Retracted: The Effect of Global Liquidity on Macroeconomic Parameters
Journal Title: Asian Economic and Financial Review - Year 2011, Vol 1, Issue 3
Abstract
Depending on the international economic integration as a result of the increasingglobalization, national economies have become more sensitive to the externaleconomic developments. In such an environment, it is important to understand theconcept of international liquidity and its effects. We analyze the effect of globalliquidity on Turkish economy in this study. To examine the impact of globalliquidation on Turkish economy empirically, Vector Autoregressive (VAR) modeland cointegration tests are applied by using the data between 1990Q1-2008Q3periods. Cointegration results indicate that global liquidation moves together withTurkey?s national income, inflation rate, treasury benchmark interest rate and realexchange rate in the long run. According to the results of Granger causality test, itis seen that there is causality from global liquidation towards Turkey?s keymacroeconomic variables. The impact-response analysis of the VAR model figuresout the increase in global liquidity leads an appreciation in Turkey?s real exchangerate, decreases national income, inflation and interest rates. The results of thevariance decomposition confirms that the longer the period under review, thestronger the effect of global liquidation. Our findings in this study emphasize theimportance of global integration and liquidity on Turkish economy which isarticulated with the world economy.
Authors and Affiliations
Göknur Umutlu| Hacettepe University Dept. of Business Administration, Ankara, Turkey E-mail: goknur@hacettepe.edu.tr, Yılmaz Yıldız| Adress: Hacettepe University Dept. of Business Administration, Ankara, Turkey E-mail: yilmazyildiz@hacettepe.edu.tr
Keywords
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