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The Relationship Between Exchange Market Pressure Index and Dollarization: The Case of Turkey

Yıl 2022, Cilt 23, Sayı 2, 575 - 584, 19.04.2022
https://doi.org/10.37880/cumuiibf.1065378

Öz

Any prolonged pressure on the national currency can have serious consequences, especially for emerging economies that are prone to external shocks. It is important to know the timing and intensity of such pressures in order to avoid any crisis situation. In this context, especially in economies that follow the managed floating exchange rate system, the foreign exchange market pressure index is used in the literature in order to accurately determine the level of pressure on the national currency which measured by the weighted sum of changes in exchange rates, foreign exchange reserves and/or interest rates. In this study, the relationship between the foreign exchange market pressure index, which signals a possible currency crisis in the Turkish economy in the period of 2005:12-2021:5, and dollarization, which is expressed as the intensive use of foreign currency as both a payment instrument and a store of value, is examined in the Fourier field. For the dollarization variable, the ratio of exchange deposit accounts to the M2 money supply is taken as a basis, and for the exchange market pressure index, in parallel with the studies in the literature, the weighted sum of the change in the nominal exchange rate (USD/Turkish Lira) and the CBRT gross foreign exchange reserves (Million USD) is used. The monthly data of the said variables were obtained from the CBRT official database. As a result of the empirical analysis, it has been concluded that there is a process that feeds each other between the foreign exchange market pressure index and dollarization.

Kaynakça

  • Akram, G. M., & Byrne, J. P. (2015). Foreign Exchange Market Pressure and Capital Controls. Journal of International Financial Markets, Institutions and Money, 37, 42-53.
  • Aizenman, J., & Binici, M. (2016). Exchange Market Pressure in OECD and Emerging Economies: Domestic vs. External Factors and Capital Flows in the Old and New Normal. Journal of International Money and Finance, 66, 65-87.
  • Bahmani-Oskooee, M., & Bernstein, D. J. (1999). Exchange Market Pressure During the Current Managed Float. Applied Economics Letters, 6(9), 585-588.
  • Becker, R., Enders, W., Lee, J. (2006). A Stationary Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Bennett, M. A., Borensztein, M. E., & Baliño, M. T. J. (1999). Monetary Policy in Dollarized Economies. International Monetary Fund.
  • Bozoklu, S.,Yilanci, V., & Gorus, M. S. (2020). Persistence in per Capita Energy Consumption: A Fractional Integration Approach with a Fourier Function. Energy Economics, 91, 104926.
  • Burdekin, R. C., & Burkett, P. (1990). A Re-Examination of the Monetary Model of Exchange Market Pressure: Canada, 1963-1988. The Review of Economics and Statistics, 677-681.
  • Caruana, J., (2012). International Monetary Policy Interactions: Challenges and Prospects, Speech to the CEMLA-SEACEN Conference, 16 November.
  • Christopoulos, D. K., & León-Ledesma, M. A. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Christopoulos, D. K.,& Leon-Ledesma, M. A. (2011). International Output Convergence, Breaks, and Asymmetric Adjustment. Studies in Nonlinear Dynamics &Econometrics, 15(3).
  • Connolly, M., & Da Silveira, J. D. (1979). Exchange Market Pressure in Postwar Brazil: An Application of the Girton-Roper Monetary Model. The American Economic Review, 69(3), 448-454.
  • De Nicoló, G., Honohan, P., & Ize, A. (2005). Dollarization of Bank Deposits: Causes and Consequences. Journal of banking & finance, 29(7), 1697-1727.
  • Eichengreen, B., Rose, A. K., & Wyplosz, C. (1995). Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic policy, 10(21), 249-312.
  • Enders, W., & Lee, J. (2004). Testingfor a Unit Root with a Nonlinear Fourier Function. In Econometric Society 2004 Far Eastern Meetings (Vol. 457).
  • Enders, W.,& Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • Enders, W.,& Jones, P. (2016). Grain Prices, Oil Prices and Multiple Smooth Breaks in a VAR. Studies in Nonlinear Dynamics &Econometrics, 20(4), 399-419.
  • Feridun, M. (2012). Liability Dollarization, Exchange Market Pressure and Fear of Floating: Empirical Evidence for Turkey. Applied Economics, 44(8), 1041-1056.
  • Fischer, M. F., Lundgren, C. J., & Jahjah, M. S. (2013). Making Monetary Policy More Affective: The case of the Democratic Republic of the Congo. International Monetary Fund.
  • Girton, L., & Roper, D. (1977). A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. The American Economic Review, 67(4), 537-548.
  • Honig, A. (2009). Dollarization, Exchange Rate Regimes and Government Quality. Journal of International Money and Finance, 28(2), 198-214.
  • Honohan, P. (2007). Dollarization and Exchange Rate Fluctuations. IIIS Discussion Paper No. 201.
  • Ize, A., & Yeyati, E. (2005). Financial Dollarization: Is it for real? IMF Working Paper, No. 187.
  • Kaminsky, G. L., & Reinhart, C. M. (1999). The Twin Crises: The Causes of Banking and Balance of Payments Problems. American Economic Review, 89(3), 473-500.
  • Kim, I. (1985). Exchange Market Pressure in Korean: An Application of the Girton-Roper Monetary Model: note. Journal of Money, Credit and Banking, 17(2), 258-263.
  • Kokenyne, A., Ley, J., & Veyrune, R. (2010). De-dollarization. IMF Working Paper, No. 188.
  • Melvin, M. (1985). The Choice of an Exchange Rate System and Macroeconomic Stability. Journal of Money, Credit and Banking, 17(4), 467-478.
  • Mohanty, M. S. (2014). The Transmission of Unconventional Monetary Policy to the Emerging Markets-An Overview. BIS Paper, (78a).
  • Nazlioglu, S.,Gormus, N. A., & Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Omay, T., (2015). Fractional Frequency Flexible Fourier form to Approximate Smooth Breaks in Unit Root Testing. Econ. Letters. (134), 123–126.
  • Ortiz, G. (1983). Currency Substitution in Mexico: The Dollarization Problem. Journal of Money, Credit and Banking, 15(2), 174-185.
  • Ozcelebi, O. (2019). Assessment of Asymmetric Effects on Exchange Market Pressure: Empirical Evidence from Emerging Countries. The North American Journal of Economics and Finance, 48, 498-513.
  • Park, H., & Son, J. C. (2020). Dollarization, Inflation and Foreign Exchange Markets: A Cross‐Country Analysis. International Journal of Finance & Economics.
  • Pata, U. K.,& Yilanci, V. (2020). Financial Development, Globalization and Ecological Footprint in G7: Further Evidence from Threshold Cointegration and Fractional Frequency Causality tests. Environmental and Ecological Statistics, 27(4), 803-825.
  • Patnaik, I., Felman, J., & Shah, A. (2017). An Exchange Market Pressure Measure for Cross Country Analysis. Journal of International Money and Finance, 73, 62-77.
  • Pinshi, C. P. (2021). Dollarization and Foreign Exchange Reserve: Debate on the Effectiveness of Monetary Policy in Democratic Republic of Congo. Journal of Applied Economic Sciences (JAES), 16(72), 222-227.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Pontines, V., & Siregar, R. (2007). The Yen, the US dollar, and the Trade Weighted Basket of Currencies: Does the Choice of Anchor Currencies Matter in Identifying Incidences of Speculative attacks?. Japan and the World Economy, 19(2), 214-235.
  • Rao, N. H. (2013). Reconsidering Exchange Market Pressure Index in Pakistan. SBP Research Bulletin, 9(1), 102-112.
  • Reinhart, C., Rogoff, K., & Savastano, M. (2003). Addicted to Dollars‟, NBER Working Paper, 10015.
  • Rennhack, R., & Nozaki, M. (2006). Financial Dollarization in Latin America. In Financial Dollarization, (pp. 64-96). Palgrave Macmillan, London.
  • Roper, D. E., & Turnovsky, S. J. (1980). Optimal Exchange Market Intervention in a Simple Stochastic Macro Model. Canadian Journal of Economics, 296-309.
  • Soe, T. T., & Kakinaka, M. (2018). Inflation Targeting and Exchange Market Pressure in Developing Economies: Some International Evidence. Finance Research Letters, 24, 263-272.
  • Takáts, E., & Vela, A. (2014). International Monetary Policy Transmission. BIS paper, (78b).
  • Thornton, J. (1995). Exchange Market Pressure in Costa Rica, 1986–92: An Application of the Girton-Roper model. International Economic Journal, 9(1), 67-72.
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical Inference in Vector Auto Regressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250.
  • Weymark, D. N. (1995). Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada. Journal of International Economics, 39(3-4), 273-295

Döviz Piyasası Baskı Endeksi ve Dolarizasyon Arasındaki İlişki: Türkiye Örneği

Yıl 2022, Cilt 23, Sayı 2, 575 - 584, 19.04.2022
https://doi.org/10.37880/cumuiibf.1065378

Öz

Ulusal para birimi üzerindeki herhangi bir uzun süreli baskı durumu, özellikle dış şoklara eğilimli gelişmekte olan ülke ekonomileri için ciddi sonuçlar doğurabilmektedir. Herhangi bir kriz durumundan kaçınabilmek için bu tür baskıların zamanlamasını ve yoğunluğunu bilmek önem arz etmektedir. Bu kapsamda literatürde özellikle yönetilen dalgalı döviz kuru sistemini takip eden ekonomilerde ulusal para birimi üzerindeki baskıların seviyesini doğru bir şekilde tespit edebilmek amacıyla döviz kurlarındaki, döviz rezervlerindeki ve/veya faiz oranlarındaki değişikliklerin ağırlıklı toplamı ile ölçülen döviz piyasası baskı endeksi kullanılmaktadır. Bu çalışmada ise Türkiye ekonomisinde 2005:12-2021:5 döneminde olası bir döviz krizinin işaretini veren döviz piyasası baskı endeksi ile yabancı paranın hem ödeme aracı hem de değer saklama aracı şeklinde yoğun kullanımı olarak ifade edilen dolarizasyon arasındaki ilişki fourier alanda ile incelenmektedir. Dolarizasyon değişkeni için döviz tevdiat hesaplarının M2 para arzına oranı esas alınmakta, döviz piyasası baskı endeksi için ise literatürde yer alan çalışmalara paralel olarak nominal döviz kuru (Amerikan Doları/Türk Lirası) ve TCMB brüt döviz rezervlerindeki (Milyon Amerikan Doları) değişimin ağırlıklandırılmış toplamı kullanılmaktadır. Söz konusu değişkenlere ait aylık veriler Türkiye Cumhuriyet Merkez Bankası resmi veri tabanından elde edilmiştir. Ampirik analizler neticesinde döviz piyasası baskı endeksi ile dolarizasyon arasında birbirini besleyen bir süreç olduğu sonucuna ulaşılmıştır.

Kaynakça

  • Akram, G. M., & Byrne, J. P. (2015). Foreign Exchange Market Pressure and Capital Controls. Journal of International Financial Markets, Institutions and Money, 37, 42-53.
  • Aizenman, J., & Binici, M. (2016). Exchange Market Pressure in OECD and Emerging Economies: Domestic vs. External Factors and Capital Flows in the Old and New Normal. Journal of International Money and Finance, 66, 65-87.
  • Bahmani-Oskooee, M., & Bernstein, D. J. (1999). Exchange Market Pressure During the Current Managed Float. Applied Economics Letters, 6(9), 585-588.
  • Becker, R., Enders, W., Lee, J. (2006). A Stationary Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Bennett, M. A., Borensztein, M. E., & Baliño, M. T. J. (1999). Monetary Policy in Dollarized Economies. International Monetary Fund.
  • Bozoklu, S.,Yilanci, V., & Gorus, M. S. (2020). Persistence in per Capita Energy Consumption: A Fractional Integration Approach with a Fourier Function. Energy Economics, 91, 104926.
  • Burdekin, R. C., & Burkett, P. (1990). A Re-Examination of the Monetary Model of Exchange Market Pressure: Canada, 1963-1988. The Review of Economics and Statistics, 677-681.
  • Caruana, J., (2012). International Monetary Policy Interactions: Challenges and Prospects, Speech to the CEMLA-SEACEN Conference, 16 November.
  • Christopoulos, D. K., & León-Ledesma, M. A. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Christopoulos, D. K.,& Leon-Ledesma, M. A. (2011). International Output Convergence, Breaks, and Asymmetric Adjustment. Studies in Nonlinear Dynamics &Econometrics, 15(3).
  • Connolly, M., & Da Silveira, J. D. (1979). Exchange Market Pressure in Postwar Brazil: An Application of the Girton-Roper Monetary Model. The American Economic Review, 69(3), 448-454.
  • De Nicoló, G., Honohan, P., & Ize, A. (2005). Dollarization of Bank Deposits: Causes and Consequences. Journal of banking & finance, 29(7), 1697-1727.
  • Eichengreen, B., Rose, A. K., & Wyplosz, C. (1995). Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic policy, 10(21), 249-312.
  • Enders, W., & Lee, J. (2004). Testingfor a Unit Root with a Nonlinear Fourier Function. In Econometric Society 2004 Far Eastern Meetings (Vol. 457).
  • Enders, W.,& Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • Enders, W.,& Jones, P. (2016). Grain Prices, Oil Prices and Multiple Smooth Breaks in a VAR. Studies in Nonlinear Dynamics &Econometrics, 20(4), 399-419.
  • Feridun, M. (2012). Liability Dollarization, Exchange Market Pressure and Fear of Floating: Empirical Evidence for Turkey. Applied Economics, 44(8), 1041-1056.
  • Fischer, M. F., Lundgren, C. J., & Jahjah, M. S. (2013). Making Monetary Policy More Affective: The case of the Democratic Republic of the Congo. International Monetary Fund.
  • Girton, L., & Roper, D. (1977). A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. The American Economic Review, 67(4), 537-548.
  • Honig, A. (2009). Dollarization, Exchange Rate Regimes and Government Quality. Journal of International Money and Finance, 28(2), 198-214.
  • Honohan, P. (2007). Dollarization and Exchange Rate Fluctuations. IIIS Discussion Paper No. 201.
  • Ize, A., & Yeyati, E. (2005). Financial Dollarization: Is it for real? IMF Working Paper, No. 187.
  • Kaminsky, G. L., & Reinhart, C. M. (1999). The Twin Crises: The Causes of Banking and Balance of Payments Problems. American Economic Review, 89(3), 473-500.
  • Kim, I. (1985). Exchange Market Pressure in Korean: An Application of the Girton-Roper Monetary Model: note. Journal of Money, Credit and Banking, 17(2), 258-263.
  • Kokenyne, A., Ley, J., & Veyrune, R. (2010). De-dollarization. IMF Working Paper, No. 188.
  • Melvin, M. (1985). The Choice of an Exchange Rate System and Macroeconomic Stability. Journal of Money, Credit and Banking, 17(4), 467-478.
  • Mohanty, M. S. (2014). The Transmission of Unconventional Monetary Policy to the Emerging Markets-An Overview. BIS Paper, (78a).
  • Nazlioglu, S.,Gormus, N. A., & Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Omay, T., (2015). Fractional Frequency Flexible Fourier form to Approximate Smooth Breaks in Unit Root Testing. Econ. Letters. (134), 123–126.
  • Ortiz, G. (1983). Currency Substitution in Mexico: The Dollarization Problem. Journal of Money, Credit and Banking, 15(2), 174-185.
  • Ozcelebi, O. (2019). Assessment of Asymmetric Effects on Exchange Market Pressure: Empirical Evidence from Emerging Countries. The North American Journal of Economics and Finance, 48, 498-513.
  • Park, H., & Son, J. C. (2020). Dollarization, Inflation and Foreign Exchange Markets: A Cross‐Country Analysis. International Journal of Finance & Economics.
  • Pata, U. K.,& Yilanci, V. (2020). Financial Development, Globalization and Ecological Footprint in G7: Further Evidence from Threshold Cointegration and Fractional Frequency Causality tests. Environmental and Ecological Statistics, 27(4), 803-825.
  • Patnaik, I., Felman, J., & Shah, A. (2017). An Exchange Market Pressure Measure for Cross Country Analysis. Journal of International Money and Finance, 73, 62-77.
  • Pinshi, C. P. (2021). Dollarization and Foreign Exchange Reserve: Debate on the Effectiveness of Monetary Policy in Democratic Republic of Congo. Journal of Applied Economic Sciences (JAES), 16(72), 222-227.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Pontines, V., & Siregar, R. (2007). The Yen, the US dollar, and the Trade Weighted Basket of Currencies: Does the Choice of Anchor Currencies Matter in Identifying Incidences of Speculative attacks?. Japan and the World Economy, 19(2), 214-235.
  • Rao, N. H. (2013). Reconsidering Exchange Market Pressure Index in Pakistan. SBP Research Bulletin, 9(1), 102-112.
  • Reinhart, C., Rogoff, K., & Savastano, M. (2003). Addicted to Dollars‟, NBER Working Paper, 10015.
  • Rennhack, R., & Nozaki, M. (2006). Financial Dollarization in Latin America. In Financial Dollarization, (pp. 64-96). Palgrave Macmillan, London.
  • Roper, D. E., & Turnovsky, S. J. (1980). Optimal Exchange Market Intervention in a Simple Stochastic Macro Model. Canadian Journal of Economics, 296-309.
  • Soe, T. T., & Kakinaka, M. (2018). Inflation Targeting and Exchange Market Pressure in Developing Economies: Some International Evidence. Finance Research Letters, 24, 263-272.
  • Takáts, E., & Vela, A. (2014). International Monetary Policy Transmission. BIS paper, (78b).
  • Thornton, J. (1995). Exchange Market Pressure in Costa Rica, 1986–92: An Application of the Girton-Roper model. International Economic Journal, 9(1), 67-72.
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical Inference in Vector Auto Regressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250.
  • Weymark, D. N. (1995). Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada. Journal of International Economics, 39(3-4), 273-295

Ayrıntılar

Birincil Dil Türkçe
Konular İktisat
Bölüm Makaleler
Yazarlar

Gökhan KONAT
BOLU ABANT İZZET BAYSAL ÜNİVERSİTESİ
0000-0002-0964-7893
Türkiye


Şebnem TAŞ (Sorumlu Yazar)
FIRAT ÜNİVERSİTESİ
0000-0002-7303-3407
Türkiye


Tayfur BAYAT
İNÖNÜ ÜNİVERSİTESİ
0000-0002-4427-0999
Türkiye

Erken Görünüm Tarihi 15 Nisan 2022
Yayımlanma Tarihi 19 Nisan 2022
Başvuru Tarihi 30 Ocak 2022
Kabul Tarihi 8 Şubat 2022
Yayınlandığı Sayı Yıl 2022, Cilt 23, Sayı 2

Kaynak Göster

APA Konat, G. , Taş, Ş. & Bayat, T. (2022). Döviz Piyasası Baskı Endeksi ve Dolarizasyon Arasındaki İlişki: Türkiye Örneği . Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi , 23 (2) , 575-584 . DOI: 10.37880/cumuiibf.1065378

İrtibat
Sivas Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi,
Sivas Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dekanlığı
58140 Kampüs-SİVAS.

Tel: 0346 2191010-1710

Fax: 0346 2191202

E-Mail: iibfdergi@cumhuriyet.edu.tr