Luận án Tiến sĩ: 3+1 Bài luận về Kinh tế Thổ Nhĩ Kỳ của Mustafa Eray Yücel

3+1 ESSAYS ON THE TURKISH ECONOMY A Ph. Dissertation by MUSTAFA ERAY YÜCEL Department of Economics Bilkent University Ankara September 2005. 3+1 ESSAYS ON THE TURKISH ECONOMY The Institute of Economics and Social Sciences of Bilkent University by MUSTAFA ERAY YÜCEL In Partial Fulfilment of the Requirements for the Degree of DOCTOR OF PHILOSOPHY in THE DEPARTMENT OF ECONOMICS B LKENT UNIVERSITY ANKARA September 2005 I certify that I have read this thesis and have found that it is fully adequate, in scope and in quality, as a thesis for the degree of Doctor of Philosophy in Economics. Hakan BERUMENT Supervisor I certify that I have read this thesis and have found that it is fully adequate, in scope and in quality, as a thesis for the degree of Doctor of Philosophy in Economics.

Sübidey TOGAN Examining Committee Member I certify that I have read this thesis and have found that it is fully adequate, in scope and in quality, as a thesis for the degree of Doctor of Philosophy in Economics. Yılmaz AKD Examining Committee Member I certify that I have read this thesis and have found that it is fully adequate, in scope and in quality, as a thesis for the degree of Doctor of Philosophy in Economics. Zeynep ÖNDER Examining Committee Member I certify that I have read this thesis and have found that it is fully adequate, in scope and in quality, as a thesis for the degree of Doctor of Philosophy in Economics. Ümit ÖZLALE Examining Committee Member Approval of the Institute of Economics and Social Sciences --------------------------------- Prof.

Erdal EREL Director ABSTRACT 3+1 ESSAYS ON THE TURKISH ECONOMY Yücel, Mustafa Eray Ph., Department of Economics Supervisor: Assoc. Hakan Berument September 2005 This dissertation comprise of four essays. The first essay studies the relationship between treasury auction maturity and auction interest rates. Using the Turkish auction data from 1988 to 2004, a reciprocal linkage between auction interest rates and maturities is observed, especially for the 1995-2000 period.

This suggests that under an adverse shock, treasury decreases the auction maturity in order not to increase interest rates too much. A change in this reciprocal relationship is also reported for the post-2001 era. The second essay assesses the effect of USD-Euro parity on a small open economy for an economy where its exports are predominantly denominated in Euros and imports are denominated in USD. The empirical evidence suggests that a positive innovation in USD-Euro parity appreciates the local currency, decreases inflation and increases output.

The third essay studies the iii relationship between on-budget and off-budget expenditures in Turkey and concludes that information content of the budget deficit statistics is not empty; however, it might be misleading in assessing fiscal stance for Turkey. The final essay investigates the connection between Turkish industrial production performance and the success of a popular Turkish football team, namely Fenerbahce. The success of Fenerbahce is interpreted as a proxy for the workers' mood or morale. Performing a transfer function analysis on my monthly data set, I reveal a positive feedback from Fenerbahce's success, which proxies workers' mood/morale, to economic performance.

Evidence of the effects of games against domestic rivals on industrial performance is not statistically significant. Keywords: Confidence crisis, Debt management, Debt maturity and Yield curve, USD-Euro Parity, Output, Inflation, and Real Exchange Rate, Consolidated Budget, Public Sector Borrowing Requirement, Fiscal Stance, Vector Auto Regression. Mood, Morale and Productivity iv ÖZET TÜRK YE EKONOM S ÜSTÜNE 3+1 MAKALE Yücel, Mustafa Eray Doktora, ktisat Bölümü Tez Yöneticisi: Doç. Hakan Berument Eylül 2005 Bu tez dört makaleden olu maktadır.

lk makalede Hazine ihale vadeleri ile ihale faizleri arasındaki ili ki incelenmi tir. 1988’den 2004’e kadar Türkiye Hazine verileri kullanıldı ında – özellikle 1995-2000 dönemi için – ihale faizleri ve vadeleri arasında ters yönlü bir ili ki gözlenmi tir. Bu bulgu Hazine’nin ihale vadelerini, faizleri fazla artırmayacak biçimde seçti ine i aret etmektedir. 2001 sonrası dönem için ise söz konusu ters yönlü ili kinin de i ti i rapor edilmektedir.

kinci makalede ABD doları-Avro paritesinin – ihracatı ço unlukla Avro ve ithalatı ço unlukla dolar cinsinden yapılan – bir küçük açık ekonomiye etkileri incelenmektedir. Ampirik bulgular, Dolar-Avro paritesindeki bir artı ın ulusal para birimini de erlendirdi ini, enflasyonu dü ürücü oldu unu ve çıktıyı artırdı ını göstermi tir. Üçüncü makalede, bütçe dahilinde ve haricinde geli en kamu harcamaları arasındaki ili ki v incelenmektedir. Çalı manın ana bulgusu bütçe açı ı istatistiklerinin enformasyon açısından de ersiz olmadı ıdır; ancak bu istatistikler Türkiye ekonomisi için maliye politikasının duru unu ölçmekte kullanıldı ında yanıltıcı neticeler do urabilecektir.

Son makalede, Türkiye’nin sanayi üretim performansı ile popüler bir futbol takımının – Fenerbahçe –ba arısı arasındaki ba lantı ele alınmaktadır. Fenerbahçe’nin ba arısı çalı anların ruh hallerinin veya morallerinin bir ölçüsü olarak yorumlanmaktadır. Gerçekle tirilen transfer fonksiyonu analizine göre, toplumsal moralin ölçüsü olan takımın uluslararası kupalardaki ba arısı ile ekonomik performans arasında aynı yönlü ve anlamlı bir ili ki söz konusudur. Aynı ili ki takımın yurt içi ba arıları için gözlenememi tir.

Anahtar Kelimeler: Güven bunalımı, Borç yönetimi, Borç vadesi, Verim e risi, Dolar-Avro paritesi, Çıktı, Enflasyon, Reel döviz kuru, Konsolide bütçe, Kamu kesimi borçlanma gere i, Mali duru , Vektör Otoregresyon, Ruh hali, Maneviyat, Üretkenlik. vi ACKNOWLEDGMENTS Assoc. HAKAN BERUMENT, for his support since 2002; for generously sharing many things with me not only about academics, but also about life…// U UR ÇIPLAK, BURCU GÜRC HAN, HAKAN TA ÇI and CEM ÇEBI, for their assistance in gathering part of my data sets…// SIBEL KAZAK BERUMENT, REYHAN BILGIÇ, and PETER E. EARL for their invaluable suggestions…// ANITA AKKA , for linguistic review of the manuscripts…// TAO ZHA, for his generosity in providing his computer codes…// EDITORS/ANONYMOUS REFEREES of the Fiscal Studies, Yapı Kredi Economic Review and the Journal of Economic Psychology, for their constructive criticisms…// Participants of the PAZAR11 DISCUSSION GROUP… for their suggestions during the development stages of the essays…// The EXAMINING COMMITTEE MEMBERS… for devoting their precious time to review the essays…// Assoc.

SERDAR SAYAN…for his encouragement and support… AYHAN YÜCEL, C. AYDAL YÜCEL and EYMA BARUT… for their everlasting support and trust…// MURAT ÇELIKO LU and ÖHRET ÇELIKO LU…for their encouragement since 2002… EMINE BIÇER, AYKUT ALTAY, ALI HSAN KARBAN, SAVA ÖZTÜRK, FARUK ÇKE, RIFAT KIRIK, ARIF YI IT, SMAIL SELDERESI and AY E Abla. for their warm friendship during my stay at the Bilkent Dormitory-75 during 1998-2002… MY COLLEAGUES AT THE CBRT. for their friendship since 2003… BANU YÜKSEL, ALTAN ALDAN, ÇA RI SARIKAYA… for their encouragement at desperate times… YELDA ÇELIKO LU… I can never undo the negative reflections upon her of my study period… my best friend, loving wife, and lifelong ally.

thanks God she was with me… vii TABLE OF CONTENTS ABSTRACT. vii TABLE OF CONTENTS. viii LIST OF TABLES .x LIST OF FIGURES. xi CHAPTER 1 INTRODUCTION: ANATOMY OF THE DISSERTATION .1 CHAPTER 2 RETURN AND MATURITY RELATIONSHIPS FOR TREASURY AUCTIONS: EVIDENCE FROM TURKEY.

Data Sets and Variables. Choice of Sample Periods and Descriptive Statistics of Data. Estimation Technique and Form of Estimating Equation. Estimates Based on Auction Data.

Estimates Based on Monthly Data. Discussion and Concluding Remarks.27 CHAPTER 3 EFFECTS OF USD-EURO PARITY ON A SMALL OPEN ECONOMY: EVIDENCE FROM TURKEY. Data and Bivariate Analysis. Specification of the VAR System.

Impulse Response Functions: Capturing the Effects of USD-Euro Parity.54 CHAPTER 4 IS BUDGET DEFICIT AN APPROPRIATE MEASURE OF FISCAL STANCE?. Data and Variables. A Contraction in the Consolidated Budget. An Expansion in the Consolidated Budget .70 viii CHAPTER 5 LONG LIVE FENERBAHCE: PRODUCTION BOOSTING EFFECTS OF FOOTBALL.

Proposed Relationship between Football Success and Productivity. Literature and the Background Material. Economics of Sports. Identity, Social Cohesion and Spectating Behavior.

Mood and Productivity. Turkish Football Industry and Social Aspects of Football in Turkey. Model and Estimation Method. Econometric Specification and Estimation Method.

Results and Commentary.114 Appendix 1: Alesina, Prati &Tabellini (1990) and Calvo&Guidotti (1992) Models .114 Alesina, Prati and Tabellini (1990) .114 Calvo and Guidotti (1992) .119 Appendix 2: An Illustrative Model .124 ix LIST OF TABLES Table 2-1: Descriptive Statistics (Auction Data).29 Table 2-2: Descriptive Statistics (Monthly Data).30 Table 2-3: Real Interest Rate-Maturity Relationships: Auction Data .31 Table 2-4: Real Interest Rate-Maturity Relationships: Monthly Data.32 Table 2-5: Nominal Interest Rate-Maturity Relationships: Monthly Data .33 Table 2-6: Real Interest Rate-Maturity Relationships: Monthly Data.34 Table 2-7: Nominal Interest Rate-Maturity Relationships: Monthly Data .36 Table 2-8: Chow Breakpoint Tests .38 Table 3-1: Cross-correlations of Parity and Other Variables of Concern.56 Table 3-2: Augmented Dickey-Fuller Test Statistics .57 Table 3-3: Cointegration Test Among the Variables Inf, Rexch and y with the Exogenous Series Parity .57 Table 5-1: List of Success Variables .98 Table 5-2: Estimates of the Transfer Function Specifications (1 to 5).100 Table 5-3: Estimates of the Transfer Function Specifications (6 to 10).102 x LIST OF FIGURES Figure 2-1: Evolution of the Series (Auction Data).39 Figure 2-2: Evolution of the Series (Monthly Data).40 Figure 2-3: Evolution of the First Differences of the Series (Auction Data).41 Figure 2-4: Evolution of the First Differences of the Series (Monthly Data).42 Figure 3-1: USD-Euro Parity .58 Figure 3-2: Impulse-Response Functions .59 Figure 3-3: Impulse-Response Functions: With crisis dummies.59 Figure 4-1:Consolidated Budget Deficit, Public Sector Borrowing Requirement and Net Debt Revenue: 1975-2001 .72 Figure 4-2: Impulse Responses: Symmetric Effects.73 Figure 4-3: Impulse Responses: Contraction in the Consolidated Budget .74 Figure 4-4: Impulse Responses: Expansion in the Consolidated Budget .75 xi CHAPTER 1 CHAPTER 1 INTRODUCTION: ANATOMY OF THE DISSERTATION This dissertation is a collection of four essays, each of which is meant to deal with a specific question offered by the contemporary macroeconomic and/or social problems in Turkey. This chapter provides a cursory look at the dissertation essays and summarizes the main characteristics of each essay in attempt at providing the reader with a bird’s eye view of the overall content. Chapter 2 (Essay 1) is motivated by the observation that effective public debt management is one of the most important tasks for economic policy makers. It is especially important in countries that have debt rollover concerns due to financial stress and macroeconomic instability.

In that sense, the Turkish economy provides a unique laboratory for studying the return-maturity relationship that could emerge under financial stress. Firstly, the Turkish debt was able to rollover throughout history but there was always a non-zero default risk. Secondly, the Turkish economy operated under chronic high and volatile inflation for more than three decades, which resembles the risk on real return. Merging these observations with the political instability of successive coalition governments, the “lack of confidence” in economic 1 policymakers can be easily comprehended.

These observations underline the inherent financial stress and macroeconomic stability. The first essay (Chapter 2), using the Turkish treasury auction data of the July 1988- December 2004 period, reveals a statistically significant negative relationship between treasury auction maturity and interest rates, indicating a negatively sloped yield curve, specifically for the pre-2001 sample. Based on this finding, I argue that the low credibility of policy-makers regarding inflation commitment that is associated with macroeconomic instability and the default risk shortens the maturities with higher interest rates due to the reluctance of creditors to extend funds for the long-term financing of public deficits. Changes in the slope of the estimated yield curve in the post-2001 sub-sample are also reported in Chapter 2.

It is worth to note that the post-2001 period is characterized by lower deficits, lower default risk, successful stabilization to decrease inflation and higher political stability. In the second essay (Chapter 3), I turn my attention to a recently highlighted development, namely the evolution of USD-Euro parity and its effects on Turkey, which is a small open economy (SOE). USD-Euro parity is one of the most widely followed variables in financial markets. Its sizable movements have often been elaborated on as regards their implications on developed economies.