DETERMINING THE EFFECTS OF MACROECONOMIC VARIABLES ON FIRMS’ LEVERAGE RATIOS
FİRMALARIN KALDIRAÇ ORANI İLE MAKROEKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİNİN BELİRLENMESİ

Author : İsmail TUNA -- Serdar BUDAK - Sibel ÖLMEZ CANGİ - Veysel YILMAZ
Number of pages : 331-340

Abstract

Leverage ratio is the ratio which indicates what percentage of firms’ assets are subsidized through foreign assets. Besides, it can be an indicator of firms’ risk degrees. Particularly when the leverage ratio is high, the risk degree of firms increases. On the other hand, this ratio can be an indicator of the return on equity by the leverage effect. So as to assess the effect of the macroeconomic variables on the leverage ratio which includes such significant data about the firms, 126 manufacturing industry firms listed in ISE, active between the years of 2003-2013 and excluded from the financial sector and holdings of which data could be reached has been included in this study. Macroeconomic variables (producer price index (PPI), interest rate (interest of government debt securities), industrial production index and exchange rate (USD)) have been included in the model as the independent variables, while the leverage ratios of the 126 firms (total foreign assets/total assets) have been taken as the dependent variables. In the study, in which the quarterly data have been used, primarily, augmented Dickey-Fuller (ADF) and Phillips Perron (PP) unit root tests have been applied. Thus, it has been determined whether the variables are stable at the same level. In order to obtain the information about the short and long term parameters, the bound test and autoregressive distributed lag model (ARDL), which were defined in Pesaran and Shin’s (1999) as well as Pesaran, Shin and Smith’s (2001) studies, have been applied. At this point, that the coefficient of error correction term is positive means the model digresses the balance, and conversely, that it is negative means the model approaches the balance. According to the bound test F statistics applied to the model set up in the findings section of the study, it has been concluded that a cointegration relation may exist at 1% level. As for the ARDL test results, it has been found that there is a positive cointegration relation between the leverage ratio and producer price index (PPI) as well as the industrial production index.

Keywords

Leverage Ratio, Capital Structure, Macroeconomic Variables, BIST-Industry, ARDL

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