FOREIGN EXCHANGE EXPOSURE AND ITS DETERMINANTS: THE CASE OF TURKEY

Year 2019, Volume: 10 Issue: 2, 43 - 54, 18.07.2019

Aydanur Gacener Atış , Deniz Erer Aslı Akın

https://doi.org/10.18354/esam.569985

Cited By: 1

Abstract

In this study, real effective exchange rate risk
was determined and the effects of macroeconomic variables that cause so-called
risk were analyzed for the period of 2000Q1-2018Q2 in Turkey. For this purpose,
EGARCH and OLS models were used. The empirical findings of the study suggested
that effects of the shocks in real effective exchange rate continued
approximately 40 days and negative shocks affected real effective exchange rate
volatility more than positive shocks. Besides, a positive relationship between
exposure and portfolio investments, current account deficit and central bank
reserves, while there was a negative relationship between exposure and foreign
direct investments.

Keywords

foreign exchange exposure, real effective exchange rate, GARCH model

DÖVİZ KURU RİSKİ VE BELİRLEYENLERİ: TÜRKİYE ÖRNEĞİ

Abstract

Bu çalışmada,
Türkiye ekonomisinde 2000Q1-2018Q2 döneminde reel efektif döviz kuru riskinin
belirlenerek, söz konusu riski ortaya çıkaran makroekonomik değişkenlerin
etkileri analiz edilmiştir. EGARCH ve EKK yöntemlerinin kullanıldığı çalışmanın
sonucunda elde edilen analiz bulgularına göre, reel efektif döviz kurunda
meydana gelen şokların etkisinin yaklaşık 40 gün sürdüğü ve negatif şokların reel
efektif döviz kuru oynaklığı üzerinde pozitif şoklara göre daha etkili olduğu
görülmüştür. Ayrıca, Türkiye’de döviz kuru riskini portföy yatırımları, cari
açık ve merkez bankası rezervleri pozitif etkilerken; doğrudan yabancı
yatırımların istatistiki olarak anlamlı bir etkisi saptanmamıştır.

Keywords

Döviz kuru riski, reel efektif döviz kuru, EGARCH Modeli

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