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Yapay Sinir Ağları İle Türkiye`nin Brüt Döviz Rezervlerinin Tahmini

Year 2021, Volume: 6 Issue: 4, 612 - 624, 31.12.2021
https://doi.org/10.29106/fesa.956225

Abstract

: Çalışmada Yapay Sİnir Ağları (YSA) teknikleri ile 2013-2021 verilerinden hareket ile TCMB`nin Brüt Döviz Rezervleri tahmin edilmiştir. Çalışma kapsamında Türkiye`nin brüt döviz rezervlerinin İMF`nin optimal rezerv büyüklüğüne uyum sağlayıp sağlamadı değerlendirildikten sonra, YSA modeli kurulmuştur. Brüt Döviz Rezervlerine etki eden makro iktisadi faktörler olan değişkenlerin seçiminde literatürde Kabul görmüş ve özellikle Türkiye için ampirik olarak uygulanarak doğrulanmış değişkenler kullanılmıştır. Tek katmanlı ve 20 nöronlu model ile tahmin edilen YSA yapısı, Levenberg-Marquardt geri yayılım algoritması ile eğitilmiştir. Modelde bias sorunları çözümlenerek, 1000 interasyon denemeleri ile eğitilmiş ve RMSE,MAE,MAPE ve R2 değerlerine göre model başarısı ortaya koyulmuştur. Başarılı model belirlendikten sonra, 2021 yılının Temmuz ve 2022 yılının Haziran ayları için brüt döviz rezervi tahminleri yapılmıştır. Yapılan tahmine göre, ilerleyen 12 ayda brüt döviz rezervleri yatay-durağan bir şekilde hareket etmesi beklenmektedir.

References

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  • Bird, Graham and Ramkishen RAJAN; (2003), “Too Much of A Good Thing? The Adequacy of International Reserves in the Aftermath of Crises”, The World Economy, 26(6), pp. 873-891.
  • Calomiris, C. W. (2000). When Will Economics Guide, IMF and World Bank Reforms. Cato J., 20, 85.
  • Céspedes, L. F., & Chang, R. (2020). Optimal foreign reserves and central bank policy under financial stress (No. w27923). National Bureau of Economic Research.
  • Céspedes, L. F., Chang, R., & Velasco, A. (2014). Is inflation targeting still on target? The recent experience of Latin America. International Finance, 17(2), 185-208.
  • Chowdhury, Md Niaz Murshed, Mohammed Jashim UDDIN, and Mohammad Saiful ISLAM; (2014), “An Econometric Analysis of the Determinants of Foreign Exchange Reserves in Bangladesh”, Journal of World Economic Research, 3(6), pp. 72-82
  • Cinel, E. (2015). Türkiye'de Döviz Rezervleri Yeterli mi? Are Foreign Exchange Reserves Sufficient In Turkey?. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 7(12), 131-144.
  • Cinel, E. A., & Yamak, N. (2014). Merkez Bankası döviz rezervlerinin belirleyicileri: Türkiye örneği. Ekonomik Yaklasim, 25(93), 21-38.
  • Dorrucci, E., Gavilá, S., Kreye, A., Rautava, J., Balcao Reis, T., Ghirga, M., ... & Lalouette, L. (2006). The accumulation of foreign reserves (No. 43). European Central Bank.
  • Elmas, Ç. (2003). Yapay sinir ağları kuram mimari uygulama. İstanbul: Seçkin Yayıncılık
  • Frenkel, J. A., & Jovanovic, B. (1981). Optimal international reserves: a stochastic framework. The Economic Journal, 91(362), 507-514.
  • Fuhrer, L. M., Nitschka, T., & Wunderli, D. (2020). Central bank reserves and bank lending spreads. Applied Economics Letters, 1-5.
  • Ghosh, A. (2016). What drives gold demand in central bank's foreign exchange reserve portfolio?. Finance Research Letters, 17, 146-150.
  • Gogul, P. (2020) Merkez Bankasi Döviz Rezervi Ve Cari Açik İlişkisi Üzerine Ampirik Bir Uygulama 1995-2019. Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (25), 238-249.
  • Gosselin, Marc-André, and Nicolas PARENT; (2005), An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia, Bank of Canada
  • Gümüş, İnci; (2016), “The Relationship Between Sovereign Spreads and International Reserves: Does the Exchange Rate Regime Matter?”, Emerging Markets Finance and Trade, 52(3), pp. 658-673
  • Heller, H. R. (1966). Optimal international reserves. The Economic Journal, 76(302), 296-311.
  • Hopfield, J. J. (1988). Artificial neural networks. IEEE Circuits and Devices Magazine, 4(5), 3-10.
  • IREFIN, David And Baba N. YAABA; (2011), “Determinants of Foreign Reserves in Nigeria: An Autoregressive Distributed Lag Approach”, CBN Journal of Applied Statistics, 2(2), pp. 63-82
  • Jeanne, O., & Ranciere, R. (2011). The optimal level of international reserves for emerging market countries: A new formula and some applications. The Economic Journal, 121(555), 905-930.
  • Jo, G. J. (2011). Analysis of international reserve hoarding in Korea. Pacific Economic Review, 16(2), 154-167.
  • Karfakis, C. (1997). The demand for international liquidity: a cointegration approach. Applied Financial Economics, 7(6), 673-678.
  • Kartal, M. T., & Tan, Ö. F. (2018). A Recommendation for Strengthening Reserves of the Central Bank of The Republic of Turkey (CBRT): Reserve Tax To Financial Intermediaries. In İstanbul Finance Congress (Vol. 11, p. 2018).
  • Kasman, A., & Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 25(1), 83-92.
  • Kelly, Michael; (1970), “The Demand for International Reserves”, The American Economic Review, 60(4), pp. 655-667
  • MACHLUP, Fritz; (1966), “The Need for Monetary Reserves”, PSL Quarterly Review, 19(78), pp. 175-222.
  • Mahraddika, W. (2019). Does international reserve accumulation crowd out domestic private investment?. International Economics, 158, 39-50.
  • Minjie, M., & Degong, M. (2016). The Effect of Export Rebate on RMB Exchange Rate and Foreign Exchange Reserves——Based on the Data from 1996 to 2014. Journal of Sichuan University (Philosophy and Social Science Edition), 1(9).
  • Okkan, U., Serbeş, Z. A., & Gedik, N. (2018). MATLAB ile Levenberg-Marquardt algoritması tabanlı YSA uygulaması: Aylık yağış-akış modellemesi. Dicle Üniversitesi Mühendislik Fakültesi Mühendislik Dergisi, 9(1), 351-362.
  • Öztemel, E. (2006). Yapay sinir ağları. İstanbul: Papatya Yayıncılık.
  • Panda, D. P., & Trivedi, P. (2016). Macroeconomic Determinants of India's Foreign Exchange Reserves: An Empirical Analysis. IUP Journal of Applied Economics, 15(4), 31.
  • Rodrik, D. (2006). The social cost of foreign exchange reserves. International Economic Journal, 20(3), 253-266.
  • Romero, A. M. (2005). Comparative study: factors that affect foreign currency reserves in China and India. Senibi, V., Oduntan, E., Uzoma, O., Senibi, E., & Oluwaseun, A. (2016). Public Debt and External Reserve: The Nigerian Experience (1981–2013). Economics Research International, 2016.
  • Shcherbakov, S. G. (2002). Foreign reserve adequacy: case of Russia. In Fifteenth Meeting of the IMF Committee on Balance of Payments Statistics, Australia.
  • Soto, C., & García, P. (2004). Large Hoardings of International Reserves: Are They Worth It?. Documentos de Trabajo (Banco Central de Chile), (299), 1.
  • Sula, Ozan; (2011), “Demand for International Reserves in Developing Nations: A Quantile Regression Approach”, Journal of International Money and Finance, 30(5), pp. 764-777.
  • Van Gerven, M., & Bohte, S. (2017). Artificial neural networks as models of neural information processing. Frontiers in Computational Neuroscience, 11, 114.
  • Yegnanarayana, B. (2009). Artificial neural networks. PHI Learning Pvt. Ltd..
  • Yüksel, R., & Akkoç, S. (2016). Altın fiyatlarının yapay sinir ağları ile tahmini ve bir uygulama. Doğuş Üniversitesi Dergisi, 17(1), 39-50.
  • Yuksel, S., & Özsari, M. (2017). Türkiye’nin kredi notunu etkileyen faktörlerin Mars yöntemi ile belirlenmesi. Politik Ekonomik Kuram, 1(2), 16-31.
Year 2021, Volume: 6 Issue: 4, 612 - 624, 31.12.2021
https://doi.org/10.29106/fesa.956225

Abstract

References

  • Ahsan, A., Skully, M. T., & Wickramanayake, J. (2006). Determinants of central bank independence and governance: Problems and policy implications. Journal of administration and governance, 1, 47-67.
  • Bird, Graham and Ramkishen RAJAN; (2003), “Too Much of A Good Thing? The Adequacy of International Reserves in the Aftermath of Crises”, The World Economy, 26(6), pp. 873-891.
  • Calomiris, C. W. (2000). When Will Economics Guide, IMF and World Bank Reforms. Cato J., 20, 85.
  • Céspedes, L. F., & Chang, R. (2020). Optimal foreign reserves and central bank policy under financial stress (No. w27923). National Bureau of Economic Research.
  • Céspedes, L. F., Chang, R., & Velasco, A. (2014). Is inflation targeting still on target? The recent experience of Latin America. International Finance, 17(2), 185-208.
  • Chowdhury, Md Niaz Murshed, Mohammed Jashim UDDIN, and Mohammad Saiful ISLAM; (2014), “An Econometric Analysis of the Determinants of Foreign Exchange Reserves in Bangladesh”, Journal of World Economic Research, 3(6), pp. 72-82
  • Cinel, E. (2015). Türkiye'de Döviz Rezervleri Yeterli mi? Are Foreign Exchange Reserves Sufficient In Turkey?. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 7(12), 131-144.
  • Cinel, E. A., & Yamak, N. (2014). Merkez Bankası döviz rezervlerinin belirleyicileri: Türkiye örneği. Ekonomik Yaklasim, 25(93), 21-38.
  • Dorrucci, E., Gavilá, S., Kreye, A., Rautava, J., Balcao Reis, T., Ghirga, M., ... & Lalouette, L. (2006). The accumulation of foreign reserves (No. 43). European Central Bank.
  • Elmas, Ç. (2003). Yapay sinir ağları kuram mimari uygulama. İstanbul: Seçkin Yayıncılık
  • Frenkel, J. A., & Jovanovic, B. (1981). Optimal international reserves: a stochastic framework. The Economic Journal, 91(362), 507-514.
  • Fuhrer, L. M., Nitschka, T., & Wunderli, D. (2020). Central bank reserves and bank lending spreads. Applied Economics Letters, 1-5.
  • Ghosh, A. (2016). What drives gold demand in central bank's foreign exchange reserve portfolio?. Finance Research Letters, 17, 146-150.
  • Gogul, P. (2020) Merkez Bankasi Döviz Rezervi Ve Cari Açik İlişkisi Üzerine Ampirik Bir Uygulama 1995-2019. Dicle Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (25), 238-249.
  • Gosselin, Marc-André, and Nicolas PARENT; (2005), An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia, Bank of Canada
  • Gümüş, İnci; (2016), “The Relationship Between Sovereign Spreads and International Reserves: Does the Exchange Rate Regime Matter?”, Emerging Markets Finance and Trade, 52(3), pp. 658-673
  • Heller, H. R. (1966). Optimal international reserves. The Economic Journal, 76(302), 296-311.
  • Hopfield, J. J. (1988). Artificial neural networks. IEEE Circuits and Devices Magazine, 4(5), 3-10.
  • IREFIN, David And Baba N. YAABA; (2011), “Determinants of Foreign Reserves in Nigeria: An Autoregressive Distributed Lag Approach”, CBN Journal of Applied Statistics, 2(2), pp. 63-82
  • Jeanne, O., & Ranciere, R. (2011). The optimal level of international reserves for emerging market countries: A new formula and some applications. The Economic Journal, 121(555), 905-930.
  • Jo, G. J. (2011). Analysis of international reserve hoarding in Korea. Pacific Economic Review, 16(2), 154-167.
  • Karfakis, C. (1997). The demand for international liquidity: a cointegration approach. Applied Financial Economics, 7(6), 673-678.
  • Kartal, M. T., & Tan, Ö. F. (2018). A Recommendation for Strengthening Reserves of the Central Bank of The Republic of Turkey (CBRT): Reserve Tax To Financial Intermediaries. In İstanbul Finance Congress (Vol. 11, p. 2018).
  • Kasman, A., & Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modelling, 25(1), 83-92.
  • Kelly, Michael; (1970), “The Demand for International Reserves”, The American Economic Review, 60(4), pp. 655-667
  • MACHLUP, Fritz; (1966), “The Need for Monetary Reserves”, PSL Quarterly Review, 19(78), pp. 175-222.
  • Mahraddika, W. (2019). Does international reserve accumulation crowd out domestic private investment?. International Economics, 158, 39-50.
  • Minjie, M., & Degong, M. (2016). The Effect of Export Rebate on RMB Exchange Rate and Foreign Exchange Reserves——Based on the Data from 1996 to 2014. Journal of Sichuan University (Philosophy and Social Science Edition), 1(9).
  • Okkan, U., Serbeş, Z. A., & Gedik, N. (2018). MATLAB ile Levenberg-Marquardt algoritması tabanlı YSA uygulaması: Aylık yağış-akış modellemesi. Dicle Üniversitesi Mühendislik Fakültesi Mühendislik Dergisi, 9(1), 351-362.
  • Öztemel, E. (2006). Yapay sinir ağları. İstanbul: Papatya Yayıncılık.
  • Panda, D. P., & Trivedi, P. (2016). Macroeconomic Determinants of India's Foreign Exchange Reserves: An Empirical Analysis. IUP Journal of Applied Economics, 15(4), 31.
  • Rodrik, D. (2006). The social cost of foreign exchange reserves. International Economic Journal, 20(3), 253-266.
  • Romero, A. M. (2005). Comparative study: factors that affect foreign currency reserves in China and India. Senibi, V., Oduntan, E., Uzoma, O., Senibi, E., & Oluwaseun, A. (2016). Public Debt and External Reserve: The Nigerian Experience (1981–2013). Economics Research International, 2016.
  • Shcherbakov, S. G. (2002). Foreign reserve adequacy: case of Russia. In Fifteenth Meeting of the IMF Committee on Balance of Payments Statistics, Australia.
  • Soto, C., & García, P. (2004). Large Hoardings of International Reserves: Are They Worth It?. Documentos de Trabajo (Banco Central de Chile), (299), 1.
  • Sula, Ozan; (2011), “Demand for International Reserves in Developing Nations: A Quantile Regression Approach”, Journal of International Money and Finance, 30(5), pp. 764-777.
  • Van Gerven, M., & Bohte, S. (2017). Artificial neural networks as models of neural information processing. Frontiers in Computational Neuroscience, 11, 114.
  • Yegnanarayana, B. (2009). Artificial neural networks. PHI Learning Pvt. Ltd..
  • Yüksel, R., & Akkoç, S. (2016). Altın fiyatlarının yapay sinir ağları ile tahmini ve bir uygulama. Doğuş Üniversitesi Dergisi, 17(1), 39-50.
  • Yuksel, S., & Özsari, M. (2017). Türkiye’nin kredi notunu etkileyen faktörlerin Mars yöntemi ile belirlenmesi. Politik Ekonomik Kuram, 1(2), 16-31.
There are 40 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Araştırma Makaleleri
Authors

Cavid Süleymanlı 0000-0003-2381-4085

Early Pub Date December 31, 2021
Publication Date December 31, 2021
Submission Date June 22, 2021
Acceptance Date December 6, 2021
Published in Issue Year 2021 Volume: 6 Issue: 4

Cite

APA Süleymanlı, C. (2021). Yapay Sinir Ağları İle Türkiye`nin Brüt Döviz Rezervlerinin Tahmini. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 6(4), 612-624. https://doi.org/10.29106/fesa.956225