Research Article
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Exchange market pressure index: The case of Turkey

Year 2019, Issue: 53, 261 - 284, 30.06.2019
https://doi.org/10.18070/erciyesiibd.445125

Abstract

Central banks intervene to the exchange market in order to reduce volatility of exchange rate or prevent attacks that lead to high volatilities, especially in developing countries. However, each intervention to the exchange market may cause deviation of the value of exchange rate which, is determined by the market. The aim of this study is that calculates pressure on exchange market for Turkey. In this way, exchange market pressure index has calculated by three ways: Girton-Roper, theoretical and model-independent. In this study, the index is constructed according to the theoretical approach. Four equations are employed for deriving exchange market pressure index but estimating two equations, simple money demand function and purchasing power parity, are enough for the calculation of the index. Quarterly data is employed form 1990:01 to 2017:02. Since both equations have an endogenous variable, those are estimated by two stage least square. It is found that especially starting from the last quarter of 1992 to 2002, exchange market pressure index is too high however, after freely floating system was settled then pressure in the exchange market had decreased dramatically. Moreover, this index can be used as a one of indicator for determination of economic crises due to the fact that the volatile the index increased just before each economic and political crisis.

References

  • AKÇORAOĞLU, Alpaslan; (2000), An Analysis of Exchange Market Pressure and Monetary Policy: Evidence From Turkey”, G.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(4)
  • BAİG, Mirza Allim; V. NARASİMHAN ve M. RAMACHANDRAN; (2003), “Exchange Market Pressure and the Reserve Bank of India’s Intervention Activity”, Journal of Policy Modeling, 25(8), ss. 727-748.
  • BİELECKİ, Szymon; (2005), “Exchange Market Pressure and Domestic Credit Evidence from Poland”, The Poznan University of Economics Review, 5(1), ss 20-36.
  • BURDEKİN, Richard CK ve Paul BURKETT; (1990), “A re-examination of the Monetary Model of Exchange Market Pressure: Canada 1963-1988”, The Review of Economics and Statistics, 72(4), ss. 677-681.
  • BURKETT, Paul ve Donald G. RİCHARDS; (1993), “Exchange Market Pressure in Paraguay, 1963–88: Monetary Disequilibrium Versus Global and Regional Dependency” Applied Economics, 25(8), ss.1053-1063.
  • CAGAN, Philips; (1956), “The Monetary Dynamics of Hyperinflation”, in M.Friedman (ed.), Studies in the Quantity Theory of Money, Chicago, Univesity of Chicago Press, 25-117.
  • CONNOLLY, Michael, and Jose Dantas Da SİLVEİRA; (1979), “Exchange Market Pressure in Postwar Brazil: An Application of The Girton-Roper Monetary Model”, The American Economic Review, 69(3), ss. 448-454.
  • ÇETİNTAŞ, Hakan ve Hasan VERGİL; (2003), “Türkiye'de Kayıtdışı Ekonominin Tahmini”, Doğuş Üniversitesi Dergisi, 4(1), ss.15-30.
  • DOUGHERTY, Christopher ; (2007), Introduction to Econometrics, Third Edition, Oxford University Press,
  • EİCHENGREEN, Barry; Andrew K. ROSE ve Charles WYPLOSZ; (1996), “Contagious currency crises”, National Bureau of Economic Research, No. w5681
  • GİRTON, Lance ve Don ROPER; (1977), “A Monetary Model of Exchange Market Pressure Applied to The Post-War Canadian Experience”, American Economic Review, 67(4), ss.537-548.
  • GÖKSU, Gokhan; Eyup KADIOĞLU; ve Guray KÜÇÜKKOCAOĞLU; (2015), “Predicting Crises in Turkey Using an Exchange Market Pressure Model and Four-Way Decomposition Analysis of Gross Capital Flows” International Business Research, 8(11)
  • FERİDUN Mete; (2009), “Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation”, Emerging Markets Finance and Trade, 45(2), ss.65-81, DOI: 10.2753/REE1540-496X450204
  • IWATA, Shigeru ve Evan TANNER; (2007) “Pick Your Poison: The Exchange Rate Regime and Capital Account Volatility in Emerging Markets”, Czech Journal of Economics and Finance (Finance a uver), 57(7-8), ss. 363-381.
  • JEİSMAN, Shakila (2005), “Exchange Market Pressure in Australia”, Quarterly Journal of Business and Economics,44(1-2), ss. 13-27.
  • KAMİNSKY, Graciela; Saul LİZONDO ve Carmen M. REİNHART; (1998), “Leading Indicators of Currency Crises”, Staff Papers, 45(1), ss.1-48.
  • KATIRCIOĞLU Salih Turan, ve Mete FERİDUN; (2011), “Do Macroeconomic Fundamentals Affect Exchange Market Pressure? Evidence from Bounds Testing Approach for Turkey”, Applied Economics Letters, 18(3), ss. 295-300, DOI:10.1080/00036841003636110
  • KIM, Inchul; (1985) “Exchange Market Pressure in Korea: An Asslication of the Girton-Roper Monetary Model”, Journal of Money, Credit and Banking, 17(2), ss.258-263
  • KOHLSCHEEN, Emanuel; (2000), “Estimating Exchange Market Pressure and Intervention Activity”, Banco Central do Brasil, Working Paper Series, n 9.
  • Lİ, Jie; (2012), “A Monetary Approach to the Exchange Market Pressure Index Under Capital Control”, Applied Economics Letters, 19(13), ss.1305-1309.
  • MAH, Jai Sheen; (1995), “An Analysis of the Structural Change in the Exchange Market Pressure: Korea: 1980–89”, Applied Economics Letters, 2, ss. 80–82.
  • MARK, Nelson, Chung; (2001), International Macroeconomics and Finance Theory and Empirical Methods, Blackwell Publisher
  • MATHUR, Priya; (1999), “An Exchange Market Pressure Model for India” Indian Economic Review, Vol.XXXIV, n2, ss.127-148.
  • MODESTE, Nelson C; (1981), “Exchange Market Pressure During the 1970s in Argentina: an Application of the Girton-Roper Monetary Model: a Note”, Journal of Money, Credit and Banking, 13(2), ss. 234-240.
  • PARLAKTUNA, Inci; (2005), “Exchange Market Pressure in Turkey 1993–2004: an Application of the Girton–Roper Monetary Model” International Economic Journal, 19(1), ss. 51-62.
  • SACHS, Jeffrey; Aaron TORNELL, and Andres VELASCO; (1996), “Financial Crises in Emerging Markets: the Lessons from 1995”, National Bureau of Economic Research, No. w5576
  • STAWAREK, Daniel. (2007). “Estimation of the Exchange Market Pressure in the EU4 Countries: A model-dependent Approach”, Investment Management and Financial Innovations, 4(3), ss.80-94.
  • TASLIM, Mohammad Ali; (2003), “A Monetary Approach to Exchange Market Disequilibrium in Australia: 1975–97” Australian Economic Papers, 42(2), ss.183-196.
  • THORNTON, John; (1995), “Exchange Market Pressure in Costa Rica, 1986–92: an Application of the Girton–Roper Model” International Economic Journal, 9(1), ss. 67–72
  • UĞURLU, Erginbay VE Emine Ebru AKSOY; (2017), “2008 Krizi Döneminde Türkiye'de Döviz Piyasası Baskısının İncelenmesi: Mevsimsel Eşbütünleşme Analizi”, Finans Politik & Ekonomik Yorumlar, 54(633), ss. 9-26.
  • WEYMARK, Diana N.; (1995), “Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada”, Journal of International Economics, 39 (3-4), ss. 273-295.
  • WEYMARK, Diana N.; (1997), “Measuring Exchange Market Pressure and Intervention in Interdependent Economies: A Two-Country Model”, Review of International Economics, 5 (1), ss. 72-82.
  • Weymark, Diana N.; (1998), “A General Approach to Measuring Exchange Market Pressure”, Oxford Economic Papers, 50 (1), ss. 106-121

Weymark modeli döviz piyasası baskısı endeksi

Year 2019, Issue: 53, 261 - 284, 30.06.2019
https://doi.org/10.18070/erciyesiibd.445125

Abstract

Merkez bankaları özellikle gelişmekte olan ülkelerde döviz piyasasındaki oynaklığı azaltmak veya döviz piyasasında aşırı dalgalanmaya yol açan atakları önlemek amacıyla döviz piyasasına müdahalede bulunurlar. Fakat her müdahale döviz kurunun piyasa tarafından belirlenecek değerinden sapmalara neden olabilir. Bu çalışmanın amacı Türk döviz piyasasındaki arz ve talebin oluşturduğu baskıyı tespit etmektir. Bu doğrultuda ekonomi literatüründe döviz piyasasında oluşan baskıyı ölçmek amacıyla döviz piyasası baskı endeksi kullanılmaktadır. Bu endeks Girton ve Roper yaklaşımı, teorik yaklaşım ve modelden bağımsız yaklaşım olarak üç şekilde oluşturulabilir. Bu çalışmada döviz piyasası baskı endeksi teorik yaklaşıma göre oluşturulmuştur. Endeksin oluşturulmasında dört farklı denklem kullanılmasına rağmen endeksin hesaplanmasında basit para talebi ve göreli satın alma gücü hipotezi denklemlerinin tahmin edilmesi yeterlidir. Analizde çeyreklik veriler kullanılmış olup 1990:01-2017:02 dönemini kapsamaktadır. Tahminlerde kullanılan zaman serileri birim kök içermesine rağmen denklemleri oluşturan serileri arasında eşbütünleşme olduğundan dolayı tahmin aşamasına geçilmiştir. Bu denklemlerde içsel değişken problemi olduğundan dolayı hem basit para talebi hem de göreli satın alma gücü hipotezi denklemleri iki aşamalı en küçük kareler yöntemiyle tahmin edilmiştir. Tahmin sonuçlarına göre özellikle 1993’ün son dönemlerinden 2002’ye kadar döviz piyasasında baskının fazla olmasına rağmen esnek dalgalı döviz kuru sisteminin yerleşmesinden sonra döviz piyasasındaki baskının azaldığı tespit edilmiştir. Ayrıca endeks ekonomik ve siyasi krizlerden önce aşırı dalgalanma gösterdiğinden dolayı, ileride oluşabilecek krizler için öncü bir gösterge olarak kullanılabilir.

References

  • AKÇORAOĞLU, Alpaslan; (2000), An Analysis of Exchange Market Pressure and Monetary Policy: Evidence From Turkey”, G.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(4)
  • BAİG, Mirza Allim; V. NARASİMHAN ve M. RAMACHANDRAN; (2003), “Exchange Market Pressure and the Reserve Bank of India’s Intervention Activity”, Journal of Policy Modeling, 25(8), ss. 727-748.
  • BİELECKİ, Szymon; (2005), “Exchange Market Pressure and Domestic Credit Evidence from Poland”, The Poznan University of Economics Review, 5(1), ss 20-36.
  • BURDEKİN, Richard CK ve Paul BURKETT; (1990), “A re-examination of the Monetary Model of Exchange Market Pressure: Canada 1963-1988”, The Review of Economics and Statistics, 72(4), ss. 677-681.
  • BURKETT, Paul ve Donald G. RİCHARDS; (1993), “Exchange Market Pressure in Paraguay, 1963–88: Monetary Disequilibrium Versus Global and Regional Dependency” Applied Economics, 25(8), ss.1053-1063.
  • CAGAN, Philips; (1956), “The Monetary Dynamics of Hyperinflation”, in M.Friedman (ed.), Studies in the Quantity Theory of Money, Chicago, Univesity of Chicago Press, 25-117.
  • CONNOLLY, Michael, and Jose Dantas Da SİLVEİRA; (1979), “Exchange Market Pressure in Postwar Brazil: An Application of The Girton-Roper Monetary Model”, The American Economic Review, 69(3), ss. 448-454.
  • ÇETİNTAŞ, Hakan ve Hasan VERGİL; (2003), “Türkiye'de Kayıtdışı Ekonominin Tahmini”, Doğuş Üniversitesi Dergisi, 4(1), ss.15-30.
  • DOUGHERTY, Christopher ; (2007), Introduction to Econometrics, Third Edition, Oxford University Press,
  • EİCHENGREEN, Barry; Andrew K. ROSE ve Charles WYPLOSZ; (1996), “Contagious currency crises”, National Bureau of Economic Research, No. w5681
  • GİRTON, Lance ve Don ROPER; (1977), “A Monetary Model of Exchange Market Pressure Applied to The Post-War Canadian Experience”, American Economic Review, 67(4), ss.537-548.
  • GÖKSU, Gokhan; Eyup KADIOĞLU; ve Guray KÜÇÜKKOCAOĞLU; (2015), “Predicting Crises in Turkey Using an Exchange Market Pressure Model and Four-Way Decomposition Analysis of Gross Capital Flows” International Business Research, 8(11)
  • FERİDUN Mete; (2009), “Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation”, Emerging Markets Finance and Trade, 45(2), ss.65-81, DOI: 10.2753/REE1540-496X450204
  • IWATA, Shigeru ve Evan TANNER; (2007) “Pick Your Poison: The Exchange Rate Regime and Capital Account Volatility in Emerging Markets”, Czech Journal of Economics and Finance (Finance a uver), 57(7-8), ss. 363-381.
  • JEİSMAN, Shakila (2005), “Exchange Market Pressure in Australia”, Quarterly Journal of Business and Economics,44(1-2), ss. 13-27.
  • KAMİNSKY, Graciela; Saul LİZONDO ve Carmen M. REİNHART; (1998), “Leading Indicators of Currency Crises”, Staff Papers, 45(1), ss.1-48.
  • KATIRCIOĞLU Salih Turan, ve Mete FERİDUN; (2011), “Do Macroeconomic Fundamentals Affect Exchange Market Pressure? Evidence from Bounds Testing Approach for Turkey”, Applied Economics Letters, 18(3), ss. 295-300, DOI:10.1080/00036841003636110
  • KIM, Inchul; (1985) “Exchange Market Pressure in Korea: An Asslication of the Girton-Roper Monetary Model”, Journal of Money, Credit and Banking, 17(2), ss.258-263
  • KOHLSCHEEN, Emanuel; (2000), “Estimating Exchange Market Pressure and Intervention Activity”, Banco Central do Brasil, Working Paper Series, n 9.
  • Lİ, Jie; (2012), “A Monetary Approach to the Exchange Market Pressure Index Under Capital Control”, Applied Economics Letters, 19(13), ss.1305-1309.
  • MAH, Jai Sheen; (1995), “An Analysis of the Structural Change in the Exchange Market Pressure: Korea: 1980–89”, Applied Economics Letters, 2, ss. 80–82.
  • MARK, Nelson, Chung; (2001), International Macroeconomics and Finance Theory and Empirical Methods, Blackwell Publisher
  • MATHUR, Priya; (1999), “An Exchange Market Pressure Model for India” Indian Economic Review, Vol.XXXIV, n2, ss.127-148.
  • MODESTE, Nelson C; (1981), “Exchange Market Pressure During the 1970s in Argentina: an Application of the Girton-Roper Monetary Model: a Note”, Journal of Money, Credit and Banking, 13(2), ss. 234-240.
  • PARLAKTUNA, Inci; (2005), “Exchange Market Pressure in Turkey 1993–2004: an Application of the Girton–Roper Monetary Model” International Economic Journal, 19(1), ss. 51-62.
  • SACHS, Jeffrey; Aaron TORNELL, and Andres VELASCO; (1996), “Financial Crises in Emerging Markets: the Lessons from 1995”, National Bureau of Economic Research, No. w5576
  • STAWAREK, Daniel. (2007). “Estimation of the Exchange Market Pressure in the EU4 Countries: A model-dependent Approach”, Investment Management and Financial Innovations, 4(3), ss.80-94.
  • TASLIM, Mohammad Ali; (2003), “A Monetary Approach to Exchange Market Disequilibrium in Australia: 1975–97” Australian Economic Papers, 42(2), ss.183-196.
  • THORNTON, John; (1995), “Exchange Market Pressure in Costa Rica, 1986–92: an Application of the Girton–Roper Model” International Economic Journal, 9(1), ss. 67–72
  • UĞURLU, Erginbay VE Emine Ebru AKSOY; (2017), “2008 Krizi Döneminde Türkiye'de Döviz Piyasası Baskısının İncelenmesi: Mevsimsel Eşbütünleşme Analizi”, Finans Politik & Ekonomik Yorumlar, 54(633), ss. 9-26.
  • WEYMARK, Diana N.; (1995), “Estimating Exchange Market Pressure and the Degree of Exchange Market Intervention for Canada”, Journal of International Economics, 39 (3-4), ss. 273-295.
  • WEYMARK, Diana N.; (1997), “Measuring Exchange Market Pressure and Intervention in Interdependent Economies: A Two-Country Model”, Review of International Economics, 5 (1), ss. 72-82.
  • Weymark, Diana N.; (1998), “A General Approach to Measuring Exchange Market Pressure”, Oxford Economic Papers, 50 (1), ss. 106-121
There are 33 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Erhan Öruç 0000-0002-0338-7015

Publication Date June 30, 2019
Acceptance Date February 17, 2019
Published in Issue Year 2019 Issue: 53

Cite

APA Öruç, E. (2019). Weymark modeli döviz piyasası baskısı endeksi. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(53), 261-284. https://doi.org/10.18070/erciyesiibd.445125

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