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SURVOL DE LA LITTÉRATURE SUR LES MODÈLES DE TAUX DE CHANGE D’ÉQUILIBRE: ASPECTS THÉORIQUES ET DISCUSSIONS COMPARATIVES

Year 2011, Volume: 66 Issue: 04, 125 - 152, 01.04.2011
https://doi.org/10.1501/SBFder_0000002234

Abstract

References

  • Alberola, E., Susana, C., Humberto, L. et Ubide, A. (1999), “Global Equilibrium Exchange Rates: Euro, Dollar, „Ins‟, „Outs‟, and Other Major Currencies in a Panel Cointegration Framework,” IMF Working Paper 99/175.
  • Allen R. P. (1995), “The Economic and Policy Implications of the NATREX Approach”; Stein J. et Allen P. R. (eds.), Fundamental Determinants of Exchange Rates (Oxford, Oxford University Press).
  • Artis, M. J. et Taylor, M. P. (1993), “DEER Hunting: Misalignment, Debt Accumulation and Desired Equilibrium Exchange Rates” IMF Working Paper : 1-36.
  • Balassa, B. (1964), "The Purchasing Power Parity Doctrine: A Reappraisal" Journal of Political Economy, 72 (6) : 584-596.
  • Barisone, G., Driver, R. L. et Wren-Lewis, S. (2006), "Are our FEERs Justified?," Journal of International Money and Finance, 25 (5) : 741-759,
  • Bayoumi T., Clark, P., Symansky. S. et Taylor, M. (1994), “The Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies”.
  • Williamson J. (eds.), Estimating Equilibrium Exchange Rates. (Washington, Institute for International Economics.).
  • Borowski, D. et Couharde, C. (1999), “Quelle Parite d‟Equilibre pour l‟Euro? ” Economie Internationale, 21–44.
  • Bouveret, A. et Sterdyniak H. (2005), "Les Modèles de Taux de Change d‟Equilibre de Long Terme, Dynamique et Hystérèse." Revue de l'OFCE, 93: 245-286.
  • Cassel, G. (1916), “The Present Situation of the Foreign Exchange”. Economic Journal 26: 62–75.
  • Clark, P. B., Bartolini, L., Bayoumi, T. et Symansky, S., (1994), “Exchange Rates and Economic Fundamentals: a Framework for Analysis,” IMF Occasional Paper, 115.
  • Clark, P.B. et R. MacDonald, (1999), “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs” MacDonald R. and Stein J (eds.) Equilibrium Exchange Rates, (Amsterdam, Kluwer).
  • Clark, P.B. et MacDonald, R. (2000), “Filtering the BEER: A Permanent and Transitory Decomposition”, IMF Working Paper, 00 (144).
  • Driver, R. et Westaway, P. F. (2005), “Concepts of Equilibrium Exchange Rates”. Bank of England, Working paper, 248, 1–64.
  • Dufrenot G., Mathieu, L., Mignon, V. et Péguin-Feissolle, A. (2006),”Persistent Misalignments of the European Exchange Rates: Some Evidence from Nonlinear Cointegration”, Applied Economics, 38(2): 203-229.
  • Faruqee, H. (1994), "Long-Run Determinants of the Real Exchange Rate - A Stock-Flow Perspective," IMF Working Papers 94/90.
  • Fernandez, F., Osbat, C. et Schnatz, B. (2001), “Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach.” European Central Bank Working Paper.
  • Féroldi, M. et Sterdyniak, H. (1984), "De la Dynamique du Taux de Change: Variations sur un Theme de Dornbusch." Document de Travail de l'OFCE, 84 (10).
  • Gonzalo, J. et Granger, C. W. (1995), “Estimation of Common Long-Memory Components in Cointegrated Systems” Journal of Business Economics and Statistics, 13 : 27-35.
  • Houthakker, H.S. et Magee, S.P. (1969), “Income and Price Elasticities in World Trade” Review of Economics and Statistics, 51: 111-125.
  • Isard, P. et Faruqee, H. (1998), “Exchange Rate Assessment – Extensions of the Macroeconomic Balance Approach”, IMF Occasional Paper, 167.
  • Krugman P. (1989), "Differences in Income Elasticities and Trends in Real Exchange Rates," NBER Working Papers 27 (61).
  • MacDonald, R. (1997), “What Determines Real Exchange Rates? The Long and Short of It,” IMF Working Paper, 97 (21).
  • MacDonald, R. (2000), “Concepts to Calculate Equilibrium Exchange Rates: An Overview,” Discussion Paper 3/00, Economic Research Group of the Deutsche Bundesbank.
  • Meese, R.A. et Rogoff, K. (1988), ”What is Real ? The Exchange Rate – Interest Differential Relation over the Modern Floating Rate Period”, Journal of Finance 42 (4): 933-947.
  • Prat, G. et Uctum, R. (2007), "Switching between Expectation Processes in the Foreign Exchange Market: a Probabilistic Approach using Survey Data," Review of International Economics, Blackwell Publishing, 15 (4) : 700-719.
  • Siregar, R. et Rajan R. (2006), "Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature," Centre for International Economic Studies Working Papers 2006-04, University of Adelaide, Centre for International Economic Studies.
  • Stein, J. L. (1994), “The Natural Real Exchange Rate of the Us-Dollar and Determinants of Capital Flows”, Williamson J. (eds.), Estimating Equilibrium Exchange Rates, Washington, D.C., 133-176.
  • Stein, J. L. et Allen, P. R. (1995), Fundamental Determinants of Exchange Rates, Clarendon Press.
  • Stein, J. L. (2002), “The Equilibrium Real Exchange Rate of the Euro: An Evaluation of Research,” IFO Studien, 48 (3) : 349–81.
  • Usupbeyli, A. (2010) “Taux de Change Réels d‟Equilibre et Dynamiques d‟Ajustement Nonlinéaires : Une Application aux Données de la Turquie”, Thèse de Doctorat.
  • Williamson, J. (1985), “The Exchange Rate System”, Policy Analyses in International Economics, vol. 5, Institute for International Economics, Washington D.C.
  • Williamson, J. (1994), “Estimates of FEERs”, Williamson J. (eds), Estimating Equilibrium Exchange Rates, Washington, D.C., 177-244.
  • Williamson, J. et Miller, M. (1987), “Targets and Indicators: A Blueprint for the International Coordination of Economic Policy”, Institute for International Economics, Washington DC: Policy Analyses in International Economics, No. 22.
  • Wren-Lewis, S., Westaway, P., Soteri, S. et Barrell, R. (1991), “Evaluating the UK‟s Choice of Entry Rate into the ERM”, Manchester School, 59: 1-22.
  • Wren-Lewis, S. (1992), “On the Analytical Foundations of the Fundamental Equilibrium Exchange Rate,” Hargreaves C. P. (eds.), Macroeconomic Modelling of the Long Run, (Alderhsot, Edward Elgar):75-94.
  • Wren-Lewis, S. et Driver, R. L. (1998), „Real Exchange Rates for the Year 2000‟, Institute for International Economics, Washington DC: Policy Analyses in International Economics,54.

Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma

Year 2011, Volume: 66 Issue: 04, 125 - 152, 01.04.2011
https://doi.org/10.1501/SBFder_0000002234

Abstract

Reel döviz kurunun denge düzeyinden sapması, bir ülkenin rekabet gücündeki kayıpların, kaynakların sektörler arasında dengesiz dağılımının, döviz krizlerinin ve küresel makroekonomik dengesizliklerin en önemli nedenleri arasında kabul edilmektedir. Bu sebeple bir denge döviz kuru belirlemek ve hesaplamak makroekonominin önemli konularından biri haline gelmiştir. Denge döviz kuru üzerine olan en son çalışmaların satın alma gücü paritesinin denge döviz kurunu belirlemek için uygun bir yöntem olmadığını göstermesi nedeniyle, birçok iktisatçı dikkatlerini döviz kurunun reel belirleyenlerinin açıkça ortaya konduğu denge döviz kuru modellerine çevirmişlerdir. Bu makalenin amacı, en sık kullanılan teorik ve ampirik denge döviz kuru modellerine eleştirel bir bakış sunmaktır. İlk olarak bu modellerin temel kavramlarını, varsayımlarını ve analitik temellerini incelenmektedir. Makalenin sonunda ise, her modelin güçlü ve zayıf yönlerinin tartışılması üzerinde durulacaktır

References

  • Alberola, E., Susana, C., Humberto, L. et Ubide, A. (1999), “Global Equilibrium Exchange Rates: Euro, Dollar, „Ins‟, „Outs‟, and Other Major Currencies in a Panel Cointegration Framework,” IMF Working Paper 99/175.
  • Allen R. P. (1995), “The Economic and Policy Implications of the NATREX Approach”; Stein J. et Allen P. R. (eds.), Fundamental Determinants of Exchange Rates (Oxford, Oxford University Press).
  • Artis, M. J. et Taylor, M. P. (1993), “DEER Hunting: Misalignment, Debt Accumulation and Desired Equilibrium Exchange Rates” IMF Working Paper : 1-36.
  • Balassa, B. (1964), "The Purchasing Power Parity Doctrine: A Reappraisal" Journal of Political Economy, 72 (6) : 584-596.
  • Barisone, G., Driver, R. L. et Wren-Lewis, S. (2006), "Are our FEERs Justified?," Journal of International Money and Finance, 25 (5) : 741-759,
  • Bayoumi T., Clark, P., Symansky. S. et Taylor, M. (1994), “The Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies”.
  • Williamson J. (eds.), Estimating Equilibrium Exchange Rates. (Washington, Institute for International Economics.).
  • Borowski, D. et Couharde, C. (1999), “Quelle Parite d‟Equilibre pour l‟Euro? ” Economie Internationale, 21–44.
  • Bouveret, A. et Sterdyniak H. (2005), "Les Modèles de Taux de Change d‟Equilibre de Long Terme, Dynamique et Hystérèse." Revue de l'OFCE, 93: 245-286.
  • Cassel, G. (1916), “The Present Situation of the Foreign Exchange”. Economic Journal 26: 62–75.
  • Clark, P. B., Bartolini, L., Bayoumi, T. et Symansky, S., (1994), “Exchange Rates and Economic Fundamentals: a Framework for Analysis,” IMF Occasional Paper, 115.
  • Clark, P.B. et R. MacDonald, (1999), “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs” MacDonald R. and Stein J (eds.) Equilibrium Exchange Rates, (Amsterdam, Kluwer).
  • Clark, P.B. et MacDonald, R. (2000), “Filtering the BEER: A Permanent and Transitory Decomposition”, IMF Working Paper, 00 (144).
  • Driver, R. et Westaway, P. F. (2005), “Concepts of Equilibrium Exchange Rates”. Bank of England, Working paper, 248, 1–64.
  • Dufrenot G., Mathieu, L., Mignon, V. et Péguin-Feissolle, A. (2006),”Persistent Misalignments of the European Exchange Rates: Some Evidence from Nonlinear Cointegration”, Applied Economics, 38(2): 203-229.
  • Faruqee, H. (1994), "Long-Run Determinants of the Real Exchange Rate - A Stock-Flow Perspective," IMF Working Papers 94/90.
  • Fernandez, F., Osbat, C. et Schnatz, B. (2001), “Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach.” European Central Bank Working Paper.
  • Féroldi, M. et Sterdyniak, H. (1984), "De la Dynamique du Taux de Change: Variations sur un Theme de Dornbusch." Document de Travail de l'OFCE, 84 (10).
  • Gonzalo, J. et Granger, C. W. (1995), “Estimation of Common Long-Memory Components in Cointegrated Systems” Journal of Business Economics and Statistics, 13 : 27-35.
  • Houthakker, H.S. et Magee, S.P. (1969), “Income and Price Elasticities in World Trade” Review of Economics and Statistics, 51: 111-125.
  • Isard, P. et Faruqee, H. (1998), “Exchange Rate Assessment – Extensions of the Macroeconomic Balance Approach”, IMF Occasional Paper, 167.
  • Krugman P. (1989), "Differences in Income Elasticities and Trends in Real Exchange Rates," NBER Working Papers 27 (61).
  • MacDonald, R. (1997), “What Determines Real Exchange Rates? The Long and Short of It,” IMF Working Paper, 97 (21).
  • MacDonald, R. (2000), “Concepts to Calculate Equilibrium Exchange Rates: An Overview,” Discussion Paper 3/00, Economic Research Group of the Deutsche Bundesbank.
  • Meese, R.A. et Rogoff, K. (1988), ”What is Real ? The Exchange Rate – Interest Differential Relation over the Modern Floating Rate Period”, Journal of Finance 42 (4): 933-947.
  • Prat, G. et Uctum, R. (2007), "Switching between Expectation Processes in the Foreign Exchange Market: a Probabilistic Approach using Survey Data," Review of International Economics, Blackwell Publishing, 15 (4) : 700-719.
  • Siregar, R. et Rajan R. (2006), "Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature," Centre for International Economic Studies Working Papers 2006-04, University of Adelaide, Centre for International Economic Studies.
  • Stein, J. L. (1994), “The Natural Real Exchange Rate of the Us-Dollar and Determinants of Capital Flows”, Williamson J. (eds.), Estimating Equilibrium Exchange Rates, Washington, D.C., 133-176.
  • Stein, J. L. et Allen, P. R. (1995), Fundamental Determinants of Exchange Rates, Clarendon Press.
  • Stein, J. L. (2002), “The Equilibrium Real Exchange Rate of the Euro: An Evaluation of Research,” IFO Studien, 48 (3) : 349–81.
  • Usupbeyli, A. (2010) “Taux de Change Réels d‟Equilibre et Dynamiques d‟Ajustement Nonlinéaires : Une Application aux Données de la Turquie”, Thèse de Doctorat.
  • Williamson, J. (1985), “The Exchange Rate System”, Policy Analyses in International Economics, vol. 5, Institute for International Economics, Washington D.C.
  • Williamson, J. (1994), “Estimates of FEERs”, Williamson J. (eds), Estimating Equilibrium Exchange Rates, Washington, D.C., 177-244.
  • Williamson, J. et Miller, M. (1987), “Targets and Indicators: A Blueprint for the International Coordination of Economic Policy”, Institute for International Economics, Washington DC: Policy Analyses in International Economics, No. 22.
  • Wren-Lewis, S., Westaway, P., Soteri, S. et Barrell, R. (1991), “Evaluating the UK‟s Choice of Entry Rate into the ERM”, Manchester School, 59: 1-22.
  • Wren-Lewis, S. (1992), “On the Analytical Foundations of the Fundamental Equilibrium Exchange Rate,” Hargreaves C. P. (eds.), Macroeconomic Modelling of the Long Run, (Alderhsot, Edward Elgar):75-94.
  • Wren-Lewis, S. et Driver, R. L. (1998), „Real Exchange Rates for the Year 2000‟, Institute for International Economics, Washington DC: Policy Analyses in International Economics,54.
There are 37 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Akın Usupbeyli This is me

Publication Date April 1, 2011
Submission Date July 31, 2014
Published in Issue Year 2011 Volume: 66 Issue: 04

Cite

APA Usupbeyli, A. (2011). Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma. Ankara Üniversitesi SBF Dergisi, 66(04), 125-152. https://doi.org/10.1501/SBFder_0000002234
AMA Usupbeyli A. Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma. SBF Dergisi. April 2011;66(04):125-152. doi:10.1501/SBFder_0000002234
Chicago Usupbeyli, Akın. “Denge döviz Kuru Modelleri üzerine Bir literatür taraması: Teorik görünüm Ve karşılaştırmalı tartışma”. Ankara Üniversitesi SBF Dergisi 66, no. 04 (April 2011): 125-52. https://doi.org/10.1501/SBFder_0000002234.
EndNote Usupbeyli A (April 1, 2011) Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma. Ankara Üniversitesi SBF Dergisi 66 04 125–152.
IEEE A. Usupbeyli, “Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma”, SBF Dergisi, vol. 66, no. 04, pp. 125–152, 2011, doi: 10.1501/SBFder_0000002234.
ISNAD Usupbeyli, Akın. “Denge döviz Kuru Modelleri üzerine Bir literatür taraması: Teorik görünüm Ve karşılaştırmalı tartışma”. Ankara Üniversitesi SBF Dergisi 66/04 (April 2011), 125-152. https://doi.org/10.1501/SBFder_0000002234.
JAMA Usupbeyli A. Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma. SBF Dergisi. 2011;66:125–152.
MLA Usupbeyli, Akın. “Denge döviz Kuru Modelleri üzerine Bir literatür taraması: Teorik görünüm Ve karşılaştırmalı tartışma”. Ankara Üniversitesi SBF Dergisi, vol. 66, no. 04, 2011, pp. 125-52, doi:10.1501/SBFder_0000002234.
Vancouver Usupbeyli A. Denge döviz kuru modelleri üzerine bir literatür taraması: teorik görünüm ve karşılaştırmalı tartışma. SBF Dergisi. 2011;66(04):125-52.