Kırılgan Piyasa Ekonomileri Arasında Döviz Kurları Yakınsıyor mu? LM ve RALS-LM Birim Kök Testlerinden Yeni Kanıtlar

Öz

Küresel finansal entegrasyon, ekonomik krizlerin, savaşların veya salgın hastalıkların iktisadi etkilerinin gelişmekte olan ülkelerde daha fazla hissedilmesine neden olmakta ve bu ekonomilerde yüksek kur oynaklıklarını tetiklemektedir. Böyle bir finansal ortamda, ülkelerin döviz kuru oynaklıklarının benzer şekilde etkilenmeyip birbirlerinden farklı ayrışma eğilimi sergilemeleri dikkat çeken araştırma konusunu oluşturmaktadır. Bu çalışma, kırılgan piyasa ekonomilerinin döviz kuru oynaklıklarının stokastik yakınsama yaklaşımıyla yakınsayıp yakınsamadıklarını araştırmaktadır. Bu soruyu cevaplamak için, geleneksel ve yapısal kırılmalı birim kök testlerinin yanı sıra kalıntılardaki normal dağılmama bilgisini dikkate alan RALS birim kök testleri kullanılarak serilerin stokastik davranışları analiz edilmiştir. Birim kök testi literatüründeki test prosedürlerinin boyut ve güç özelliklerine ilişkin tartışmalar, test sonuçlarının çıkarımlarının önemli bir bölümünü oluşturmuştur. Bu tartışmaların ışığında, stokastik yakınsama varsayımının Brezilya, Güney Afrika, Hindistan ve Macaristan için geçerli olduğu, Arjantin, Meksika ve Türkiye için geçerli olmadığı sonucuna varılmıştır. Elde edilen bulgulara yönelik politika çıkarımları ise, kırılgan piyasa ekonomilerinin kendi aralarında farklı kırılganlık seviyelerine sahip olduğu ve yüksek kırılganlık düzeyindeki ülkelerin diğerlerine göre daha yüksek oynaklık gösterdiği şeklindedir.

Anahtar Kelimeler

• Döviz Kuru
• Stokastik Yakınsama
• RALS Birim Kök Testleri
• Kırılgan Piyasa Ekonomileri

Do the Exchange Rates Converge Among Fragile Market Economies? New Evidence from LM and RALS-LM Unit Root Tests

Abstract

Global financial integration causes the economic consequences of economic crises, wars, or pandemics to be felt more in developing countries and triggers high exchange rate volatilities in these economies. In such an integrated financial environment, it is an interesting research domain how and why the exchange rate volatilities of countries are not affected similarly but tend to diverge from each other. This study investigates whether the exchange rate volatilities of fragile market economies converge in the stochastic convergence framework. To answer this question, we analyzed the stochastic behavior of the series using the traditional and structural break unit root tests besides RALS unit root tests, which consider the information of non-normal errors. The discussions regarding the size and power properties of test procedures in the unit root testing literature have formed a crucial part of the implications of the test results. In light of these discussions, we conclude that the stochastic convergence assumption is valid for Brazil, South Africa, India, and Hungary, whereas it is not valid for Argentina, Mexico, and Türkiye. The policy implications of our findings are that fragile market economies have different fragility levels among themselves and countries with high fragility levels show higher volatility than others.

Keywords

• Exchange Rates
• Stochastic Convergence
• RALS Unit Roots
• Fragile Market Economies

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