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TÜRKİYE’DE KUR REJİMLERİ VE EKONOMİK BÜYÜME İLİŞKİSİ: KALMAN FİLTRESİ İLE BİR UYGULAMA

Year 2021, Issue: 59, 421 - 434, 31.08.2021

Ümit Koç

https://doi.org/10.18070/erciyesiibd.867290

Abstract

Küreselleşmenin reel ve finansal sektörler üzerindeki etkisine paralel olarak hem ürün tedarik
zincirleri hem de finansal piyasalar dünya ölçeğinde büyük bir hızla entegre olmaktadır. Bu entegrasyon
ile birlikte uluslararası ticaret ve portföy yatırımları bağlamında döviz kuru tüm ülkeler için daha da
önemli hale gelmektedir. 1970’li yılların sonundan itibaren sabit kur rejimleri terkedilmeye başlanmış
ve esnek kur rejimlerine geçiş sağlanmıştır. Bu çalışmadaki amacımız, 1960 - 2019 zaman aralığında
kur rejimleri ile büyüme arasındaki ilişkiyi araştırmak ve bir model üzerinden Türkiye örneğini
incelemektir. Kullanılan modelde Kalman filtresi uygulanmakta ve zaman içinde değişen katsayıların
izlediği patika gözlemlenmektedir. Çalışmada katsayıların zaman içinde aldıkları değerler, sabit ve
yönetilen kur rejimlerinin ekonomik büyüme üzerinde belirgin bir etkisinin olmadığı, esnek kur
rejimlerinin ise ekonomik büyümeyi negatif etkilediği sonuçlarına işaret etmektedir.

Keywords

Kur Rejimleri Ekonomik Büyüme Kalman Filtresi

References

  • Aizenman, J. (1991). Foreign Direct Investment, Productive Capacity and Exchange Rate Regimes. NBER, Working Paper, 3767.
  • Aizenman, J. (1994). Monetary and Real Shocks, Productive Capacity and Exchange Rate Regimes. Economica, 61(244), 407-434.
  • Aizenman, J. ve Hausmann, R. (2000). Exchange Rate Regimes and Financial-Market Imperfections. NBER, Working Paper, 7738.
  • Ashour, M. ve Yong, C. C. (2018). The impact of exchange rate regimes on economic growth: Empirical study of a set of developing countries during the period 1974–2006. The Journal of International Trade & Economic Development, 27(1) , 74-90.
  • Bailliu, J. (2000). Private Capital Flows, Financial Development, and Economic Growth in Developing Countries. Bank of Canada, Staff Working Papers, 00-15.
  • Bailliu, J. ve Murray, J. (2002). Exchange Rate Regimes in Emerging Markets. Bank of Canada Review, Winter 2002-2003, 17-27.
  • Bailliu, J., Lafrance, R. ve Perrault, J.-F. (2003). Does Exchange Rate Policy Matter for Growth? International Finance, 6(3), 381–414.
  • Barro, R. J. ve Sala-i-Martin, X. (1995). Economic Growth. Newyork: McGraw-Hill.
  • Bordo, M. D. (2003). Exchane Rate Regime Choice in Historical Perspective. NBER, Working Paper, 9654.
  • Bordo, M. D. ve Flandreau, M. (2001). Core, Periphery, Exchange Rate Regimes and Globalization. NBER, Working Paper, 8584.
  • Böhm, H. ve Funke, M. (2001). Does the Nominal Exchange Rate Regime Matter for Investment? CESifo Working Paper Series, 578.
  • Broda, C. (2004). Terms of Trade and Exchange Rate Regimes in Developing Countries. Journal of International Economics, 63(1), 31-58.
  • Calvo, G. ve Mishkin, F. (2003). The Mirage of Exchange Rate Regimes for Emerging Market Countries. Journal of Economic Perspectives, 17(4), 99-118.
  • Calvo, G. ve Reinhart, C. (2002). Fear of Floating. The Quarterly Journal of Economics, 117(2), 379-408.
  • Caramazza, F. ve Aziz, J. (1998). Fixed or Flexible? Getting the Exchange Rate Right in the 1990s. IMF Economic İssues, 13.
  • Cote, A. (1994). Exchange Rate Volatility and Trade: A Survey. Bank of Canada, Working Paper, 94-5.
  • De Vita, G. ve Kyaw, K. S. (2011). Does The Choice of Exchange Rate Regime Affect The Economic Growth of Developing Countries? The Journal of Developing Areas, 45, 135-153.
  • Edwards, S. (1993). Trade Policy, Exchange Rates and Growth. NBER, Working Paper, 4511.
  • Edwards, S. (1996). The Determinants of the Choice between Fixed and Flexible Exchange Rate Regimes. NBER, Working Paper, 5756.
  • Fleming, J. M. (1962). Domestic financial policies under fixed and floating exchange rates. IMF Staff Papers, 9, 369–379.
  • Frankel, J. A. (1999). No Single Currency Regime is Right for all Countries or at all Times. NBER, Working Paper, 7338.
  • Frankel, J. ve Rose, A. (2002). An Estimate of the Effect of Common Currencies on Trade and Income. The Quarterly Journal of Economics, 117(2), 437-466.
  • Ghosh, A. R., Gulde, A.-M., Ostry, J. D. ve Wolf , H. C. (1997). Does The Nominal Exchange Rate Regime Matter? NBER Working Paper, 5874.
  • Ghosh, A. R., Gulde, A.-M., Ostry, J. D. ve Wolf, H. C. (1996). Does The Exchange Rate Regime Matter for Inflation and Growth? IMF Economic İssues, 2.
  • Goldstein, M., Kaminsky, G. L. ve Reinhart, C. M. (2000). Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington D.C: Institute for International Economics.
  • Ha, D. T.-T.,ve Hoang, N. T. (2020). Exchange Rate Regime and Economic Growth in Asia: Convergence or Divergence. Journal of Risk and Financial Management, 13(1):9.
  • Honohan, P. (1997). Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction. BIS, Working Paper, 39.
  • Ihnatov, I. ve Capraru, B. (2012). Exchange Rate Regimes and Economic Growth in Central and Eastern European Countries. Procedia Economics and Finance, 3, 18-23.
  • Koç, Ü. (2020). Türkiye’de Toplam Faktör Verimliliği ve İktisadi Büyüme. L. Y. Eser, ve S. Samut içinde, İktisat Seçme Yazılar 2020-II (s. 77-99). Trabzon: Celepler Matbaacılık Yayın ve Dağıtım.
  • Levine, R. (1997). Financial Development and Economic Growth: Views and Agenda. Journal of Economic Literature, 35(2), 688-726.
  • Levy-Yeyati, E. ve Sturzenegger, F. (2002). To Float or to Trail: Evidence on the Impact of Exchange Rate Regimes. UTDT, CIF Working Paper.
  • Mohammed, T., Retia, M., Gaidi, K. ve Boude, A. (2018). The Impact of Exchange Rate Regimes on Economic Growth. Advances in Panel Data Analysis in Applied Economic Research (s. 415-427). içinde Springer Proceedings in Business and Economics.
  • Mundell, R. (1960). The Monetary Dynamics of International Adjustment under Fixed and Flexible Exchange Rates. The Quarterly Journal of Economics, 74(2), 227-257.
  • Mundell, R. (1961). A Theory of Optimum Currency Areas. American Economic Review, 51(4), 657–665.
  • Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475–485.
  • Nilsson, K. ve Nilsson, L. (2000). Exchange Rate Regimes and Export Performance of Developing Countries. The World Economy, Wiley Blackwell, vol., 23(3), 331-349.
  • Özbek, L. (2016). Kalman Filtresi. Ankara: Akademisyen Kitabevi.
  • Öztürk, F. ve Özbek, L. (2015). Matematiksel Modelleme ve Simülasyon. Ankara: Pigeon.
  • Poirson, H. (2001). How Do Countries Choose Their Exchange Rate Regime. IMF Working Paper, WP/01/46.
  • Saygılı, Ş. ve Cihan, C. (2008). Türkiye Ekonomisinin Büyüme Dinamikleri / 1987- 2007 Döneminde Büyümenin Kaynakları, Temel Sorunlar ve Potansiyel Büyüme Oranı. TÜSIAD Araştırma Raporları Serisi, TÜSIAD-T/2008-06/462. İstanbul: TÜSİAD.
  • Sosvilla-Rivero, S. ve Ramos-Herrera, M. C. (2014). Exchange-rate regimes and economic growth: an empirical evaluation. Applied Economics Letters, 21(12), 870-873.
  • Staehr, K. (2015). The Choice of Exchange Rate Regime in Emerging-Market and Transition Economies. J. Hölscher, ve H. Tomann içinde, Palgrave Dictionary of Emerging Markets and Transition Economics. London: Palgrave Macmillan.

THE RELATIONSHIP OF EXCHANGE RATE REGIMES AND ECONOMIC GROWTH IN TURKEY: AN APPLICATION WITH KALMAN FILTER

Year 2021, Issue: 59, 421 - 434, 31.08.2021

Ümit Koç

https://doi.org/10.18070/erciyesiibd.867290

Abstract

In parallel with the impact of globalization on the real and financial sectors, both product
supply chains and financial markets are rapidly integrated across the world. With this integration, the
exchange rate becomes even more important for all countries in the context of international trade and
portfolio investments. Since the end of the 1970s, most of the countries have left the fixed exchange
rate regimes and began to use flexible exchange rate regimes. In this study, our aim is to investigate the
relationship between exchange rate regimes and economic growth for the 1960 - 2019 period, through
a model for Turkey. In the model Kalman filter is applied and the path of the time varying coefficients
are observed. In the study, the time varying values of the coefficients point to the results that fixed and
managed exchange rate regimes do not have a significant effect on economic growth, while flexible
exchange rate regimes affect economic growth negatively.

Keywords

Exchange Rate Regimes Economic Growth Kalman Filter

References

  • Aizenman, J. (1991). Foreign Direct Investment, Productive Capacity and Exchange Rate Regimes. NBER, Working Paper, 3767.
  • Aizenman, J. (1994). Monetary and Real Shocks, Productive Capacity and Exchange Rate Regimes. Economica, 61(244), 407-434.
  • Aizenman, J. ve Hausmann, R. (2000). Exchange Rate Regimes and Financial-Market Imperfections. NBER, Working Paper, 7738.
  • Ashour, M. ve Yong, C. C. (2018). The impact of exchange rate regimes on economic growth: Empirical study of a set of developing countries during the period 1974–2006. The Journal of International Trade & Economic Development, 27(1) , 74-90.
  • Bailliu, J. (2000). Private Capital Flows, Financial Development, and Economic Growth in Developing Countries. Bank of Canada, Staff Working Papers, 00-15.
  • Bailliu, J. ve Murray, J. (2002). Exchange Rate Regimes in Emerging Markets. Bank of Canada Review, Winter 2002-2003, 17-27.
  • Bailliu, J., Lafrance, R. ve Perrault, J.-F. (2003). Does Exchange Rate Policy Matter for Growth? International Finance, 6(3), 381–414.
  • Barro, R. J. ve Sala-i-Martin, X. (1995). Economic Growth. Newyork: McGraw-Hill.
  • Bordo, M. D. (2003). Exchane Rate Regime Choice in Historical Perspective. NBER, Working Paper, 9654.
  • Bordo, M. D. ve Flandreau, M. (2001). Core, Periphery, Exchange Rate Regimes and Globalization. NBER, Working Paper, 8584.
  • Böhm, H. ve Funke, M. (2001). Does the Nominal Exchange Rate Regime Matter for Investment? CESifo Working Paper Series, 578.
  • Broda, C. (2004). Terms of Trade and Exchange Rate Regimes in Developing Countries. Journal of International Economics, 63(1), 31-58.
  • Calvo, G. ve Mishkin, F. (2003). The Mirage of Exchange Rate Regimes for Emerging Market Countries. Journal of Economic Perspectives, 17(4), 99-118.
  • Calvo, G. ve Reinhart, C. (2002). Fear of Floating. The Quarterly Journal of Economics, 117(2), 379-408.
  • Caramazza, F. ve Aziz, J. (1998). Fixed or Flexible? Getting the Exchange Rate Right in the 1990s. IMF Economic İssues, 13.
  • Cote, A. (1994). Exchange Rate Volatility and Trade: A Survey. Bank of Canada, Working Paper, 94-5.
  • De Vita, G. ve Kyaw, K. S. (2011). Does The Choice of Exchange Rate Regime Affect The Economic Growth of Developing Countries? The Journal of Developing Areas, 45, 135-153.
  • Edwards, S. (1993). Trade Policy, Exchange Rates and Growth. NBER, Working Paper, 4511.
  • Edwards, S. (1996). The Determinants of the Choice between Fixed and Flexible Exchange Rate Regimes. NBER, Working Paper, 5756.
  • Fleming, J. M. (1962). Domestic financial policies under fixed and floating exchange rates. IMF Staff Papers, 9, 369–379.
  • Frankel, J. A. (1999). No Single Currency Regime is Right for all Countries or at all Times. NBER, Working Paper, 7338.
  • Frankel, J. ve Rose, A. (2002). An Estimate of the Effect of Common Currencies on Trade and Income. The Quarterly Journal of Economics, 117(2), 437-466.
  • Ghosh, A. R., Gulde, A.-M., Ostry, J. D. ve Wolf , H. C. (1997). Does The Nominal Exchange Rate Regime Matter? NBER Working Paper, 5874.
  • Ghosh, A. R., Gulde, A.-M., Ostry, J. D. ve Wolf, H. C. (1996). Does The Exchange Rate Regime Matter for Inflation and Growth? IMF Economic İssues, 2.
  • Goldstein, M., Kaminsky, G. L. ve Reinhart, C. M. (2000). Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington D.C: Institute for International Economics.
  • Ha, D. T.-T.,ve Hoang, N. T. (2020). Exchange Rate Regime and Economic Growth in Asia: Convergence or Divergence. Journal of Risk and Financial Management, 13(1):9.
  • Honohan, P. (1997). Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction. BIS, Working Paper, 39.
  • Ihnatov, I. ve Capraru, B. (2012). Exchange Rate Regimes and Economic Growth in Central and Eastern European Countries. Procedia Economics and Finance, 3, 18-23.
  • Koç, Ü. (2020). Türkiye’de Toplam Faktör Verimliliği ve İktisadi Büyüme. L. Y. Eser, ve S. Samut içinde, İktisat Seçme Yazılar 2020-II (s. 77-99). Trabzon: Celepler Matbaacılık Yayın ve Dağıtım.
  • Levine, R. (1997). Financial Development and Economic Growth: Views and Agenda. Journal of Economic Literature, 35(2), 688-726.
  • Levy-Yeyati, E. ve Sturzenegger, F. (2002). To Float or to Trail: Evidence on the Impact of Exchange Rate Regimes. UTDT, CIF Working Paper.
  • Mohammed, T., Retia, M., Gaidi, K. ve Boude, A. (2018). The Impact of Exchange Rate Regimes on Economic Growth. Advances in Panel Data Analysis in Applied Economic Research (s. 415-427). içinde Springer Proceedings in Business and Economics.
  • Mundell, R. (1960). The Monetary Dynamics of International Adjustment under Fixed and Flexible Exchange Rates. The Quarterly Journal of Economics, 74(2), 227-257.
  • Mundell, R. (1961). A Theory of Optimum Currency Areas. American Economic Review, 51(4), 657–665.
  • Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475–485.
  • Nilsson, K. ve Nilsson, L. (2000). Exchange Rate Regimes and Export Performance of Developing Countries. The World Economy, Wiley Blackwell, vol., 23(3), 331-349.
  • Özbek, L. (2016). Kalman Filtresi. Ankara: Akademisyen Kitabevi.
  • Öztürk, F. ve Özbek, L. (2015). Matematiksel Modelleme ve Simülasyon. Ankara: Pigeon.
  • Poirson, H. (2001). How Do Countries Choose Their Exchange Rate Regime. IMF Working Paper, WP/01/46.
  • Saygılı, Ş. ve Cihan, C. (2008). Türkiye Ekonomisinin Büyüme Dinamikleri / 1987- 2007 Döneminde Büyümenin Kaynakları, Temel Sorunlar ve Potansiyel Büyüme Oranı. TÜSIAD Araştırma Raporları Serisi, TÜSIAD-T/2008-06/462. İstanbul: TÜSİAD.
  • Sosvilla-Rivero, S. ve Ramos-Herrera, M. C. (2014). Exchange-rate regimes and economic growth: an empirical evaluation. Applied Economics Letters, 21(12), 870-873.
  • Staehr, K. (2015). The Choice of Exchange Rate Regime in Emerging-Market and Transition Economies. J. Hölscher, ve H. Tomann içinde, Palgrave Dictionary of Emerging Markets and Transition Economics. London: Palgrave Macmillan.
There are 42 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Ümit Koç 0000-0002-1853-5156

Publication Date August 31, 2021
Acceptance Date August 14, 2021
Published in Issue Year 2021 Issue: 59

Cite

APA Koç, Ü. (2021). TÜRKİYE’DE KUR REJİMLERİ VE EKONOMİK BÜYÜME İLİŞKİSİ: KALMAN FİLTRESİ İLE BİR UYGULAMA. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(59), 421-434. https://doi.org/10.18070/erciyesiibd.867290

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