THE ECONOMETRIC ANALYSIS OF THE DOMESTIC BORROWING AND CREDIT-DEPOSIT RELATIONSHIP IN TURKEY

Abstract

In this study, the effects of public sector domestic debt stock on the banking sector in Turkey have been analyzed in terms of credits and deposits. For this purpose, monthly data covering the period between January 2006 and December 2018 were taken as the basis and time-series econometric methods were applied. In the first stage, Kapetanios?s (2005) unit root test, which allows for multiple structural breaks, and in the second stage, Maki?s (2012) cointegration test, which takes into account multiple structural breaks, were applied. After a cointegration relationship was found between the series, FMOLS (Fully Modified Ordinary Least Square) cointegration coefficient estimation was implemented for long-run coefficient analyzes. Finally, short-run relationships were determined through the error correction model. As a result of the abovementioned econometric analyzes, it was found that a 1-unit increase in the domestic debt stock decreased the credit volume by 0.22 units, and it decreased the total deposits by 0.14 units, in other words, there is a negative relationship between domestic debt stock indicators and credit and deposits.