- JOEEP: Journal of Emerging Economies and Policy
- Cilt: 8 Sayı: 2
- The Crisis-Creating Effect of Expectations: Long Term Analysis with the Evidence from NARDL Model an...
The Crisis-Creating Effect of Expectations: Long Term Analysis with the Evidence from NARDL Model and Maki Cointegration Test
Authors : Ömer Uğur Bulut, Erkan Tokucu, Murat Aykiri
Pages : 358-370
View : 95 | Download : 97
Publication Date : 2023-12-30
Article Type : Research
Abstract :The study aims to reveal the long term asymmetric effect and the cointegrated relationship under structural breaks between the expectations and the economic crisis. For this purpose, Turkish economy has been analysed by using Maki Cointegration and non-linear ARDL methods for the 2012-2021 period. According to the empirical findings, a cointegrated relationship has been found between the speculative pressure index, which is used as a crisis indicator, and the trust indices, which is a potential quantitative counterpart of expectations, under structural breaks in the long term. Three trust indices have been used: consumer trust index, financial services trust index and real sector trust index. It has been observed that positive changes in trust indices decrease speculative pressure index, while negative changes cause an increase in speculative pressure index. In addition, it has been concluded that negative changes in trust indices have a greater effect on the speculative pressure index than positive changes. The findings of the research provide empirical evidence for the inherent asymmetric interaction between economic crises and expectations. Furthermore, it highlights the role of pessimistic expectations in triggering crises within the markets.Keywords : Ekonomik kriz, Beklentiler, Zaman Serisi Modelleri