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DÖVİZ KURLARINDAKİ DEĞİŞKENLİK İLE DIŞ TİCARET ARASI İLİŞKİLER: TÜRKİYE ÜZERİNE TODA-YAMAMOTO NEDENSELLİK ANALİZLERİ (2003:M1 – 2017:M11)

Year 2018, Volume: 14 - Special Issue:1, 59 - 72, 22.12.2018

Abstract

Bu çalışmanın amacı, 2001 Krizinden sonra yönetimli dalgalı
kur rejimine geçen Türkiye ekonomisinde döviz kuru değişkenliği ile ticaret
arasındaki ilişkileri ampirik olarak test etmektir. Çalışmada döviz
kurlarındaki değişkenliği veya dalgalanmayı ölçmeye yönelik olarak literatürde
yoğun bir şekilde kullanılan ve hareketli ortalamalara dayanan yönteme yer
verilmiştir. Bu yöntemle elde edilen değişken ile dış ticaret değişkenleri
arasında nedensel ilişkiler, Toda-Yamamoto nedensellik analiziyle
belirlenmiştir. 


Çalışmadan elde edilen ampirik bulgulara göre döviz
kuru değişkenliği ile ithalat arasında iki yönlü nedensel ilişkiler söz konusu
iken, ihracattan döviz kuru değişkenliğine doğru tek y
önlü nedensellik
yakalanmıştır. Ayrıca ihracat ve ithalatın alt kalemleri ile döviz kuru
değişkenliği arasında farklılaşan sonuçlar söz konusudur. Döviz kuru
değişkenliğinden tüketim malları ithalatı değişkenine doğru tek yönlü
nedensellik bulunmuşken, diğer tüm ticaret değişkenlerinden döviz kuru
değişkenliğine doğru tek yönlü nedensellik bulunmuştur. Dolayısıyla çalışmada
elde edilen bu sonuçlar, döviz kuru değişkenliğinin Türkiye’nin dış ticaretini
etkileyebildiğini ortaya koymaktadır. Bu kapsamda döviz kuru değişkenliğinin
azaltılarak sabit veya istikrarlı kurların tesisi, Türkiye’nin dış ticaretine
olumlu etkilere neden olabilecektir. 

References

  • Aftab, M., Ahmad, R., Ismail, I. & Ahmed, M. (2016). “Does Exchange-Rate Uncertainty Matter in the Malaysia–EU Bilateral Trade? An Industry Level Investigation”, Empirica, 43(3), 461-485.
  • Aliyu, S. U. R. (2010). “Exchange Rate Volatility and Export Trade in Nigeria: an Empirical Investigation”, Applied Financial Economics, 20(13), 1071-1084.
  • Anderton, R. and Skudelny, F. (2001). “Exchange Rate Volatility and Euro Area Imports”, Working Paper No. 64, European Central Bank, Frankfurt.
  • Arize, A. C., Osang, T. & Slottje, D. J. (2000). “Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's”, Journal of Business & Economic Statistics, 18(1), 10-17.
  • Bahmani-Oskooee, M. & Gelan, A. (2018). “Exchange-Rate Volatility and International Trade Performance: Evidence from 12 African Countries”, Economic Analysis and Policy, 58(2), 14-21.
  • Caporale, T. & Doroodian, K. (1994). “Exchange Rate Variability and the Flow of International Trade”, Economics Letters, 46(1), 49-54.
  • Choudhry, T. (2008). “Exchange Rate Volatility and United Kingdom Trade: Evidence from Canada, Japan and New Zealand”, Empirical Economics, 35(3), 607-619.
  • Chowdhury, A. R. (1993). “Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models”, The Review of Economics and Statistics, 700-706.
  • Çakmak, E., & Çınar, S. (2004). “Bankacılık Sektöründe Toplam Hizmet Kalitesinin Satınalma Gücü Paritesi ve Türkiye Üzerine Bir Uygulama: 1980-2002”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 33-46.
  • Denaux, Z. S., & Falks, R. (2013). “Exchange Rate Volatility and Trade Flows: the EU and Turkey”, Southwestern Economic Review, 40, 113-121.
  • Hacker, R. S. & Hatemi‐J, A. (2004). “The Effect of Exchange Rate Changes on Trade Balances in the Short and Long Run”, Economics of Transition, 12(4), 777-799.
  • Hayakawa, K. & Kimura, F. (2009). “The Effect of Exchange Rate Volatility on International Trade in East Asia”, Journal of the Japanese and International Economies, 23, 395-406.
  • Kızıldere, C., Kabadayı, B., & Emsen, Ö. S. (2014). “Dış Ticaretin Döviz Kuru Değişimlerine Duyarlılığı: Türkiye Üzerine Bir İnceleme”, International Journal of Economic & Administrative Studies, 6(12), 39-54.
  • Meniago, C. & Eita, J. H. (2017). “Does Exchange Rate Volatility Deter Trade in Sub-Saharan Africa?”, International Journal of Economics and Financial Issues, 7(4), 62-69.
  • Shehu, A. A. & Youtang, Z. (2012). “Exchange Rate Volatility, Trade Flows and Economic Growth in a Small Open Economy”, International Review of Business Research Papers, 8(2), 118-131.
  • Tatlıyer, M. & Yiğit, F. (2016). “Does Exchange Rate Volatility Really Influence Foreign Trade? Evidence from Turkey”, International Journal of Economics and Finance, 8(2), 33-38.
  • Toda, H. Y. & Yamamoto, T. (1995). “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1-2), 225-250.

EXCHANGE RATE VOLATILITY AND FOREIGN TRADE: TODA-YAMAMOTO CAUSALITY ANALYSIS FOR TURKEY(2003:M1 – 2017:M11)

Year 2018, Volume: 14 - Special Issue:1, 59 - 72, 22.12.2018

Abstract

The purpose of this study is
to test empirically relations between exchange rate volatility and trade in
Turkey where the floating exchange rate regime implemented after the 2001
crisis. In the study, a method based on moving average, which is used
extensively in the literature, is used to measure the variability or
fluctuation in exchange rates. The causal relations between the variable that obtained
by this method and foreign trade variables were determined by Toda-Yamamoto causality
analysis.



According to the empirical
findings obtained from the study, two-way causality between exchange rate volatility
and import are mentioned while there is a one-way causal relationship from
export to exchange rate volatility. There are also different results between
the sub-items of export and import and exchange rate volatility. While one-way
causality was found from the exchange rate volatility to the import variable of
the consumption goods, one-way causality from the other trade variables to the
exchange rate volatility was found. Thus, these results obtained in the study,
suggesting that the exchange rate volatility can affect Turkey's foreign trade.
In this context, reducing the exchange rate volatility or the establishment a
stable exchange rate, Turkey's foreign trade could result in a positive impact.

References

  • Aftab, M., Ahmad, R., Ismail, I. & Ahmed, M. (2016). “Does Exchange-Rate Uncertainty Matter in the Malaysia–EU Bilateral Trade? An Industry Level Investigation”, Empirica, 43(3), 461-485.
  • Aliyu, S. U. R. (2010). “Exchange Rate Volatility and Export Trade in Nigeria: an Empirical Investigation”, Applied Financial Economics, 20(13), 1071-1084.
  • Anderton, R. and Skudelny, F. (2001). “Exchange Rate Volatility and Euro Area Imports”, Working Paper No. 64, European Central Bank, Frankfurt.
  • Arize, A. C., Osang, T. & Slottje, D. J. (2000). “Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's”, Journal of Business & Economic Statistics, 18(1), 10-17.
  • Bahmani-Oskooee, M. & Gelan, A. (2018). “Exchange-Rate Volatility and International Trade Performance: Evidence from 12 African Countries”, Economic Analysis and Policy, 58(2), 14-21.
  • Caporale, T. & Doroodian, K. (1994). “Exchange Rate Variability and the Flow of International Trade”, Economics Letters, 46(1), 49-54.
  • Choudhry, T. (2008). “Exchange Rate Volatility and United Kingdom Trade: Evidence from Canada, Japan and New Zealand”, Empirical Economics, 35(3), 607-619.
  • Chowdhury, A. R. (1993). “Does Exchange Rate Volatility Depress Trade Flows? Evidence from Error-Correction Models”, The Review of Economics and Statistics, 700-706.
  • Çakmak, E., & Çınar, S. (2004). “Bankacılık Sektöründe Toplam Hizmet Kalitesinin Satınalma Gücü Paritesi ve Türkiye Üzerine Bir Uygulama: 1980-2002”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 33-46.
  • Denaux, Z. S., & Falks, R. (2013). “Exchange Rate Volatility and Trade Flows: the EU and Turkey”, Southwestern Economic Review, 40, 113-121.
  • Hacker, R. S. & Hatemi‐J, A. (2004). “The Effect of Exchange Rate Changes on Trade Balances in the Short and Long Run”, Economics of Transition, 12(4), 777-799.
  • Hayakawa, K. & Kimura, F. (2009). “The Effect of Exchange Rate Volatility on International Trade in East Asia”, Journal of the Japanese and International Economies, 23, 395-406.
  • Kızıldere, C., Kabadayı, B., & Emsen, Ö. S. (2014). “Dış Ticaretin Döviz Kuru Değişimlerine Duyarlılığı: Türkiye Üzerine Bir İnceleme”, International Journal of Economic & Administrative Studies, 6(12), 39-54.
  • Meniago, C. & Eita, J. H. (2017). “Does Exchange Rate Volatility Deter Trade in Sub-Saharan Africa?”, International Journal of Economics and Financial Issues, 7(4), 62-69.
  • Shehu, A. A. & Youtang, Z. (2012). “Exchange Rate Volatility, Trade Flows and Economic Growth in a Small Open Economy”, International Review of Business Research Papers, 8(2), 118-131.
  • Tatlıyer, M. & Yiğit, F. (2016). “Does Exchange Rate Volatility Really Influence Foreign Trade? Evidence from Turkey”, International Journal of Economics and Finance, 8(2), 33-38.
  • Toda, H. Y. & Yamamoto, T. (1995). “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1-2), 225-250.
There are 17 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Muharrem Akin Doğanay 0000-0002-3985-2222

Mürşit Recepoğlu 0000-0002-6861-2607

Mustafa Kemal Değer 0000-0001-6425-9052

Publication Date December 22, 2018
Published in Issue Year 2018 Volume: 14 - Special Issue:1

Cite

APA Doğanay, M. A., Recepoğlu, M., & Değer, M. K. (2018). DÖVİZ KURLARINDAKİ DEĞİŞKENLİK İLE DIŞ TİCARET ARASI İLİŞKİLER: TÜRKİYE ÜZERİNE TODA-YAMAMOTO NEDENSELLİK ANALİZLERİ (2003:M1 – 2017:M11). Paradoks Ekonomi Sosyoloji Ve Politika Dergisi59-72.