Asymmetric Effects of Macroeconomic and Financial Shocks on Industrial Production: Evidence from Turkiye
DOI:
https://doi.org/10.5281/zenodo.21002623Schlagworte:
Industrial Production, Financial Risk, Asymmetric Effects, NARDL ModelAbstract
This study investigates the macroeconomic and financial determinants of industrial production in Türkiye, focusing on the symmetric and asymmetric effects of key financial variables. Specifically, it examines whether positive and negative shocks exert differential impacts on industrial production in the short and long run. The analysis employs monthly data for Türkiye covering the period 2016M01–2025M12. The model includes the capacity utilization rate, CDS premium, Global Economic Policy Uncertainty index, energy consumption, export unit value index, and the USD/TRY exchange rate. To capture potential nonlinearities and asymmetric adjustments, the Nonlinear Autoregressive Distributed Lag (NARDL) approach is applied. Long-run relationships are examined using the bounds testing procedure, while short-run dynamics and asymmetries are assessed through error correction and Wald tests. The bounds test confirms the existence of a long-run cointegration relationship. The error correction term (−0.1963, p<0.01) indicates that approximately 19.6% of short-run disequilibrium is corrected each month, implying convergence within nearly five months. Short-run results reveal significant asymmetric effects. While positive exchange rate shocks have no immediate impact, their two-period lag increases industrial production (0.1729, p<0.01). In contrast, positive CDS shocks exert an immediate negative effect (−0.0893, p<0.01). Capacity utilization shows the strongest positive short-run impact (1.4374, p<0.01). By employing a nonlinear framework, the study provides evidence that financial shocks influence industrial production asymmetrically, highlighting the dominance of short-run dynamics in an emerging market context.
Literaturhinweise
Ajmair, M. and Hussain, D. K. (2017). Determinants of Industrial Sector Growth in Pakistan. Journal of Poverty, Investment and Development, 34(2017), 15-23.
Ak, A. (2024). Sanayi Üretim Endeksi ve İlişkili Faktörlerin Vektör Otoregresyon Model Etki-Tepki Analizi Bağlamında. Verimlilik Dergisi, 58(4), 681-690.
Aytekin, İ. (2020). Döviz Kuru Sanayi Üretimi ve Ekonomik Güven Arasındaki İlişkinin Analizi: Türkiye Örneği. Bitlis Eren Üniversitesi Sosyal Bilimler Dergisi, 9(2), 322-330. doi:https://doi.org/10.47130/bitlissos.798185
Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. doi:https://doi.org/10.1093/qje/qjw024
Barışık, S. and Yayar, R. (2012). Sanayi Üretim Endeksini Etkileyen Faktörlerin Ekonometrik Analizi. İktisat İşletme ve Finans, 27(316), 53-70. doi:10.3484/iif.2012.316.3342
Bernanke, B. S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85-106.
Cavlak, Ö. D. (2022). A Nonlinear Autoregressive Distributed Lag (NARDL) Approach for U.S. Climate Policy Uncertainty Index, Renewable Energy Consumption, and Oil Prices. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 757-776.
Çalışci, S. and Karatay Göğül, P. (2021). Döviz Kuru ile Sanayi Üretimi Arasındaki Nedensellik İlişkisi Üzerine Bir Uygulama (2005-2019). Bulletin of Economic Theory and Analysis, 6(2), 1-25.
Demir, C. and Özcan, S. E. (2023). Türkiye’de Sanayi Üretimi, Kapasite Kullanım Oranı ve Üretici Fiyatları Arasındaki Asimetrik İlişki: Doğrusal Olmayan ARDL Modeli Yaklaşımı. İktisat Politikası Araştırmaları Dergisi - Journal of Economic Policy Researches, 10(2), 525-543. doi:https://doi.org/10.26650/JEPR1247326
Ejaz, M. and Iqbal, J. (2019). Estimation and Forecasting of Industrial Production Index. State Bank of Pakistan, SBP Working Series Paper(103), 1-23.
Federal Reserve. (2025, 11 24). Industrial Production and Capacity Utilization - G.17. Industrial Production Explanatory Notes: https://www.federalreserve.gov/releases/g17/ipnotes.htm adresinden alındı
Granger, C. W. and Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2(1974), 111-120.
Gutu, L. M., Strachinaru, A. I., Strachinaru, A. V. and Ilie, V. (2015). The Macroeconomic Variables’ Impact on Industrial Production in the Context of Financial Crisis. Procedia Economics and Finance, 32(2015), 1258 – 1267.
Harrigan, J. (1999). Estimation of Cross-country Differences in Industry Production Functions. Journal of International Economics, 47(1999), 267–293.
Kaldor, N. (1968). Productivity and Growth in Manufacturing Industry: A Reply. Economica, 35(140), 385-391. doi:https://doi.org/10.2307/2552347
Karaman, S. K. and Kaya, S. K. (2024). Türkiye Örneğinde İmalat Sanayi Üretim Endeksinin Belirleyicileri. Uluslararası Yönetim İktisat ve İşletme Dergisi, 20(1), 43-62. doi:http://dx.doi.org/10.17130/ijmeb.1327437
Kmietowicz, Z. W. (1995). Accuracy of Indices of Industrial Production in Developing Countries. Journal of the Royal Statistical Society, 44(3), 295-307. doi:https://doi.org/10.2307/2348701
Marchetti, D. J. and Parigi, G. (1998). Energy Consumption, Survey Data and The Predıctıon of Industrıal Productıon in Italy. Banca D'Italia(342), 1-44.
Marques, A. C., Fuinhas, J. A. and Menegaki, A. N. (2016). Renewable vs Non-Renewable Electricity and the Industrial Production Nexus: Evidence from an ARDL Bounds Test Approach for Greece. Renewable Energy, 96(2016), 645e655.
Öcal, F. M. (2013). Türkiye'de Sanayi Üretim Endeksi ve İmalat Sanayi Eğilim Göstergeleri Arasındaki İlişkinin Eknoometrik Analizi. CBÜ Sosyal Bilimler Dergisi, 11(2), 242-258. doi:https://izlik.org/JA28ZZ83EA
Pekçağlayan, B. (2021). Türkiye’de Sanayi Üretim Endeksinin Belirleyenleri: ARDL Modeli. İstanbul İktisat Dergisi - Istanbul Journal of Economics, 71(2021/2), 435-456.
Pesaran, M. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289-326. doi: 10.1002/jae.616
Repkine, A. and Walsh, P. P. (1999). Evidence of European Trade and Investment U-Shaping Industrial Output in Bulgaria, Hungary, Poland, and Romania. Journal of Comparative Economics, 27, 730–752.
Sadorsky, P. (2011). Trade and energy consumption in the Middle East. Energy Economics, 33(2011), 739-749. doi:10.1016/j.eneco.2010.12.012
Shin, Y., Yu, B. and Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In Festschrift in honor of Peter, Springer, New York, NY, 1-44. doi:http://dx.doi.org/10.2139/ssrn.1807745
Tekin, B. (2022). Türkiye’de Sanayi Üretim Endeksi ile Reel Sektör Kredileri İlişkisi: Eşbütünleşme ve Nedensellik Analizleri. Journal os Eurasian Economies, 1(2), 30-42.
TURKSTATS. (2026, 02 26). https://veriportali.tuik.gov.tr/tr/press/57925. 2026 tarihinde Sanayi Üretim Endeksi: https://veriportali.tuik.gov.tr/tr/press/57925 adresinden alındı
Downloads
Veröffentlicht
Zitationsvorschlag
Ausgabe
Rubrik
Lizenz
Copyright (c) 2026 International Journal of Contemporary Economics and Administrative Sciences
Dieses Werk steht unter der Lizenz Creative Commons Namensnennung 4.0 International.
The Author(s) must make formal transfer of copyright for each article prior to publication in the International Journal of Contemporary Economics and Administrative Sciences. Such transfer enables the Journal to defend itself against plagiarism and other forms of copyright infringement. Your cooperation is appreciated. You agree that copyright of your article to be published in the International Journal of Contemporary Economics and Administrative Sciences is hereby transferred, throughout the World and for the full term and all extensions and renewals thereof, to International Journal of Contemporary Economics and Administrative Sciences.
The Author(s) reserve(s): (a) the trademark rights and patent rights, if any, and (b) the right to use all or part of the information contained in this article in future, non-commercial works of the Author's own, or, if the article is a "work-for-hire" and made within the scope of the Author's employment, the employer may use all or part of the information contained in this article for intra-company use, provided the usual acknowledgements are given regarding copyright notice and reference to the original publication.
The Author(s) warrant(s) that the article is Author's original work, and has not been published before. If excerpts from copyrighted works are included, the Author will obtain written permission from the copyright owners and shall credit the sources in the article. The author also warrants that the article contains no libelous or unlawful statements, and does not infringe on the rights of others. If the article was prepared jointly with other Author(s), the Author agrees to inform the co-Author(s) of the terms of the copyright transfer and to sign on their behalf; or in the case of a "work-for-hire" the employer or an authorized representative of the employer.
The journal is registered with the ISSN : 1925-4423.
IJCEAS is licensed under a Creative Commons Attribution 4.0 International License.
This license lets others distribute, remix, tweak, and build upon your work, even commercially, as long as they credit you for the original creation. This is the most accommodating of licenses offered. Recommended for maximum dissemination and use of licensed materials.
