi.org/10.1016/j.ribaf.2011.02.001
  • Claessens, S., Kose, M.A. and Terrones, M.E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190. https://doi.org/10.1016/j.jinteco.2011.11.008
  • Dai, P.F., Xiong, X., Liu, Z., Huynh, T.L.D. and Sun, J. (2021). Preventing crash in stock market: The role of economic policy uncertainty during COVID-19. Financial Innovation, 7, 1-15. https://doi.org/10.1186/s40854-021-00248-y
  • Enders, W. (2015). Applied econometric time series (Fourth edition). New York: University of Alabama.
  • Fasanya, I.O., Oyewole, O.J. and Agbatogun, T. (2021). How does economic policy uncertainty connect with the volatility spillovers in Asia-Pacific markets? Asian Economics Letters, 2(2), 1-6. https://doi.org/10.46557/001c.21437
  • Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of American Statistical Association, 77(378), 304. https://doi.org/10.2307/2287238
  • Glynn, J., Perera, N. and Verma, R. (2007). Unit root tests and structural breaks: A survey with applications. Revista de Métodos Cuantitativos para la Economía y la Empresa, 3, 63-79. Retrieved from https://www.redalyc.org/
  • Gómez-González, J.E., Ojeda-Joya, J.N., Zárate, H.M. and Tenjo-Galarza, F. (2014). Testing for causality between credit and real business cycles in the frequency domain: An illustration. Applied Economics Letters, 21(10), 697-701. https://doi.org/10.1080/13504851.2014.884689.
  • Goodharti, C. and Hofmann, B. (2005). The IS curve and the transmission of monetary policy: Is there a puzzle? Applied Economics, 37(1), 29–36. https://doi.org/10.1080/0003684042000280355
  • Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424. https://doi.org/10.2307/1912791
  • Hamilton, J. D. (2020). Time series analysis. Princeton University Press.
  • Hatemi-J,A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. https://doi.org/10.1007/s00181-011-0484-x
  • Hatemi-J,A. (2019). The causal impact of stock market development on economic development in the UAE: An asymmetric approach. Economia Internazionale/International Economics, 72(2), 171-184. Retrieved from https://econpapers.repec.org/
  • Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K. and Watson, M. (2010). Financial conditions indexes: A fresh look after the financial crisis (NBER Working Paper No. 16150). Retrieved from https://www.nber.org/system/files/working_papers/w16150/w16150.pdf
  • Hodrick, R.J. and Prescott, E.C. (1997). Postwar US business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29(1), 1-16. https://doi.org/10.2307/2953682
  • Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields 88(4), 429–444. https://doi.org/10.1007/BF01192551
  • Karagöl, V. (2021). Küresel finansal çevrimler Türkiye’de iş çevrimlerine neden olur mu? Bir frekans alanı analizi. Maliye Dergisi, 180, 345-362. Retrieved from https://ms.hmb.gov.tr/
  • Karagöl, V. and Doğan, B. (2021). Interaction between business and financial cycles: Evidence from Turkey. Eastern Journal of European Studies, 12(2), 123-150. https://doi.org/10.47743/ejes-2021-0207
  • Kırca, M. and Canbay, Ş. (2022). Determinants of housing inflation in Turkey: A conditional frequency domain causality. International Journal of Housing Markets and Analysis, 15(2), 478-499. https://doi.org/10.1108/IJHMA-02-2021-0013
  • Kilic, I. and Balli, F. (2024). Measuring economic country-specific uncertainty in Türkiye. Empirical Economics, 67(4), 1649-1689. https://doi.org/10.1007/s00181-024-02594-z
  • Koncak, A. and Nazlıoğlu, E.H. (2024). Küresel belirsizlikler ve Türkiye pay senedi piyasası arasındaki ilişki: Dalgacık uyum analizinden kanıtlar. Maliye Dergisi, 186, 251-274. Retrieved from https://gcris.pau.edu.tr/
  • Korkmaz, Ö. and Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin Borsa İstanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219. https://doi.org/10.18506/anemon.452749
  • Liu, D., Sun, W., Xu, L. and Zhang, X. (2023). Time-frequency relationship between economic policy uncertainty and financial cycle in China: Evidence from wavelet analysis. Pacific-Basin Finance Journal, 77, 101915. https://doi.org/10.1016/j.pacfin.2022.101915
  • Liu, Q. (2016). Capital inflows, financial cycles and business cycles in Asian countries (Unpublished doctoral dissertation). McGill University, Montreal, Canada.
  • Ludvigson, S.C., Ma, S. and Ng, S. (2021). Uncertainty and business cycles: exogenous impulse or endogenous response? American Economic Journal: Macroeconomics, 13(4), 369-410. https://doi.org/10.1257/mac.20190171
  • Ma, Y. and Zhang, J. (2016). Financial cycle, business cycle and monetary policy: Evidence from four major economies. International Journal of Finance & Economics, 21(4), 502-527. https://doi.org/10.1002/ijfe.1566
  • Narayan, P.K., Iyke, B.N. and Sharma, S.S. (2021). New measures of the COVID-19 pandemic: A new time-series dataset. Asian Economics Letters, 2(2), 439-445. https://doi.org/10.1016/j.eap.2021.06.006
  • Pastor, L. and Veronesi, P. (2012). Uncertainty about government policy and stock prices. The Journal of Finance, 67(4), 1219-1264. https://doi.org/10.1111/j.1540-6261.2012.01746.x
  • Perron, P. (1989). The Great Crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-1401. https://doi.org/10.2307/1913712
  • Perron, P. and Vogelsang, T.J. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business & Economic Statistics, 10, 301–320. https://doi.org/10.2307/1391544
  • Policy Uncertainty. (2024). Economic policy uncertainty index [Dataset]. Retrieved from https://www.policyuncertainty.com/
  • Popp, A. and Zhang, F. (2016). The macroeconomic effects of uncertainty shocks: The role of the financial channel. Journal of Economic Dynamics and Control, 69, 319-349. https://doi.org/10.1016/j.jedc.2016.05.021
  • Ranjbar, O., Chang, T., Nel, E. and Gupta, R. (2017). Energy consumption and economic growth nexus in South Africa: Asymmetric frequency domain approach. Energy Sources, Part B: Economics, Planning, and Policy, 12(1), 24– 31. https://doi.org/10.1080/15567249.2015.1020120
  • Said, S.E. and Dickey, D.A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. https://doi.org/10.1093/biomet/71.3.599
  • Schüler, Y.S., Hiebert, P. and Peltonen, T. A. (2015). Characterising the financial cycle: A multivariate and time-varying approach (ECB Working Paper No. 1846). Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1846.en.pdf
  • Strohsal, T., Proaño, C.R. and Wolters, J. (2019). Characterizing the financial cycle: Evidence from a frequency domain analysis. Journal of Banking & Finance, 106, 568-591. https://doi.org/10.1016/j.jbankfin.2019.06.010
  • Tastan, H. (2015). Testing for spectral Granger causality. The Stata Journal, 15(4), 1157–1166. https://doi.org/10.1177/1536867X1501500411
  • Toda, H.Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Tümtürk, O. and Kırca, M. (2024). Belirsizliklerin enflasyon üzerindeki etkisinin zamanla değişen nedensellik yöntemiyle analizi: Türkiye örneği. Fiscaoeconomia, 8(1), 222-243. https://doi.org/10.25295/fsecon.1378532
  • Vidya, C.T., Mummidi, S. and Adarsh, B. (2022). Effect of the COVID–19 pandemic on world trade networks and exposure to shocks: A cross–country examination. Emerging Markets Finance and Trade, 59(3), 863-879. https://doi.org/10.1080/1540496X.2022.2108699
  • Yu, H., Fang, L. and Sun, B. (2018). The role of global economic policy uncertainty in long-run volatilities and correlations of US industry-level stock returns and crude oil. PloS one, 13(2), e0192305. https://doi.org/10.1371/journal.pone.0192305
There are 54 citations in total.

Details

Primary Language English
Subjects Cyclical Fluctuations
Journal Section Makaleler
Authors

Ayşegül Şahin 0000-0002-4278-0266

Publication Date June 30, 2025
Submission Date March 27, 2025
Acceptance Date May 20, 2025
Published in Issue Year 2025 Volume: 10 Issue: 2

Cite

APA Şahin, A. (2025). The Interaction Between Economic Uncertainties and Financial Cycles in Türkiye: Frequency Domain Symmetric and Asymmetric Causality Analysis. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 10(2), 484-501. https://doi.org/10.30784/epfad.1666589
 Download Cover Image