Econometric analysis of 2008 European debt crisis on Turkey's export with EU

Financial collapse in mortgage markets that started in 2007 in USA causes financial instability at the end of 2008. Furthermore, in consequence of Eurozone countries cannot handle liquidity problem, European Debt Crisis occurred. The debt crisis started with Greece, after caused distress for the rest of EU members then begin impressing Turkey. Turkey's export influenced from Custom Union agreement with European Union which makes Turkey most significant trade partner. In the first chapter of study, information is given about how European debt crisis occurred and macroeconomic causes that PIIGS countries faced are explained afterwards these regions influenced from crisis. In the second chapter, between the years 1990-2014, Turkey's export's effects and significance for EU is described. Then, variables which are used in the econometric analysis part are identified and two different econometric models are set to explain how much Turkey's export affected from European Debt Crisis. In the analysis part, variables used in study whether have a unit root defined with Augmented Dickey-Fuller (ADF) and Philips-Perron (PP) unit root tests. Test show that variables are not constant in surface level yet variables are constant when first difference is taken. Then, cointegration test is applied to behold the effects of variables into export so in both models, cointegrated vectors are shown. Thereupon a long term model set and with Error Correction Model, counterfeit regressions are eliminated and VAR model formed and Granger Causality Test applied. There is a unilateral relation from import to export is estimated with the results of the model between and including 1990-2014; in the other hand there is a bidirectional causation is forecasted between export and terms of trade a model including the years 2010-2014. Keywords: Export, Turkey, European Debt Crisis, Unit Root Test, Cointegrated Test