TÜRKİYE’DE DÖVİZ KURU OYNAKLIĞININ SEKTÖREL İTHALATA ETKİLERİ: BİR ARDL İTHALAT MODELİ ANALİZİ

Year 2009, Volume: 27 Issue: 2, 19 - 44, 31.12.2009

Lütfi Erden , Güliz Sağlam

Abstract

Bretton Woods
Sistemi’nin 1973’de sona ermesini takip eden yıllarda, Türkiye dahil bir çok
ülke esnek veya esneğe yakın bir kur sistemini benimsemiştir. Bu gelişme, kurda
artan oynaklığa yol açarak dış ticaret üzerinde yansımaları olabilecek bir
ortam yaratmıştır. Böylece dış ticaret politikası geliştirmek için, kur
oynaklığının dış ticaret üzerine etkilerinin değerlendirilmesi ön koşul haline
gelmiştir. Bu amaçla, bu çalışma, Türkiye’de döviz kuru oynaklığının önce
toplam ithalat üzerine etkilerini ve daha sonra tüketim ve yatırım malı
ithalatı üzerine etkilerini incelemektedir. Bunun için, 1989-2008 yıllarına ait
aylık veriler kullanarak, önce kur oynaklığı ve ithalat talebi arasında bir
eşbütünleşme ilişkisinin olup olmadığı sınır testiyle irdelenmiş, daha sonra
ise bir ARDL hata düzeltme modeli çerçevesinde bu değişkenler arası kısa dönem
dinamikler araştırılmıştır. Bulgular, kur oynaklığı ile yatırım malı ithalatı
arasında negatif bir ilişki ortaya koyarken, tüketim malı ithalatıyla kur
oynaklığı arasında bir eşbütünleşme ilişkisinin olmadığını göstermiştir.      

 

Keywords

Döviz kuru oynaklığı, sektörel ithalat talebi, ARDL Model

The Effects of Exchange Rate Volatility on Sectoral Imports in Turkey: An Analysis of an ARDL Model for Imports

Abstract

In the
following years after the collapse of the Bretton Woods System in 1973, many
countries including Turkey adopted a flexible or a managed floating exchange
rate system. This has led to a high volatility in the exchage rates, which is
thought to be quite influenatial on foreigh trade. Therefore, it became
imperative for policy makers to evaluate the potential effects of exchange rate
volatility on international trade. To this end, this study investigates the
impact of exchange rate volatility on import demand in Turkey. Further, the
study disaggregates imports into two sectors: import demand on consumption
goods and on investment goods (inlcuding intermediate goods) in order to see
whether volatility in exchange rate has differing impacts. Using monthly data
over 1989-2008 periods, the study firstly performes an ARDL bounds test to
check if the variables of interests form a cointegrating relationship and then
specifies an ARDL error correction model to investigate the short run dynamics
between import demand and volatility. The findings indicate that while
volatility and import demand on investment goods are cointegrated and are
negatively related, there is no cointegrating relationship between exchange
rate volatility and import demand on consumptions goods.  

  

Keywords

Exchange rate volatility, sectoral import demand, ARDL Model

References

• Aldemir, S. (2007) “Türkiye Ekonomisinde Döviz Kurunun Yurtiçi İthalat Fiyatlarına Geçiş Etkisi: 1988-2004”, Uluslararası Ekonomi ve Dış Ticaret Politikaları, 1(2), 53-78.
• Arize, A.C. (1998) “The Long-Run Relationship Between Import Flows and Real Exchange Rate Volatility: The Experience of Eight European Economies”, International Review of Economics and Finance, 7(4), 417-435.
• Artus, J.R. (1983) “Toward a more Orderly Exchange Rate System”, Finance and Development, 20, 10-13.
• Bachetta, P. and van E. Wincoop (2000) “Trade Flows, Prices, and the Exchange Rate Regime”, http://www.bankofcanada.ca/en/res/wp/2000/bacchetta.pdf, 23.05.2009
• Bailey, M.J. and G.S. Tavlas (1988) “Trade and Investment Performance under Floating Exchange Rates: The U.S. Experience”, IMF Working Paper, 37, 1-24.
• Barkolaus, J.T., C.F. Baum and M. Çağlayan (2002) “Exchange Rate Effects on the Volume and Variability of Trade Flows”, Journal of International Money and Finance, 21, 481-496.
• Belanger, D., S. Gutierrez, D. Racette and J. Raynauld (1992) “The Impact of Exchange Rate Variability on Trade Flows: Further Results on Sectoral U.S. Imports from Canada”, Nort American Journal of Economics and Finance, 3, 888-92.
• Betts, C. and M. Devereux (2000) “Exchange Rate Dynamics in a Model of Pricing to Market, Journal of International Economics, 50(1), 215-44.
• Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
• Bollerslev, T. (1990) “Modelling The Coherence in Short-Run Nominal Exchange Rates : A Multvariate Generalized ARCH Models”, Review of Economics and Statics, 78, 498-505.
• Brodsky, D.A. (1984) “Fixed versus Flexible Exchange Rates and the Measurement of Exchange Rate Instability”, Journal of International Economics ,16, 295-306.
• Caporale, T. and K. Doroodian (1994) “Exchange Rate Variability and the Flow of International Trade”, Economics Letters, 46, 49-54.
• Cheong, C. (2004) “Does The Risk of Exchange Rate Fluctution Really Affect International Trade Flows Between Countries”, Economic Bulletin, 6(4), 1-8.
• Daly, K. (1998) “Does Exchange Rate Volatility Impede the Volume of Japan’s Biletarel Trade?” Japon and The World Economy,10, 333-348.
• De Grauwe, P. (1988) “Exchange Rate Variability and the Slowdown in the Growth of International Trade”, IMF Staff Papers, 35, 63-84.
• Dell’ Aricca, G. (1998) “Exchange Rate Fluctuaitons and Trade Flows: Evidence from the Europion Union”, IMF Working Paper, 107, 3-25.
• Grube, B.T. and S.K. Samantha (2003) “Effects of Exchange Rate Uncertainty on Mexican Foreign Trade”, The Multinational Business Review, 11(2), 3-15.
• Kenen, P. and D. Rodrik (1986) “Measuring and Analysing the Effects of Short-Term Volatility on Real Exchange Rates”, Review of Economics and Statistics, 311-315.
• Koray, F. and W.D. Lastrapes (1989) “Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach”, The Review of Economics and Statistics, 71, 708-712.
• Kumar, V. (1992) “Real Effects of Exchange Risk on International Trade”, Federal Reserve Bank of Atlanta, Working Paper, 92-5.
• Lane, P.R. (2001) “The New Open Economy Macroeconomics: A Survey”, Journal of International Economics, 54(2), 235–266.
• Lastrapes, W.D. and F. Koray (1990) “Exchange Rate Volatility and U.S.Multilateral Trade Flows”, Journal of Macroecenomics,12(3), 341-362.
• McKenzie, M.D. (1998) “The Impact of Exchange Rate Volatility on Australian Trade Flows”, Journal of International Financial Markets, Institutions and Money, 8, 21-38.
• McKenzie, M. and R. Brooks (1997) “The Impact of Exchange Rate Volatility on German-U.S. Trade flows”, Journal of International Financial Markets, Institutions and Money, 7, 73-87.
• Medhora, R. (1990) “Exchange Rate Variability on Trade: The Case of the West African Monetary Unions’s Imports”, World Develepmont, 18(2), 313-324. Obstfeld, M. and K. Rogoff (1995) “Exchange Rate Dynamics Redux” Journal of Political Economy, 103, 624-660.
• Pesaran M. Hashem, Y. Shin and R. Smith (2001) “Bounds Testing Approaches to The Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
• Rathmatsyah, T., G. Ragajuru and R. Siregar (2002) “Exchange Rate Volatility and ‘fixing for life’ in Thailand”, Japan and World Economy, 14, 445-470.
• Sanusi, N. A. and N.M. Salleh (2007) “Financial Development and Economic Growth in Malasia: An Application of ARDL Approach”, International Conference on Business and Information, Tokyo, Japan, ibacnet.org/bai2007/proceedings/Papers/2007bai7443.doc, Erişim Tarihi 20.03.09 Sercu, P. (1992) “Exchange Risk Exposure, and the Option to Trade”, Journal of International Money and Finance, 11, 579-593.
• Sercu, R. and R. Uppal (2003) “Exchange Rate Volatility and International Trade: A General Equilibrium Analysis”, European Economic Review, 47, 429-441.
• Siregar, R and R.S. Rajan (2002) “Impact of Exchange Rate Volatility on Indenosia’s Trade Performance in the 1990s”, Centre for International Economic Studies Discussion Paper, 205, 1-48.
• Şimşek, M. and C. Kadılar (2006) “Döviz Kurundaki Değişkenliğin Türkiye’nin İthalatına Uzun Dönemli Etkisi”, İktisat İşletme ve Finans Dergisi, 21(24), 122-136.