Research Article
BibTex RIS Cite

Satın alma yöneticileri endeksinin (PMI) ekonomik ve finansal endekslerle ilişkisinin Türkiye için Var analizi

Year 2023, Volume: 12 Issue: 2, 183 - 202, 30.12.2023

Volkan Dayan Serdar Erdogan

https://doi.org/10.47934/tife.12.02.03

Abstract

Türkiye’de 2018-2021 yılları arası döneme yönelik Satın Alma Yöneticileri Endeksinin (PMI) çeşitli ekonomik ve finansal endekslerle aralarındaki ilişkileri VAR analizi ile incelenmiştir. Çalışmada elde edilen sonuçlara göre, çeşitli endekslerin aralarında anlamlı ilişkiler bulunmakla birlikte, PMI üzerinde en etkili olan endeksin ihracat iklimi endeksi olduğu tespit edilmiştir. PMI ve EXI arasında kısa dönemde pozitif yönlü bir ilişki bulunmuştur. Ayrıca EXI’den PMI’a doğru tek yönlü bir nedensellik ilişkisi de bulunmaktadır. Bu durum satın alma yöneticilerinin yatırım kararları üzerinde ihracatı etkili olduğunu, dolayısıyla pazar odaklı stratejilerin işletme politikalarında önemli bir yeri bulunduğu ortaya koymuştur. Çalışmanın ekonomide karar vericilere, araştırmacılara ve literatüre önemli katkılar sağlayacağı düşünülmektedir.

Keywords

Satın Alma Yöneticileri Endeksi Ekonomik- Finansal Göstergeler VAR Analizi

References

  • Akdag, S., Deran, A., & Iskenderoglu, O. (2020). Is PMI a leading indicator: Case of Turkey. Sosyoekonomi, 28, 37-47. https://doi.org/10.17233/sosyoekonomi.2020.03.03
  • ALBFOREX, (2023). https://www.albforex.com.tr/forex-yatirim/endeksler/dxy/ [Viewed 19 March 2023].
  • Baltagi, B. H. (2008). Econometrics, Fourth Edition, Springer, Heidelberg.
  • BLOOMBERGHT, (2021). https://www.bloomberght.com/iso-turkiye-ihracat-iklimi-endeksi-subatta-51-5-oldu-2275980 [Viewed 16 April 2021].
  • Bozdaglioglu, E. Y., & Ozpinar, O. (2011). Türkiye’ye gelen dogrudan yabanci yatirimlarin Türkiye’nin ihracat performansina etkilerinin VAR yontemi ile tahmini, Dokuz Eylul Universitesi Sosyal Bilimler Enstitusu Dergisi, 13(3), 39-63.
  • Chen, Q., Gao, X., Xie, S., Sun, L., Tian, S., & Hamori, S. (2021). On the predictability of China macro indicator with carbon emissions trading. Energies, 14, 1271. https://doi.org/10.3390/en14051271
  • Cho, D. I., & Ogwang, T. (2006). Conceptual perspectives on selecting the principal variables in the purchasing managers' index. Journal of Supply Chain Management, 42(2), 44-52. https://doi.org/10.1111/j.1745-493X.2006.00011.x
  • De Bondt, G. J., & Schiaffi, S. (2015). Confidence matters for current economic growth: Empirical evidence for the euro area and the United States. Social Science Quarterly, 96, 1027-1040. https://doi.org/10.1111/ssqu.12181
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.2307/2286348
  • Enders, W. (2004). Applied econometric time series. John Wiley & Sons.
  • Erkan, A., & Mandaci, P. E. (2020). Is purchasing managers’ index (PMI) a leading indicator for stock, bond and foreign exchange markets in Turkey? Dokuz Eylul Universitesi Isletme Fakultesi Dergisi, 21, 219-233. https://doi.org/10.24889/ifede.605338
  • Goncu, K. K. (2023). Sektörel tahminleme amacli satin alma yoneticileri endeksi uzerine bir literatur taramasi. Social Sciences Research Journal, 12 (3), 349-354.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438. https://doi.org/10.2307/1912791
  • Greene, W. H. (2000). Econometric analysis, (International edition), Prentice Hall.
  • Gujarati, D. N. (2004). Basic econometrics, Fourth Edition, The McGraw – Hill/Irwin Companies.
  • Habanabakize T., & Meyer D.F. (2017). An analysis of the relationships between the purchasing managers’ index (PMI), economic growth, and employment in the manufacturing sector in South Africa. International Journal of Economics and Finance Studies. 9(2): 66-82.
  • INVESTING, (2021a). https://tr.investing.com/indices/ise-100-historical-data [Viewed 23 April 2021].
  • INVESTING, (2021b). https://tr.investing.com/currencies/us-dollar-index-historical-data [Viewed 14 April 2021].
  • Islamoglu, M. (2019). Gelismekte olan dogu avrupa ulkelerinde kredi genislemesi ve borclanmanin ekonomik buyume uzerine etkileri: Panel veri analizi. Insan ve Toplum Bilimleri Arastirmalari Dergisi, 8 (4), 3152-3166. https://doi.org/10.15869/itobiad.626222
  • ISO, (2017). http://www.iso.org.tr/iso-dergi/2017/ [Viewed 19 April 2021].
  • ISO, (2021). http://www.iso.org.tr/haberler/diger-haberler/istanbul-sanayi-odasi-turkiye-ve-istanbul-imalat-pmi-agustos-2019-raporlari-aciklandi/ [Viewed 22 April 2021].
  • ISO, (2021). http://www.iso.org.tr/projeler/iso-turkiye-ihracat-iklimi-endeksi/ [Viewed 20 April 2021].
  • ISO, (2021). https://iso.org.tr/haberler/diger-haberler/iso-turkiye-imalat-pmi-subat-2021-raporu-ile--turkiye-sektorel-pmi-raporu-aciklandi/ [Viewed 18 April 2021].
  • ISO, (2021). https://www.iso.org.tr/haberler/diger-haberler/iso-turkiye-imalat-pmi-ocak-2021-raporu-ile--turkiye-sektorel-pmi-raporu-aciklandi/ [Viewed 24 April 2021].
  • ISO, (2021). https://www.iso.org.tr/haberler/diger-haberler/iso-turkiye-ihracat-iklimi-endeksi--ocak-ayi-sonuclari-aciklandi/ [Viewed 17 April 2021].
  • ISO, (2023a). https://www.iso.org.tr/projeler/iso-turkiye-imalat-pmi/, [Viewed 06 March 2023].
  • ISO, (2023b). https://www.iso.org.tr/projeler/iso-turkiye-ihracat-iklimi-endeksi/, [Viewed 17 March 2023].
  • Joseph, A., Larrain, M., & Turnerc, C. (2011). Forecasting purchasing managers’ index with compressed interest rates and past values. Procedia Computer Science, 6, 213-218. https://doi.org/10.1016/j.procs.2011.08.040
  • Lupu, I. (2018). Analysis of how the European stock markets perceive the dynamics of macroeconomic indicators through the sentiment index and the purchasing managers' index. Financial Studies. 22(1 (79)), 32-52.
  • Peláez, R.F. (2003). A new index outperforms the purchasing managers' index. Quarterly Journal of Business and Economics, 42(1), 41-55.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401. https://doi.org/10.2307/1913712
  • Sahin, E., Gungor, S., & Karaca, S. S. (2020). Empirical analysis of the relationship between purchasing managers index and BIST industrial index under structural breaks. Financial Studies, 89(3), 6-22.
  • Shaikh, I. (2021). On the relation between purchasing manager’s index and trade policy uncertainty: evidence from China, Japan and the USA. Journal of Chinese Economic and Foreign Trade Studies, 14(2), 202-223, http://dx.doi.org/10.1108/JCEFTS-10-2020-0068
  • Siliverstovs, B. (2018). Dissecting the purchasing managers’ index: Are all relevant components included? Are all included components relevant?, Panoeconomicus, 65, 381-394. https://doi.org/10.2298/PAN150504014S
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 48(1), 1-48. https://doi.org/10.2307/1912017
  • Sobko, R., & Klonowska-Matynia, M. (2021). The Relationship between the Purchasing Managers’ Index (PMI) and Economic Growth: The Case for Poland. European Research Studies Journal, 24, 198-219.
  • Tari, R. (2005). Ekonometri, gozden gecirilmis ve genisletilmis 3. baski, Kocaeli Universitesi Yayinlari, Kocaeli.
  • TUIK, (2021). https://data.tuik.gov.tr/Kategori/GetKategori?p=Enflasyon-ve-Fiyat-106 [Viewed 15 April 2021].
  • Verbeek, M. (2012). A Guide to Modern Econometrics. Fourth Edition, Chichester West Sussex: John Wiley & Sons Ltd.
  • Wang, Y., Lu, C., Yang, X., & Zhang, Q. (2021). Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns. International Journal of Finance & Economics, 1-19. https://doi.org/10.1002/ijfe.2576
  • Wei, Y., Bai, L., Yang, K., & Wei, G. (2021). Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers’ index. Journal of Forecasting, 40(1), 17-39. https://doi.org/10.1002/for.2696
  • Zivot, E., & Andrews, K. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 25-44. https://doi.org/10.2307/1391541

The relationship between the purchasing managers' index (PMI) with economic and financial indicators in Turkey: A Var analysis

Year 2023, Volume: 12 Issue: 2, 183 - 202, 30.12.2023

Volkan Dayan Serdar Erdogan

https://doi.org/10.47934/tife.12.02.03

Abstract

In this study, the relationship between Turkey’s Purchasing Managers' Index (PMI) and various economic and financial indicators was investigated. The data for the period 2018.4 - 2021.2 were used in the analysis, and the Vector Autoregression (VAR) method was preferred. According to the results, although there is a significant relationship between various indicators, it has been determined that the most effective index on PMI is the Export Climate Index. A positive relationship was found between PMI and the Export Climate Index in the short run. There is also a unidirectional causality relationship from the Export Climate Index to PMI. This situation has revealed that exports are influential on the investment decisions of purchasing managers, and therefore market-oriented strategies have an important place in business policies. It is thought that this study will make important contributions to policymakers, researchers and literature.

Keywords

VAR Analysis Purchasing Managers Economic-Financial Indicators

References

  • Akdag, S., Deran, A., & Iskenderoglu, O. (2020). Is PMI a leading indicator: Case of Turkey. Sosyoekonomi, 28, 37-47. https://doi.org/10.17233/sosyoekonomi.2020.03.03
  • ALBFOREX, (2023). https://www.albforex.com.tr/forex-yatirim/endeksler/dxy/ [Viewed 19 March 2023].
  • Baltagi, B. H. (2008). Econometrics, Fourth Edition, Springer, Heidelberg.
  • BLOOMBERGHT, (2021). https://www.bloomberght.com/iso-turkiye-ihracat-iklimi-endeksi-subatta-51-5-oldu-2275980 [Viewed 16 April 2021].
  • Bozdaglioglu, E. Y., & Ozpinar, O. (2011). Türkiye’ye gelen dogrudan yabanci yatirimlarin Türkiye’nin ihracat performansina etkilerinin VAR yontemi ile tahmini, Dokuz Eylul Universitesi Sosyal Bilimler Enstitusu Dergisi, 13(3), 39-63.
  • Chen, Q., Gao, X., Xie, S., Sun, L., Tian, S., & Hamori, S. (2021). On the predictability of China macro indicator with carbon emissions trading. Energies, 14, 1271. https://doi.org/10.3390/en14051271
  • Cho, D. I., & Ogwang, T. (2006). Conceptual perspectives on selecting the principal variables in the purchasing managers' index. Journal of Supply Chain Management, 42(2), 44-52. https://doi.org/10.1111/j.1745-493X.2006.00011.x
  • De Bondt, G. J., & Schiaffi, S. (2015). Confidence matters for current economic growth: Empirical evidence for the euro area and the United States. Social Science Quarterly, 96, 1027-1040. https://doi.org/10.1111/ssqu.12181
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.2307/2286348
  • Enders, W. (2004). Applied econometric time series. John Wiley & Sons.
  • Erkan, A., & Mandaci, P. E. (2020). Is purchasing managers’ index (PMI) a leading indicator for stock, bond and foreign exchange markets in Turkey? Dokuz Eylul Universitesi Isletme Fakultesi Dergisi, 21, 219-233. https://doi.org/10.24889/ifede.605338
  • Goncu, K. K. (2023). Sektörel tahminleme amacli satin alma yoneticileri endeksi uzerine bir literatur taramasi. Social Sciences Research Journal, 12 (3), 349-354.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438. https://doi.org/10.2307/1912791
  • Greene, W. H. (2000). Econometric analysis, (International edition), Prentice Hall.
  • Gujarati, D. N. (2004). Basic econometrics, Fourth Edition, The McGraw – Hill/Irwin Companies.
  • Habanabakize T., & Meyer D.F. (2017). An analysis of the relationships between the purchasing managers’ index (PMI), economic growth, and employment in the manufacturing sector in South Africa. International Journal of Economics and Finance Studies. 9(2): 66-82.
  • INVESTING, (2021a). https://tr.investing.com/indices/ise-100-historical-data [Viewed 23 April 2021].
  • INVESTING, (2021b). https://tr.investing.com/currencies/us-dollar-index-historical-data [Viewed 14 April 2021].
  • Islamoglu, M. (2019). Gelismekte olan dogu avrupa ulkelerinde kredi genislemesi ve borclanmanin ekonomik buyume uzerine etkileri: Panel veri analizi. Insan ve Toplum Bilimleri Arastirmalari Dergisi, 8 (4), 3152-3166. https://doi.org/10.15869/itobiad.626222
  • ISO, (2017). http://www.iso.org.tr/iso-dergi/2017/ [Viewed 19 April 2021].
  • ISO, (2021). http://www.iso.org.tr/haberler/diger-haberler/istanbul-sanayi-odasi-turkiye-ve-istanbul-imalat-pmi-agustos-2019-raporlari-aciklandi/ [Viewed 22 April 2021].
  • ISO, (2021). http://www.iso.org.tr/projeler/iso-turkiye-ihracat-iklimi-endeksi/ [Viewed 20 April 2021].
  • ISO, (2021). https://iso.org.tr/haberler/diger-haberler/iso-turkiye-imalat-pmi-subat-2021-raporu-ile--turkiye-sektorel-pmi-raporu-aciklandi/ [Viewed 18 April 2021].
  • ISO, (2021). https://www.iso.org.tr/haberler/diger-haberler/iso-turkiye-imalat-pmi-ocak-2021-raporu-ile--turkiye-sektorel-pmi-raporu-aciklandi/ [Viewed 24 April 2021].
  • ISO, (2021). https://www.iso.org.tr/haberler/diger-haberler/iso-turkiye-ihracat-iklimi-endeksi--ocak-ayi-sonuclari-aciklandi/ [Viewed 17 April 2021].
  • ISO, (2023a). https://www.iso.org.tr/projeler/iso-turkiye-imalat-pmi/, [Viewed 06 March 2023].
  • ISO, (2023b). https://www.iso.org.tr/projeler/iso-turkiye-ihracat-iklimi-endeksi/, [Viewed 17 March 2023].
  • Joseph, A., Larrain, M., & Turnerc, C. (2011). Forecasting purchasing managers’ index with compressed interest rates and past values. Procedia Computer Science, 6, 213-218. https://doi.org/10.1016/j.procs.2011.08.040
  • Lupu, I. (2018). Analysis of how the European stock markets perceive the dynamics of macroeconomic indicators through the sentiment index and the purchasing managers' index. Financial Studies. 22(1 (79)), 32-52.
  • Peláez, R.F. (2003). A new index outperforms the purchasing managers' index. Quarterly Journal of Business and Economics, 42(1), 41-55.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401. https://doi.org/10.2307/1913712
  • Sahin, E., Gungor, S., & Karaca, S. S. (2020). Empirical analysis of the relationship between purchasing managers index and BIST industrial index under structural breaks. Financial Studies, 89(3), 6-22.
  • Shaikh, I. (2021). On the relation between purchasing manager’s index and trade policy uncertainty: evidence from China, Japan and the USA. Journal of Chinese Economic and Foreign Trade Studies, 14(2), 202-223, http://dx.doi.org/10.1108/JCEFTS-10-2020-0068
  • Siliverstovs, B. (2018). Dissecting the purchasing managers’ index: Are all relevant components included? Are all included components relevant?, Panoeconomicus, 65, 381-394. https://doi.org/10.2298/PAN150504014S
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 48(1), 1-48. https://doi.org/10.2307/1912017
  • Sobko, R., & Klonowska-Matynia, M. (2021). The Relationship between the Purchasing Managers’ Index (PMI) and Economic Growth: The Case for Poland. European Research Studies Journal, 24, 198-219.
  • Tari, R. (2005). Ekonometri, gozden gecirilmis ve genisletilmis 3. baski, Kocaeli Universitesi Yayinlari, Kocaeli.
  • TUIK, (2021). https://data.tuik.gov.tr/Kategori/GetKategori?p=Enflasyon-ve-Fiyat-106 [Viewed 15 April 2021].
  • Verbeek, M. (2012). A Guide to Modern Econometrics. Fourth Edition, Chichester West Sussex: John Wiley & Sons Ltd.
  • Wang, Y., Lu, C., Yang, X., & Zhang, Q. (2021). Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns. International Journal of Finance & Economics, 1-19. https://doi.org/10.1002/ijfe.2576
  • Wei, Y., Bai, L., Yang, K., & Wei, G. (2021). Are industry‐level indicators more helpful to forecast industrial stock volatility? Evidence from Chinese manufacturing purchasing managers’ index. Journal of Forecasting, 40(1), 17-39. https://doi.org/10.1002/for.2696
  • Zivot, E., & Andrews, K. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(3), 25-44. https://doi.org/10.2307/1391541
There are 42 citations in total.

Details

Primary Language English
Subjects Financial Economy
Journal Section Research Article
Authors

Volkan Dayan 0000-0002-4297-4212

Serdar Erdogan 0000-0001-8594-3929

Early Pub Date December 22, 2023
Publication Date December 30, 2023
Submission Date September 9, 2022
Published in Issue Year 2023 Volume: 12 Issue: 2

Cite

APA Dayan, V., & Erdogan, S. (2023). The relationship between the purchasing managers’ index (PMI) with economic and financial indicators in Turkey: A Var analysis. Trakya Üniversitesi İktisadi Ve İdari Bilimler Fakültesi E-Dergi, 12(2), 183-202. https://doi.org/10.47934/tife.12.02.03
 Download Cover Image

  Open_Access_logo_with_dark_text_for_contrast%2C_on_transparent_background.png   Creative Commons License   This work is licensed under a Creative Commons Attribution 4.0 International License.