BibTex RIS Cite

Year 2006, Volume: 1 Issue: 1, 15 - 39, 01.01.2006

Ahmet Çetin

Abstract

In this study, Shopping Costs version of Money Services Model constructed by Ratti and Jeong (1994) was applied to Turkish monthly data for the period of 1989:011999:12. Since structural break is founded in the data, cointegration analysis and error correction model are employed in the light of structural break. According to the empirical finding, it is founded that one of the sources of currency substitution is reel exchange rate uncertainty in Turkey

Keywords

Currency substitution cointegration structural break real exchange rate uncertainty

References

  • Andrews, D. W. (1993) “The Test for Parameter Instability and Structural Change with Unknown Change Point.” Econometrica, 61, 4: 821-856.
  • Ben-David, D. ve D. H. Papell (1994). “The Great Wars, the Great Crash, and the Unit Root Hypothesis: Some New Evidence about an Old Stylized Fact.” National Bureau of Economic Research, WP No. 4752.
  • Bergstrant, J. H. ve T. P. Bundt (1990). Currency Substitution and Monetary Autonomy: the Foreign Demand for US Demand Deposits. Journal of International Money and Finance 9 (3):325-334.
  • Branson, W. H. ve D. W. Henderson (1985) The Specification and Influence of Asset Markets. In R. W. Jones and P. B. Kenen (eds), Handbook of International Economics, Vol. II. Amsterdam: North Holland.
  • Calvo, G. A. ve C. A. Rodriguez (1977). “A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations.” Journal of Political Economy, 85, 31: 617-625.
  • Calvo G. A. ve C. A. Vegh (1992). “Currency Substitution in Developing Countries: An Introduction.” IMF Working Paper, 40.
  • Chow, G. C. (1960). “Tests Of Equality Between Sets Of Coefficients In Two Linear Regressions.” Econometrica, 28, 591-605.
  • Cuddington, J. T. (1989). “Currency Substitution: Theory and Evidence for Latin America by Victor A. Canto and Genald Nickelsburg: Book Review” Journal of Money, Credit and Banking, 21, 267-271.
  • Dickey, D., ve W. A. Fuller (1979). “Distribution of the Estimates for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74: 427-31.
  • Dickey, D., ve W. A. Fuller (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, 1057- 72.
  • Enders, W. (1995). Applied Econometric Time Series, New York, USA, John Wiley & Sons
  • Engel, R., ve C. W. Granger (1987). “Cointegration and Error Correction: Representation, Estimation and Testing.” Econometrica, 55, 251-277.
  • Gregory, A. W. ve B. E. Hansen (1996). “Residual-Based Test for Cointegration in Models with Regime Shifts.” Journal of Econometrics, 70, 99-126
  • Handa, J. ve I. M. Bana (1999). “Currency Substitution and Transactions Costs” Empirical Economics, 15: 231-243.
  • Johanson, S. ve K. Juselius (1990). “Maximum Likelihood Estimation and Inferences on Cointegration with Application to the Demand for Money” Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Joines, D. H. (1985) “International Currency Substitution And Income Velocity Of Money” Journal Of International Money And Finance, 4, 303-316.
  • Kouri, P. (1976) “The Exchange Rates And The Balance Of Payments In The Short Run And The Long Run: A Monetary Approach.” Scandinavian Journal Of Economics, 78, 280-304.
  • McKinnon, R. I. (1985) “Two Concepts of International Currency Substitution.” The Economics of Carribean Basin Connolly, M. D. ve J. McDermont (Ed), New York: Praeger.
  • Miles, M. (1978). “Currency Substitution, Flexible Exchange Rate, Monetary Independence.” American Economic Review, 68, 3, 428-436.
  • Milner, C., P. Mizen ve E. Pentecost (1996). “The Impact Of Intra-European Trade On Sterling Currency Substitution.” Weltwirtschaftliches Archiv- Review of World Economics, 132, 1, 160-171.
  • Phillips, P. ve P. Perron (1988). “Testing for a Unit Root in Time Series Regression.” Biometrica, 75, 335-46.
  • RATTI, R. A. ve B. W. JEONG (1994). “Variation in the Real Exchange Rate as a Source of Currency Substitution.” Journal of International Money and Finance, 13, 5, 537-550.
  • Rogers, J. H (1990). “Foreign Inflation Transmission under Flexible Exchange Rate and Currency Substitution.” Journal of Money, Credit, and Banking, 22, 2, 195-208.
  • Şiklar, E. (2000). “Eşbütünleşme Analizi ve Türkiye’de Para Talebi.” Eskişehir: Anadolu Üniveritesi Yayınları No.1206.
  • Telatar, E. (1996). “Kısa Dönem Döviz Kuru Belirsizliğinin Ölçülmesi: GARCH Modeli.” Hazine Dergisi, 2, Nisan, 103-115.
  • Telatar, F. (2003). “Türkiye’de Enflasyon, Enflasyon Belirsizliği ve Siyasi Belirsizlik Arasındaki Nedensellik İlişkileri“. İktisat İşletme ve Finans, Şubat, 42-51.
  • Thomas, L. R. (1985). “Portfolio Theory and Currency Substitution.” Journal of Money, Credit and Banking, 17, 3, 347-357.
  • Üçdoğruk, Ş. (1996). “Türkiye Para Talebi Modeli: Eşbütünleşme Analiz İlişkileri.” İktisat İşletme ve Finans, 126, 30-40.
  • Zervoyianni, A. (1988). “Exchange Rate Overshooting, Currency Substitution and Monetary Policy.” The Manchester School of Economics & Social Studies, 56, 3, 247-67.
  • Zervoyianni, A. (1992). International Macroeconomic Interdependence, Currency Substitution, and Price Stickiness. Journal of Macroeconomics 15 (1):59-86.
  • Zivot, E. ve Donald A. (1992). “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Journal of Business and Economics, 10, 251-270.

Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği

Year 2006, Volume: 1 Issue: 1, 15 - 39, 01.01.2006

Ahmet Çetin

Abstract

Bu çalışmada, Ratti ve Jeong (1994)’ın Alışveriş Maliyetleri Parasal Hizmet Modeli, 1989:01-1999:12 dönemlerini kapsayan Türkiye’nin aylık verilerine uygulanmıştır. Veri setinde yapısal kırılma tespit edildiğinden eşbütünleşme ve hata düzeltme modelleri, yapısal kırılma dikkate alınarak uygulanmıştır. Elde edilen ampirik bulgulara göre, Türkiye’de reel döviz kurunun para ikamesinin kaynaklarından biri olduğu yönünde deliller ortaya konmuştur

Keywords

Para ikamesi eşbütünleşme yapısal kırılma reel döviz kuru belirsizliği

References

  • Andrews, D. W. (1993) “The Test for Parameter Instability and Structural Change with Unknown Change Point.” Econometrica, 61, 4: 821-856.
  • Ben-David, D. ve D. H. Papell (1994). “The Great Wars, the Great Crash, and the Unit Root Hypothesis: Some New Evidence about an Old Stylized Fact.” National Bureau of Economic Research, WP No. 4752.
  • Bergstrant, J. H. ve T. P. Bundt (1990). Currency Substitution and Monetary Autonomy: the Foreign Demand for US Demand Deposits. Journal of International Money and Finance 9 (3):325-334.
  • Branson, W. H. ve D. W. Henderson (1985) The Specification and Influence of Asset Markets. In R. W. Jones and P. B. Kenen (eds), Handbook of International Economics, Vol. II. Amsterdam: North Holland.
  • Calvo, G. A. ve C. A. Rodriguez (1977). “A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations.” Journal of Political Economy, 85, 31: 617-625.
  • Calvo G. A. ve C. A. Vegh (1992). “Currency Substitution in Developing Countries: An Introduction.” IMF Working Paper, 40.
  • Chow, G. C. (1960). “Tests Of Equality Between Sets Of Coefficients In Two Linear Regressions.” Econometrica, 28, 591-605.
  • Cuddington, J. T. (1989). “Currency Substitution: Theory and Evidence for Latin America by Victor A. Canto and Genald Nickelsburg: Book Review” Journal of Money, Credit and Banking, 21, 267-271.
  • Dickey, D., ve W. A. Fuller (1979). “Distribution of the Estimates for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74: 427-31.
  • Dickey, D., ve W. A. Fuller (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, 1057- 72.
  • Enders, W. (1995). Applied Econometric Time Series, New York, USA, John Wiley & Sons
  • Engel, R., ve C. W. Granger (1987). “Cointegration and Error Correction: Representation, Estimation and Testing.” Econometrica, 55, 251-277.
  • Gregory, A. W. ve B. E. Hansen (1996). “Residual-Based Test for Cointegration in Models with Regime Shifts.” Journal of Econometrics, 70, 99-126
  • Handa, J. ve I. M. Bana (1999). “Currency Substitution and Transactions Costs” Empirical Economics, 15: 231-243.
  • Johanson, S. ve K. Juselius (1990). “Maximum Likelihood Estimation and Inferences on Cointegration with Application to the Demand for Money” Oxford Bulletin of Economics and Statistics, 52, 169-210.
  • Joines, D. H. (1985) “International Currency Substitution And Income Velocity Of Money” Journal Of International Money And Finance, 4, 303-316.
  • Kouri, P. (1976) “The Exchange Rates And The Balance Of Payments In The Short Run And The Long Run: A Monetary Approach.” Scandinavian Journal Of Economics, 78, 280-304.
  • McKinnon, R. I. (1985) “Two Concepts of International Currency Substitution.” The Economics of Carribean Basin Connolly, M. D. ve J. McDermont (Ed), New York: Praeger.
  • Miles, M. (1978). “Currency Substitution, Flexible Exchange Rate, Monetary Independence.” American Economic Review, 68, 3, 428-436.
  • Milner, C., P. Mizen ve E. Pentecost (1996). “The Impact Of Intra-European Trade On Sterling Currency Substitution.” Weltwirtschaftliches Archiv- Review of World Economics, 132, 1, 160-171.
  • Phillips, P. ve P. Perron (1988). “Testing for a Unit Root in Time Series Regression.” Biometrica, 75, 335-46.
  • RATTI, R. A. ve B. W. JEONG (1994). “Variation in the Real Exchange Rate as a Source of Currency Substitution.” Journal of International Money and Finance, 13, 5, 537-550.
  • Rogers, J. H (1990). “Foreign Inflation Transmission under Flexible Exchange Rate and Currency Substitution.” Journal of Money, Credit, and Banking, 22, 2, 195-208.
  • Şiklar, E. (2000). “Eşbütünleşme Analizi ve Türkiye’de Para Talebi.” Eskişehir: Anadolu Üniveritesi Yayınları No.1206.
  • Telatar, E. (1996). “Kısa Dönem Döviz Kuru Belirsizliğinin Ölçülmesi: GARCH Modeli.” Hazine Dergisi, 2, Nisan, 103-115.
  • Telatar, F. (2003). “Türkiye’de Enflasyon, Enflasyon Belirsizliği ve Siyasi Belirsizlik Arasındaki Nedensellik İlişkileri“. İktisat İşletme ve Finans, Şubat, 42-51.
  • Thomas, L. R. (1985). “Portfolio Theory and Currency Substitution.” Journal of Money, Credit and Banking, 17, 3, 347-357.
  • Üçdoğruk, Ş. (1996). “Türkiye Para Talebi Modeli: Eşbütünleşme Analiz İlişkileri.” İktisat İşletme ve Finans, 126, 30-40.
  • Zervoyianni, A. (1988). “Exchange Rate Overshooting, Currency Substitution and Monetary Policy.” The Manchester School of Economics & Social Studies, 56, 3, 247-67.
  • Zervoyianni, A. (1992). International Macroeconomic Interdependence, Currency Substitution, and Price Stickiness. Journal of Macroeconomics 15 (1):59-86.
  • Zivot, E. ve Donald A. (1992). “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Journal of Business and Economics, 10, 251-270.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Ahmet Çetin This is me

Publication Date January 1, 2006
Published in Issue Year 2006 Volume: 1 Issue: 1

Cite

APA Çetin, A. (2006). Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği. Sosyal Bilimler Araştırmaları Dergisi, 1(1), 15-39.
AMA Çetin A. Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği. JSSR. January 2006;1(1):15-39.
Chicago Çetin, Ahmet. “Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği”. Sosyal Bilimler Araştırmaları Dergisi 1, no. 1 (January 2006): 15-39.
EndNote Çetin A (January 1, 2006) Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği. Sosyal Bilimler Araştırmaları Dergisi 1 1 15–39.
IEEE A. Çetin, “Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği”, JSSR, vol. 1, no. 1, pp. 15–39, 2006.
ISNAD Çetin, Ahmet. “Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği”. Sosyal Bilimler Araştırmaları Dergisi 1/1 (January 2006), 15-39.
JAMA Çetin A. Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği. JSSR. 2006;1:15–39.
MLA Çetin, Ahmet. “Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği”. Sosyal Bilimler Araştırmaları Dergisi, vol. 1, no. 1, 2006, pp. 15-39.
Vancouver Çetin A. Alışveriş Maliyetleri Parasal Hizmet Modeli: Türkiye Örneği. JSSR. 2006;1(1):15-39.


Creative Commons Lisansı
Bu eser Creative Commons Atıf 4.0 Uluslararası Lisansı ile lisanslanmıştır.