Examination of Interaction Between Türkiye's Net Investment Position and Exchange Rate Market Pressure During Financial Crises

Öz

The objective of this study is to analyse the impact of the net investment position deficit on the exchange rate repression index of the Turkish economy during the period 2008-2023, with a focus on financial crises. To calculate the exchange rate pressure index for Turkey, we have chosen Kaminsky and Reinhart's (1999) model. The variables selected for this study include net investment position, exchange rate pressure index, and CDS. The research methods employed include cointegration tests, VAR models, and Granger causality tests. The findings suggest a long-run and short-run equilibrium between the net investment position, CDS premium, and exchange rates. An increase in the CDS risk premium and the net investment position deficit can put pressure on exchange rates, potentially leading to financial currency crises. This pressure can trigger a spiral of financial fragility and currency crises as it increases the CDS premium and net investment position deficit.

Anahtar Kelimeler

• International Net Investment Position
• Exchange Rate Pressure Index
• Financial Crises

Finansal Kriz Dönemlerinde Türkiye’de Net Yatırım Pozisyonu Açıkları ve Döviz Kuru Baskı Endeksi Arasındaki Etkileşimin İncelenmesi

Öz

Bu çalışmanın amacı; Türkiye ekonomisi 2008-2023 dönemi aylık frekansta net yatırım pozisyonu açığının döviz kuru baskı endeksine neden olan etkisini finansal krizler açısından incelemektir. Araştırmada Türkiye döviz kuru baskı endeksini hesaplamak için Kaminsky ve Reinhart (1999) modeli seçilmiştir. Seçilen değişkenler; net yatırım pozisyonu, döviz kuru baskı endeksi, CDS olarak sıralanabilir. Araştırmanın yöntemleri koentegrasyon testleri, VAR modelleri ve Granger nedensellik testleridir. Bulgular; net yatırım pozisyonu, CDS primi ve döviz kurları arasında uzun ve kısa dönemde bir denge olduğunu işaret etmektedir. CDS Risk primi ve net yatırım pozisyonu açığının artması, döviz kurları üzerinde finansal para krizlerine neden olabilecek ölçüde bir baskı oluşturmaktadır. Oluşan bu baskı tekrar CDS primini tetikleyip, net yatırım pozisyonu açığını yükselttiği için finansal kırılganlık ve para krizi sarmalı-döngüsü ortaya çıkmaktadır.

Anahtar Kelimeler

• Uluslararası Net Yatırım Pozisyonu
• Döviz Kuru Baskı Endeksi
• Finansal Krizler.

Kaynakça

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