Research Article
BibTex RIS Cite

Türkiye’de Denge Döviz Kuru Marjlarına Yönelik Nitel Bir Uygulama

Year 2021, Volume: 22 Issue: 1, 23 - 44, 07.05.2021

Dilara Ayla

https://doi.org/10.37880/cumuiibf.740228

Abstract

Analiz, Türkiye’de 2009:Q1-2019:Q4 döneminde gerçekleşen ortalama döviz kurundan yola çıkılarak hesaplanan denge döviz kuru için belirlenen alt ve üst sınırların aşıldığı dönemlerde etkili olan değişkenlerin tespit edilmesi ve bu değişkenlerin denge kur üzerindeki olasılık etkilerinin yön ve düzey bakımından belirlenmesi amacını taşımaktadır. Belirlenen denge döviz kuru baz alınarak öngörülen alt ve üst sınırların aşılıp aşılmadığı dönemleri temsil eden bağımlı değişkenlerin nitel olması nedeniyle Probit yönteminin tercih edildiği çalışmada olasılık tahmininin yanı sıra marjinal etki hesaplamalarına da yer verilmiştir. Analiz kapsamında değerlendirmeye alınan bağımsız değişkenler ise BİST100 endeksi, TÜFE, para arzı, Merkez Bankası brüt döviz rezervleri, dış ticaret açığı, cari işlemler dengesinden oluşmaktadır. Analiz sonuçlarına göre, denge döviz kurunun alt sınırı aşma olasılığını azaltan değişkenler dış açık, para arzı, döviz rezervleri ve TÜFE olarak belirlenirken, BİST100 endeksi etkisinin söz konusu olasılığı arttırıcı yönde olduğu tespit edilmiştir. Denge döviz kurunun öngörülen üst sınırı aşma olasılığını azaltan değişkenlerin ise döviz rezervleri, BİST100 endeksi, para arzı ve dış açıklar olduğu tespit edilmekle birlikte cari denge ve TÜFE etkisinin söz konusu olasılığı arttırıcı yönde etkili olduğu belirlenmiştir. Özellikle TÜFE’de gözlenen dalgalanmalarda meydana gelecek artışların döviz kuru için belirlenen alt ve üst sınırların aşılma olasılığını oldukça yüksek bir boyutta arttırmasına ilişkin tespit son derece önem arz etmektedir. Nitekim üçer aylık dönemlerin irdelendiği bu analize dâhil edilen diğer değişkenlerin olasılık etkileri %6’nın üzerine çıkmamıştır. Dolayısıyla TÜFE değişkenine ilişkin tespit, üç aylık süreç sonucunda enflasyonda meydana gelecek %1 oranındaki bir artışın %10 dolaylarındaki bir etki düzeyi ile döviz kurunun istikrarının olumsuz yönde etkilendiğinin önemli bir göstergesidir.

Keywords

Döviz Kuru Probit Marjinal Etki

References

  • Abbas, Q., Iqbal, J. & Ayaz, L. (2012). Relationship between gdp, ınflation and real ınterest rate with exchange rate fluctuation of african countries. International Journal of Academic Research in Accounting, Finance and Management Sciences, 2 (3), 132-141.
  • Abdalla, I. S. A. & Murinde, V. (1997). Exchange rate and stock price ınteractions in emerging financial markets: Evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7, 25-35.
  • Abdoh, W. M. Y. M., Yusuf, N. H. M., Zulkifli, S. A. M., Bulot, N. & Ibrahim, N. J. (2016). Macroeconomic factors that ınfluence exchange rate fluctuation in ASEAN countries. International Academic Research Journal of Social Science, 2(1), 89- 94.
  • Ahmad, A.H. And Pentecost, E.J. (2012). The current account and real exchange rate dynamics in African Countries. University of Bath Department of Economics Research Working Papers, 4(12), 1-16.
  • Aizenman, J., & Rıera-Crichton, D. (2008). Real exchange rate and ınternational reserves in the era of growing financial and trade ıntegration. The Review of Economics and Statistics, 90(4), 812-815.
  • Ajao, M. G. (2015). The determinants of real exchange rate volatility in Nigeria. Ethiopian Journal of Economics, 24(2), 43-62.
  • Akpan, A. U. (2016). Foreign reserves accumulation and macroeconomic environment: The Nigerian experience (2004-2014). International Journal of Economics and Finance Studies, 8(1), 26-47.
  • Alam, N. & Taib, F. (2013). An Investigation of the relationship of external public debt with budget deficit, current account deficit and exchange rate depreciation in debt trap and non-debt trap countries. European Scientific Journal, 9 (22), 144-158.
  • Aldrich, J. H. & Nelson, F. D. (1984). Linear probability, logit and probit models, sage publications. Beverly Hılls Series: Quantitative Applications, (45).
  • Badia, M.M. & Segura-Ubiergo, A. (2013). Real exchange rate appreciation in emerging markets: Can fiscal policy help?. IMF working paper, 14(1), 1-22.
  • Balaylar, N. (2011), Türkiye’de Döviz Piyasası Müdahalelerinin Sterilizasyon Maliyeti”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(3), 19-38.
  • Barone-Adesı, G. & Yeung, B. (1990). Price flexibility and output volatility: the case for flexible exchange rate. Journal of International Money and Finance, 9(3), 276-298.
  • Bleaney, M. (1996). Inflation and public debt. Australian Economic Papers, 35, 141–155.
  • Branson, W.H. (1983). Macroeconomic determinants of real exchange rate risk, In R.J. Herring (Eds.) managing foreign exchange risk. Cambridge University Press.
  • Cain, D., Thaxter, A., Thomas, K. & Walker, A.A. (2010). Exchange rate movements and the stock of foreign currency denominated government debt: Some panel cointegration evidence. Retrieved from https://www.yumpu.com/en/document/read/21075960/exchange-rate-movements-and-the-stock-of-foreign-currency-.
  • Çavuşoğlu, A. T. (1997). Sticky-price monetary model of exchange Rate: A cointegration analysis. ERC working papers, 1-18.
  • Daly, S.M. & Sami, M. (2009), Determinants of exchange rate practices in the MENA countries: Some further empirical results, William Davidson Institute working paper, 952, 1-25.
  • Doğan, Ç., Koçyiğit, A. & Kılıç, M.E. (2011). Merkez bankası uluslararası rezervleri ve reel döviz kuru ilişkisi: Türkiye için VAR analizi. Retrieved from http://iys.inonu.edu.tr/webpanel/dosyalar /1427/file/cetindogan.pdf.
  • Dornbusch, R. & Fisher, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971.
  • Dougherty, C. (2007). Introduction to econometrics. Oxford University Press Inc, New York.
  • Doukas, J. & Lifland, S. (1994). Exchange rates and the role of the trade balance account. Managerial Finance, 20(5/6), 67-78.
  • Feenstra, R. C. & Kendall, J. D. (1991). Exchange rate volatility and international prices. NBER working papers, 3644, 1-34.
  • Gokhale, M. S. & Raju, J. V. R. (2013). Causality between exchange rate and foreign exchange reserves in the Indian context. Global Journal of Management and Business Research Finance, 13(7), 6-12.
  • Greene, W. H. (1993). Econometric analysis. 2. edition, Macmillian Publications Company, NewYork.
  • Gujarati, D.N. (1988). Basic Econometrics. 2. edition, McGraw-Hill İnternational Editions, New York.
  • Gül, E. & Ekinci, A. (2006), Türkiye’de reel döviz kuru ile ihracat ve ithalat arasındaki nedensellik ilişkisi: 1990-2006. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 16, 165-189.
  • Jordan, J. L., & Elnagheeb, A. H. (1992). The structure of citizen preferences for government soil erosion control programs. Journal of Agricultural and Applied Economics, 24(2), 73-82.
  • Kakkar, V. & Yan, I. (2014). Determinants of real exchange rates: An empirical ınvestigation. Bank of Finland (BOFIT) discussion papers, 1, 1-26.
  • Kaplan, F. & Yapraklı, S. (2014). Ekonomik kırılganlık endeksi göstergelerinin döviz kuru üzerindeki etkileri: Kırılgan 12 ülke üzerine panel veri analizi. Uluslararası Alanya İşletme Fakültesi Dergisi, 6(3), 111-121.
  • Karabulut, T. & Şahbaz, A. (2016). Effects of exchange rate on current account in fragile five: Is the end of QE a solution for chronic current account deficits?. Journal of Asian Development Studies, 5(3), 6-13.
  • Kasman, A. & Ayhan, D. (2008). Foreign exchange reserves and exchange rates in turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 25, 83-92.
  • Kubar, Y., Peker, A. E. & Özcan, C. C. (2011). Türkiye’de döviz kurunun belirleyicileri: Bir eşbütünleşme yaklaşımı. Uluslararası 9. Bilgi, Ekonomi ve Yönetim Kongresi, (ss. 2991-3002), 23-25 Haziran 2011, Saraybosna-Bosna Hersek.
  • Lee, J. & Chinn, M.D. (2006). Current account and real exchange rate dynamics in the G7 countries. Journal of İnternational Money and Finance, 25, 257-274.
  • McKenzie, D. M. (1998). The impact of exchange rate volatility on Australian trade flows. Journal of Economic Survey, 13(1), 71-106.
  • Monfared, S. S. & Akın, F. (2017). The relationship between exchange rates and inflation: The case of Iran. European Journal of Sustainable Development, 6(4), 329-340.
  • Monica, S., & Santhiyavalli, G. (2017). Determinants of exchange rate of Indian rupee against US dollar. International Journal of Commerce and Management Research, 3(1), 54-58.
  • Muhammad, N, Rasheed, A. & Husain, F. (2002). Stock prices and exchange rates: are they related? Evidence from south asian Countries. Pakistan Development Review, 41(4), 535-550.
  • Mussa, M., (1982). A model of exchange rate dynamics. Journal of Political Economy, 90, 74-104.
  • Nteegah, A. & Okpoi, G. E. (2016). External trade and its implications on foreign exchange reserves in Nigeria. International Journal of Arts Humanities and Social Sciences, 1(5), 21-32.
  • Oriavwote, V. E. & Eshenake, S.J. (2012). Real exchange rate and ınflation: an empirical assessment of the Nigerian experience. Mediterranean Journal of Social Sciences, 3(3), 145-155.
  • Öniş, Z. & Özmucur, S. (1990). Exchange rates, ınflation and money Turkey. Journal of Development Economics, 32, 133-154.
  • Pastore, A.C., Pinotti, M.C. & Almeida, L.P. (2004). Public debt, exchange rate shocks and ınflation targets. Retrieved from http://www.bcb.gov.br/Pec/Depep/Seminarios/2004_Annual/Pastore.pdf.
  • Phillips, P.C. B & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335 346.
  • Pindyck, R. S. & Rubinfeld, D. L. (1981). Econometric models and economic. Econometric Forecasts, 273-312.
  • Sean, M., Pastpipatkul, P. & Boonyakunakorn, P. (2018). Money supply, inflation and exchange rate movement: The case of Cambodia by bayesian VAR approach. Journal of Management, Economics and Industrial Organization, 3(1), 63-81.
  • Şen, H., Kaya, A., Kaptan, S. & Cömert, M. (2019). Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. HALL, 1-28.
  • Şimşek, M. (2004). Türkiye’de reel döviz kurunu belirleyen uzun dönemli etkenler. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 5(2), 1-24.
  • Şit, M. & Karadağ, H. (2019). Döviz kurunu belirleyen ekonomik faktörler: Türkiye ekonomisi için ARDL sınır testi uygulaması. International Journal of Economic and Administrative Studies, 23, 151-168.
  • Tapşın, G. & Karabulut, A. T. (2013). Reel döviz kuru, ithalat ve ihracat arasındaki nedensellik İlişkisi: Türkiye örneği. Akdeniz Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26, 190- 205.
  • Tsen, W.H. (2011). The real exchange rate determination: An empirical investigation. International Review of Economics and Finance, 20, 800–811.
  • Wanjau, B. M. (2014). The relationship among real exchange rate, current account balance and real income in Kenya. International Journal of Business and Social Science, 5(9/1), 97-118.
  • Yuan, C. (2009). The exchange rate and macroeconomic determinants: Time-varying transitional dynamics. Retrieved from https://economics.umbc.edu/files/2014/09/wp_09_114.pdf.
  • Yurdakul, F. (2016). Döviz kuru modellemesi ve Türkiye üzerine bir uygulama. Gazi Kitabevi, Ankara.
  • Yurtoğlu (2017). Reel döviz kuru ile ihracat arasındaki nedensellik ilişkisi: Türkiye örneği (1997-2015). Gazi İktisat ve İşletme Dergisi, 3(1), 71-88.

Year 2021, Volume: 22 Issue: 1, 23 - 44, 07.05.2021

Dilara Ayla

https://doi.org/10.37880/cumuiibf.740228

Abstract

References

  • Abbas, Q., Iqbal, J. & Ayaz, L. (2012). Relationship between gdp, ınflation and real ınterest rate with exchange rate fluctuation of african countries. International Journal of Academic Research in Accounting, Finance and Management Sciences, 2 (3), 132-141.
  • Abdalla, I. S. A. & Murinde, V. (1997). Exchange rate and stock price ınteractions in emerging financial markets: Evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7, 25-35.
  • Abdoh, W. M. Y. M., Yusuf, N. H. M., Zulkifli, S. A. M., Bulot, N. & Ibrahim, N. J. (2016). Macroeconomic factors that ınfluence exchange rate fluctuation in ASEAN countries. International Academic Research Journal of Social Science, 2(1), 89- 94.
  • Ahmad, A.H. And Pentecost, E.J. (2012). The current account and real exchange rate dynamics in African Countries. University of Bath Department of Economics Research Working Papers, 4(12), 1-16.
  • Aizenman, J., & Rıera-Crichton, D. (2008). Real exchange rate and ınternational reserves in the era of growing financial and trade ıntegration. The Review of Economics and Statistics, 90(4), 812-815.
  • Ajao, M. G. (2015). The determinants of real exchange rate volatility in Nigeria. Ethiopian Journal of Economics, 24(2), 43-62.
  • Akpan, A. U. (2016). Foreign reserves accumulation and macroeconomic environment: The Nigerian experience (2004-2014). International Journal of Economics and Finance Studies, 8(1), 26-47.
  • Alam, N. & Taib, F. (2013). An Investigation of the relationship of external public debt with budget deficit, current account deficit and exchange rate depreciation in debt trap and non-debt trap countries. European Scientific Journal, 9 (22), 144-158.
  • Aldrich, J. H. & Nelson, F. D. (1984). Linear probability, logit and probit models, sage publications. Beverly Hılls Series: Quantitative Applications, (45).
  • Badia, M.M. & Segura-Ubiergo, A. (2013). Real exchange rate appreciation in emerging markets: Can fiscal policy help?. IMF working paper, 14(1), 1-22.
  • Balaylar, N. (2011), Türkiye’de Döviz Piyasası Müdahalelerinin Sterilizasyon Maliyeti”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(3), 19-38.
  • Barone-Adesı, G. & Yeung, B. (1990). Price flexibility and output volatility: the case for flexible exchange rate. Journal of International Money and Finance, 9(3), 276-298.
  • Bleaney, M. (1996). Inflation and public debt. Australian Economic Papers, 35, 141–155.
  • Branson, W.H. (1983). Macroeconomic determinants of real exchange rate risk, In R.J. Herring (Eds.) managing foreign exchange risk. Cambridge University Press.
  • Cain, D., Thaxter, A., Thomas, K. & Walker, A.A. (2010). Exchange rate movements and the stock of foreign currency denominated government debt: Some panel cointegration evidence. Retrieved from https://www.yumpu.com/en/document/read/21075960/exchange-rate-movements-and-the-stock-of-foreign-currency-.
  • Çavuşoğlu, A. T. (1997). Sticky-price monetary model of exchange Rate: A cointegration analysis. ERC working papers, 1-18.
  • Daly, S.M. & Sami, M. (2009), Determinants of exchange rate practices in the MENA countries: Some further empirical results, William Davidson Institute working paper, 952, 1-25.
  • Doğan, Ç., Koçyiğit, A. & Kılıç, M.E. (2011). Merkez bankası uluslararası rezervleri ve reel döviz kuru ilişkisi: Türkiye için VAR analizi. Retrieved from http://iys.inonu.edu.tr/webpanel/dosyalar /1427/file/cetindogan.pdf.
  • Dornbusch, R. & Fisher, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971.
  • Dougherty, C. (2007). Introduction to econometrics. Oxford University Press Inc, New York.
  • Doukas, J. & Lifland, S. (1994). Exchange rates and the role of the trade balance account. Managerial Finance, 20(5/6), 67-78.
  • Feenstra, R. C. & Kendall, J. D. (1991). Exchange rate volatility and international prices. NBER working papers, 3644, 1-34.
  • Gokhale, M. S. & Raju, J. V. R. (2013). Causality between exchange rate and foreign exchange reserves in the Indian context. Global Journal of Management and Business Research Finance, 13(7), 6-12.
  • Greene, W. H. (1993). Econometric analysis. 2. edition, Macmillian Publications Company, NewYork.
  • Gujarati, D.N. (1988). Basic Econometrics. 2. edition, McGraw-Hill İnternational Editions, New York.
  • Gül, E. & Ekinci, A. (2006), Türkiye’de reel döviz kuru ile ihracat ve ithalat arasındaki nedensellik ilişkisi: 1990-2006. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 16, 165-189.
  • Jordan, J. L., & Elnagheeb, A. H. (1992). The structure of citizen preferences for government soil erosion control programs. Journal of Agricultural and Applied Economics, 24(2), 73-82.
  • Kakkar, V. & Yan, I. (2014). Determinants of real exchange rates: An empirical ınvestigation. Bank of Finland (BOFIT) discussion papers, 1, 1-26.
  • Kaplan, F. & Yapraklı, S. (2014). Ekonomik kırılganlık endeksi göstergelerinin döviz kuru üzerindeki etkileri: Kırılgan 12 ülke üzerine panel veri analizi. Uluslararası Alanya İşletme Fakültesi Dergisi, 6(3), 111-121.
  • Karabulut, T. & Şahbaz, A. (2016). Effects of exchange rate on current account in fragile five: Is the end of QE a solution for chronic current account deficits?. Journal of Asian Development Studies, 5(3), 6-13.
  • Kasman, A. & Ayhan, D. (2008). Foreign exchange reserves and exchange rates in turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 25, 83-92.
  • Kubar, Y., Peker, A. E. & Özcan, C. C. (2011). Türkiye’de döviz kurunun belirleyicileri: Bir eşbütünleşme yaklaşımı. Uluslararası 9. Bilgi, Ekonomi ve Yönetim Kongresi, (ss. 2991-3002), 23-25 Haziran 2011, Saraybosna-Bosna Hersek.
  • Lee, J. & Chinn, M.D. (2006). Current account and real exchange rate dynamics in the G7 countries. Journal of İnternational Money and Finance, 25, 257-274.
  • McKenzie, D. M. (1998). The impact of exchange rate volatility on Australian trade flows. Journal of Economic Survey, 13(1), 71-106.
  • Monfared, S. S. & Akın, F. (2017). The relationship between exchange rates and inflation: The case of Iran. European Journal of Sustainable Development, 6(4), 329-340.
  • Monica, S., & Santhiyavalli, G. (2017). Determinants of exchange rate of Indian rupee against US dollar. International Journal of Commerce and Management Research, 3(1), 54-58.
  • Muhammad, N, Rasheed, A. & Husain, F. (2002). Stock prices and exchange rates: are they related? Evidence from south asian Countries. Pakistan Development Review, 41(4), 535-550.
  • Mussa, M., (1982). A model of exchange rate dynamics. Journal of Political Economy, 90, 74-104.
  • Nteegah, A. & Okpoi, G. E. (2016). External trade and its implications on foreign exchange reserves in Nigeria. International Journal of Arts Humanities and Social Sciences, 1(5), 21-32.
  • Oriavwote, V. E. & Eshenake, S.J. (2012). Real exchange rate and ınflation: an empirical assessment of the Nigerian experience. Mediterranean Journal of Social Sciences, 3(3), 145-155.
  • Öniş, Z. & Özmucur, S. (1990). Exchange rates, ınflation and money Turkey. Journal of Development Economics, 32, 133-154.
  • Pastore, A.C., Pinotti, M.C. & Almeida, L.P. (2004). Public debt, exchange rate shocks and ınflation targets. Retrieved from http://www.bcb.gov.br/Pec/Depep/Seminarios/2004_Annual/Pastore.pdf.
  • Phillips, P.C. B & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335 346.
  • Pindyck, R. S. & Rubinfeld, D. L. (1981). Econometric models and economic. Econometric Forecasts, 273-312.
  • Sean, M., Pastpipatkul, P. & Boonyakunakorn, P. (2018). Money supply, inflation and exchange rate movement: The case of Cambodia by bayesian VAR approach. Journal of Management, Economics and Industrial Organization, 3(1), 63-81.
  • Şen, H., Kaya, A., Kaptan, S. & Cömert, M. (2019). Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. HALL, 1-28.
  • Şimşek, M. (2004). Türkiye’de reel döviz kurunu belirleyen uzun dönemli etkenler. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 5(2), 1-24.
  • Şit, M. & Karadağ, H. (2019). Döviz kurunu belirleyen ekonomik faktörler: Türkiye ekonomisi için ARDL sınır testi uygulaması. International Journal of Economic and Administrative Studies, 23, 151-168.
  • Tapşın, G. & Karabulut, A. T. (2013). Reel döviz kuru, ithalat ve ihracat arasındaki nedensellik İlişkisi: Türkiye örneği. Akdeniz Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26, 190- 205.
  • Tsen, W.H. (2011). The real exchange rate determination: An empirical investigation. International Review of Economics and Finance, 20, 800–811.
  • Wanjau, B. M. (2014). The relationship among real exchange rate, current account balance and real income in Kenya. International Journal of Business and Social Science, 5(9/1), 97-118.
  • Yuan, C. (2009). The exchange rate and macroeconomic determinants: Time-varying transitional dynamics. Retrieved from https://economics.umbc.edu/files/2014/09/wp_09_114.pdf.
  • Yurdakul, F. (2016). Döviz kuru modellemesi ve Türkiye üzerine bir uygulama. Gazi Kitabevi, Ankara.
  • Yurtoğlu (2017). Reel döviz kuru ile ihracat arasındaki nedensellik ilişkisi: Türkiye örneği (1997-2015). Gazi İktisat ve İşletme Dergisi, 3(1), 71-88.
There are 54 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Makaleler
Authors

Dilara Ayla 0000-0002-0206-250X

Publication Date May 7, 2021
Submission Date May 20, 2020
Published in Issue Year 2021Volume: 22 Issue: 1

Cite

APA Ayla, D. (2021). Türkiye’de Denge Döviz Kuru Marjlarına Yönelik Nitel Bir Uygulama. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 22(1), 23-44. https://doi.org/10.37880/cumuiibf.740228
 Download Cover Image

Cumhuriyet University Journal of Economics and Administrative Sciences is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY NC).