Research Article
BibTex RIS Cite

Analysis of the Factors Affecting the Gross Foreign Exchange Reserve Adequacy of the Central Bank of the Republic of Turkey with Logit and Probit Methods

Year 2022, Volume: 6 Issue: 1, 54 - 68, 12.04.2022

Abstract

Çalışmada Türkiye Cumhuriyeti Merkez Bankasının (TCMB) Brüt Döviz Rezervlerinin, İMF`ın önerdiği optimum rezerv oranlarına göre yeterliliği incelenmiştir. Bu amaçla ilk önce optimal rezerv büyüklükleri olan toplam rezervlerin M2 parasal büyüklüğünün %25`ne, 3 aylık ithalat verilerinin %20`ne ve kısa vadeli dış borç hacmine olan oranları ele alınmıştır. Elde edilen bulgulara göre, ulusal rezervlerin ithalatı ve kısa vadeli dış borçları karşılama oranları önerilen optimum düzeyin altında değerler aldığı için, çalışmanın ampirik bölümünde rezervlerin M2 parasal büyüklüğüne oranı optimum rezerv seviyesi olarak seçilmiştir. Logit ve Probit yöntemleri ile çözümlenen modelde, 2013 yılının ocak ve 2021 yılının haziran ayları arasındaki peryodu kapsayan aylık veriler ile optimum döviz rezervi eşik değerine etki eden makro iktisadi faktörler araştırılmıştır. Bulgulara göre, enflasyonda ve kısa vadeli dış borç hacminde yaşanan artışlar, döviz rezervlerinin optimum rezerv oranının altına düşmesi olasılığını artırmaktadır.

References

  • AHSAN, Amirul; SKULLY, Michael T.; WICKRAMANAYAKE, Jayasinghe. Determinants of central bank independence and governance: Problems and policy implications. Journal of administration and governance, 2006, 1: 47-67.
  • AKKAYA, Murat; KANTAR, Lokman. FİNANSAL KRİZLERİN TAHMİNİNDE ÖNCÜ GÖSTERGELERİN LOGİT-PROBİT MODEL İLE ANALİZİ: TÜRKİYE UYGULAMASI. Uluslararası Yönetim İktisat ve İşletme Dergisi, 2018, 14.3: 575-590.
  • BAERISWYL, Romain, et al. The Dynamics of Bank Rates in a Negative-rate Environment: The Swiss Case. Swiss National Bank, 2021.
  • BIERENS, Herman J. Introduction to the mathematical and statistical foundations of econometrics. Cambridge University Press, 2004.
  • BIRD, Graham; RAJAN, Ramkishen. Too much of a good thing? The adequacy of international reserves in the aftermath of crises. World Economy, 2003, 26.6: 873-891.
  • CALOMIRIS, Charles W. When Will Economics Guide, IMF and World Bank Reforms. Cato J., 2000, 20: 85.
  • CEBECI, İpek. KRİZLERİ İNCELEMEDE KULLANILAN NİTEL TERCİH MODELLERİ: TÜRKİYE İÇİN BİR PROBİT MODEL UYGULAMASI:(1988-2009). İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 2012, 62.1: 127-146.
  • CÉSPEDES, Luis Felipe; CHANG, Roberto. Optimal foreign reserves and central bank policy under financial stress. National Bureau of Economic Research, 2020.
  • CÉSPEDES, Luis Felipe; CHANG, Roberto; VELASCO, Andrés. Is inflation targeting still on target? The recent experience of Latin America. International Finance, 2014, 17.2: 185-208.
  • CHOWDHURY, Md Niaz Murshed; UDDIN, Mohammed Jashim; ISLAM, Mohammad Saiful. An econometric analysis of the determinants of foreign exchange reserves in Bangladesh. Journal of World Economic Research, 2014, 3.6: 72-82.
  • CINEL, Emek Aslı, et al. Merkez Bankası döviz rezervlerinin belirleyicileri: Türkiye örneği. Ekonomik Yaklasim, 2014, 25.93: 21-38.
  • CİNEL, Emek. Türkiye’de Döviz Rezervleri Yeterli mi?. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2015, 7.12: 131-144.
  • Demirci, S., & Astar, M. (2011). Türkiye’de Özel Sigortayi Etkileyen Faktörler: Logit Modeli. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 119-129.
  • DORRUCCI, Ettore, et al. The accumulation of foreign reserves. European Central Bank, 2006.
  • FRENKEL, Jacob A.; JOVANOVIC, Boyan. Optimal international reserves: a stochastic framework. the economic Journal, 1981, 91.362: 507-514.
  • GHOSH, Amit. What drives gold demand in central bank's foreign exchange reserve portfolio?. Finance Research Letters, 2016, 17: 146-150.
  • GOGUL, Pelin. MERKEZ BANKASI DÖVİZ REZERVİ VE CARİ AÇIK İLİŞKİSİ ÜZERİNE AMPİRİK BİR UYGULAMA 1995-2019. Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25: 238-249.
  • GOSSELIN, Marc-André; PARENT, Nicolas. An empirical analysis of foreign exchange reserves in emerging Asia. Bank of Canada, 2005.
  • GUMUS, Inci. The relationship between sovereign spreads and international reserves: does the exchange rate regime matter?. Emerging Markets Finance and Trade, 2016, 52.3: 658-673.
  • GÜRIŞ, S.; ÇAĞLAYAN, Ebru; ÜN, T. Estimating of probability of homeownership in rural and urban areas: Logit, probit and gompit model. European Journal of Social Sciences, 2011, 21.3: 405-411.
  • HELLER, Heinz Robert. Optimal international reserves. The Economic Journal, 1966, 76.302: 296-311.
  • HOPFIELD, John J. Artificial neural networks. IEEE Circuits and Devices Magazine, 1988, 4.5: 3-10.
  • IREFIN, David; YAABA, Baba N. Determinants of foreign reserves in Nigeria: An autoregressive distributed lag approach. CBN Journal of Applied Statistics, 2011, 2.2: 63-82.
  • JEANNE, Olivier; RANCIERE, Romain. The optimal level of international reserves for emerging market countries: A new formula and some applications. The Economic Journal, 2011, 121.555: 905-930.
  • JO, Gab‐Je. Analysis of international reserve hoarding in Korea. Pacific Economic Review, 2011, 16.2: 154-167.
  • KARFAKIS, Costas. The demand for international liquidity: a cointegration approach. Applied Financial Economics, 1997, 7.6: 673-678.
  • KARTAL, Mustafa Tevfik; TAN, Ömer Faruk. A Recommendation for Strengthening Reserves of the Central Bank of The Republic of Turkey (CBRT): Reserve Tax To Financial Intermediaries. In: İstanbul Finance Congress. 2018. p. 2018.
  • KASMAN, Adnan; AYHAN, Duygu. Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 2008, 25.1: 83-92.
  • KELLY, Michael G. The demand for international reserves. The American Economic Review, 1970, 60.4: 655-667.
  • MACHLUP, Fritz. The need for monetary reserves. PSL Quarterly Review, 1966, 19.78.
  • MAHRADDIKA, Wishnu. Does international reserve accumulation crowd out domestic private investment?. International Economics, 2019, 158: 39-50.
  • MINJIE, Ma; DEGONG, Ma. The Effect of Export Rebate on RMB Exchange Rate and Foreign Exchange Reserves——Based on the Data from 1996 to 2014. Journal of Sichuan University (Philosophy and Social Science Edition), 2016, 1.9.
  • PANDA, Devi Prasad; TRIVEDI, Pushpa. Macroeconomic Determinants of India's Foreign Exchange Reserves: An Empirical Analysis. IUP Journal of Applied Economics, 2016, 15.4: 31.
  • RODRIK, Dani. The social cost of foreign exchange reserves. International Economic Journal, 2006, 20.3: 253-266.
  • ROMERO, Ana María. Comparative Study: Factors that Affect Foreign Cllrrency Reserves in China and India. 2005.
  • SENIBI, Victoria, et al. Public Debt and External Reserve: The Nigerian Experience (1981–2013). Economics Research International, 2016, 2016.
  • SHCHERBAKOV, S. G. Foreign reserve adequacy: case of Russia. In: Fifteenth Meeting of the IMF Committee on Balance of Payments Statistics, Australia. 2002.
  • SOTO, Claudio; GARCÍA, Pablo. Large Hoardings of International Reserves: Are They Worth It?. Documentos de Trabajo (Banco Central de Chile), 2004, 299: 1.
  • SULA, Ozan. Demand for international reserves in developing nations: A quantile regression approach. Journal of International Money and Finance, 2011, 30.5: 764-777.
  • USLU , Hüseyin,. Logit-Probit Modeli Yardımıyla Türkiye’de Cari Açık Kaynaklı Kriz Riskini Etkileyen Faktörlerin Belirlenmesi. Uluslararası Ekonomi ve Yenilik Dergisi, 2019, 5.2: 153-178.
  • YEGNANARAYANA, Bayya. Artificial neural networks. PHI Learning Pvt. Ltd., 2009.
  • YUKSEL, Serhat; ÖZSARI, Mustafa. Türkiye’nin kredi notunu etkileyen faktörlerin Mars yöntemi ile belirlenmesi. Politik Ekonomik Kuram, 2017, 1.2: 16-31.
Year 2022, Volume: 6 Issue: 1, 54 - 68, 12.04.2022

Abstract

References

  • AHSAN, Amirul; SKULLY, Michael T.; WICKRAMANAYAKE, Jayasinghe. Determinants of central bank independence and governance: Problems and policy implications. Journal of administration and governance, 2006, 1: 47-67.
  • AKKAYA, Murat; KANTAR, Lokman. FİNANSAL KRİZLERİN TAHMİNİNDE ÖNCÜ GÖSTERGELERİN LOGİT-PROBİT MODEL İLE ANALİZİ: TÜRKİYE UYGULAMASI. Uluslararası Yönetim İktisat ve İşletme Dergisi, 2018, 14.3: 575-590.
  • BAERISWYL, Romain, et al. The Dynamics of Bank Rates in a Negative-rate Environment: The Swiss Case. Swiss National Bank, 2021.
  • BIERENS, Herman J. Introduction to the mathematical and statistical foundations of econometrics. Cambridge University Press, 2004.
  • BIRD, Graham; RAJAN, Ramkishen. Too much of a good thing? The adequacy of international reserves in the aftermath of crises. World Economy, 2003, 26.6: 873-891.
  • CALOMIRIS, Charles W. When Will Economics Guide, IMF and World Bank Reforms. Cato J., 2000, 20: 85.
  • CEBECI, İpek. KRİZLERİ İNCELEMEDE KULLANILAN NİTEL TERCİH MODELLERİ: TÜRKİYE İÇİN BİR PROBİT MODEL UYGULAMASI:(1988-2009). İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 2012, 62.1: 127-146.
  • CÉSPEDES, Luis Felipe; CHANG, Roberto. Optimal foreign reserves and central bank policy under financial stress. National Bureau of Economic Research, 2020.
  • CÉSPEDES, Luis Felipe; CHANG, Roberto; VELASCO, Andrés. Is inflation targeting still on target? The recent experience of Latin America. International Finance, 2014, 17.2: 185-208.
  • CHOWDHURY, Md Niaz Murshed; UDDIN, Mohammed Jashim; ISLAM, Mohammad Saiful. An econometric analysis of the determinants of foreign exchange reserves in Bangladesh. Journal of World Economic Research, 2014, 3.6: 72-82.
  • CINEL, Emek Aslı, et al. Merkez Bankası döviz rezervlerinin belirleyicileri: Türkiye örneği. Ekonomik Yaklasim, 2014, 25.93: 21-38.
  • CİNEL, Emek. Türkiye’de Döviz Rezervleri Yeterli mi?. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2015, 7.12: 131-144.
  • Demirci, S., & Astar, M. (2011). Türkiye’de Özel Sigortayi Etkileyen Faktörler: Logit Modeli. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 119-129.
  • DORRUCCI, Ettore, et al. The accumulation of foreign reserves. European Central Bank, 2006.
  • FRENKEL, Jacob A.; JOVANOVIC, Boyan. Optimal international reserves: a stochastic framework. the economic Journal, 1981, 91.362: 507-514.
  • GHOSH, Amit. What drives gold demand in central bank's foreign exchange reserve portfolio?. Finance Research Letters, 2016, 17: 146-150.
  • GOGUL, Pelin. MERKEZ BANKASI DÖVİZ REZERVİ VE CARİ AÇIK İLİŞKİSİ ÜZERİNE AMPİRİK BİR UYGULAMA 1995-2019. Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25: 238-249.
  • GOSSELIN, Marc-André; PARENT, Nicolas. An empirical analysis of foreign exchange reserves in emerging Asia. Bank of Canada, 2005.
  • GUMUS, Inci. The relationship between sovereign spreads and international reserves: does the exchange rate regime matter?. Emerging Markets Finance and Trade, 2016, 52.3: 658-673.
  • GÜRIŞ, S.; ÇAĞLAYAN, Ebru; ÜN, T. Estimating of probability of homeownership in rural and urban areas: Logit, probit and gompit model. European Journal of Social Sciences, 2011, 21.3: 405-411.
  • HELLER, Heinz Robert. Optimal international reserves. The Economic Journal, 1966, 76.302: 296-311.
  • HOPFIELD, John J. Artificial neural networks. IEEE Circuits and Devices Magazine, 1988, 4.5: 3-10.
  • IREFIN, David; YAABA, Baba N. Determinants of foreign reserves in Nigeria: An autoregressive distributed lag approach. CBN Journal of Applied Statistics, 2011, 2.2: 63-82.
  • JEANNE, Olivier; RANCIERE, Romain. The optimal level of international reserves for emerging market countries: A new formula and some applications. The Economic Journal, 2011, 121.555: 905-930.
  • JO, Gab‐Je. Analysis of international reserve hoarding in Korea. Pacific Economic Review, 2011, 16.2: 154-167.
  • KARFAKIS, Costas. The demand for international liquidity: a cointegration approach. Applied Financial Economics, 1997, 7.6: 673-678.
  • KARTAL, Mustafa Tevfik; TAN, Ömer Faruk. A Recommendation for Strengthening Reserves of the Central Bank of The Republic of Turkey (CBRT): Reserve Tax To Financial Intermediaries. In: İstanbul Finance Congress. 2018. p. 2018.
  • KASMAN, Adnan; AYHAN, Duygu. Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 2008, 25.1: 83-92.
  • KELLY, Michael G. The demand for international reserves. The American Economic Review, 1970, 60.4: 655-667.
  • MACHLUP, Fritz. The need for monetary reserves. PSL Quarterly Review, 1966, 19.78.
  • MAHRADDIKA, Wishnu. Does international reserve accumulation crowd out domestic private investment?. International Economics, 2019, 158: 39-50.
  • MINJIE, Ma; DEGONG, Ma. The Effect of Export Rebate on RMB Exchange Rate and Foreign Exchange Reserves——Based on the Data from 1996 to 2014. Journal of Sichuan University (Philosophy and Social Science Edition), 2016, 1.9.
  • PANDA, Devi Prasad; TRIVEDI, Pushpa. Macroeconomic Determinants of India's Foreign Exchange Reserves: An Empirical Analysis. IUP Journal of Applied Economics, 2016, 15.4: 31.
  • RODRIK, Dani. The social cost of foreign exchange reserves. International Economic Journal, 2006, 20.3: 253-266.
  • ROMERO, Ana María. Comparative Study: Factors that Affect Foreign Cllrrency Reserves in China and India. 2005.
  • SENIBI, Victoria, et al. Public Debt and External Reserve: The Nigerian Experience (1981–2013). Economics Research International, 2016, 2016.
  • SHCHERBAKOV, S. G. Foreign reserve adequacy: case of Russia. In: Fifteenth Meeting of the IMF Committee on Balance of Payments Statistics, Australia. 2002.
  • SOTO, Claudio; GARCÍA, Pablo. Large Hoardings of International Reserves: Are They Worth It?. Documentos de Trabajo (Banco Central de Chile), 2004, 299: 1.
  • SULA, Ozan. Demand for international reserves in developing nations: A quantile regression approach. Journal of International Money and Finance, 2011, 30.5: 764-777.
  • USLU , Hüseyin,. Logit-Probit Modeli Yardımıyla Türkiye’de Cari Açık Kaynaklı Kriz Riskini Etkileyen Faktörlerin Belirlenmesi. Uluslararası Ekonomi ve Yenilik Dergisi, 2019, 5.2: 153-178.
  • YEGNANARAYANA, Bayya. Artificial neural networks. PHI Learning Pvt. Ltd., 2009.
  • YUKSEL, Serhat; ÖZSARI, Mustafa. Türkiye’nin kredi notunu etkileyen faktörlerin Mars yöntemi ile belirlenmesi. Politik Ekonomik Kuram, 2017, 1.2: 16-31.
There are 42 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Cavid Süleymanlı 0000-0003-2381-4085

Publication Date April 12, 2022
Published in Issue Year 2022 Volume: 6 Issue: 1

Cite

APA Süleymanlı, C. (2022). Analysis of the Factors Affecting the Gross Foreign Exchange Reserve Adequacy of the Central Bank of the Republic of Turkey with Logit and Probit Methods. Anadolu İktisat Ve İşletme Dergisi, 6(1), 54-68.