ASYMMETRIC EFFECTS OF EXCHANGE RATE ON BILATERAL TRADE OF TURKEY AND GREECE

Abstract

In many studies on macroeconomic variables, non-linear relationships between variables are neglected. This study examines the linear and nonlinear dynamics on bilateral trade of Turkey and Greece. Within the framework of the analysis, exchange rate, consumer price and industrial production index and the bilateral trade between Turkey and Greece are used as monthly data that covers the period from 2003:1 to 2017:4. In the scope of the study, at first, unit root tests of the data were performed. In the next stage, the linear relations were analysed by ARDL model and nonlinear relations were analysed with the help of NARDL model. According to the test results, in the long-term there is found an asymmetric relation between real exchange rate and bilateral trade. Both the depreciation and appreciation of the Euro positively affects bilateral trade of Turkey and Greece. In this context, it is thought that the presence of Greece in the European Monetary Union limits the effect of real effective foreign currency exchange and affects bilateral trade between Turkey and Greece

Keywords

• Exchange Rate
• Greece
• Turkey
• Trade Balance
• ARDL
• NARDL

DÖVİZ KURUNUN TÜRKİYE İLE YUNANİSTAN İKİLİ TİCARETİNE ASİMETRİK ETKİLERİ

Öz

Makroekonomik değişkenler üzerine yapılan birçok çalışmada değişkenler arasındaki doğrusal olmayan ilişkiler, ihmal edilmektedir. Bu çalışmada Türkiye ve Yunanistan ikili ticaretinde doğrusal ve doğrusal olmayan dinamikler incelenmektedir. Analiz çerçevesinde, Türkiye ve Yunanistan’ın 2003:1 ile 2017:4 dönemlerine ait aylık döviz kuru, tüketici fiyat ile sanayi üretim endeksi ve ikili ticaretine ilişkin veriler kullanılmaktadır. Çalışma kapsamında öncelikle verilerin birim kök testleri yapılmıştır. Sonraki aşamada, doğrusal ilişkiler ARDL modeli ve doğrusal olmayan ilişkiler, NARDL modeli yardımıyla analiz edilmiştir. Test sonuçlarına göre reel döviz kuru ile ikili ticaret arasında uzun dönemde asimetrik ilişkiye rastlanmaktadır. Uzun dönemde Euro’nun değer kaybetmesi de değer kazanması da Türkiye-Yunanistan ikili ticaretini, pozitif etkilemektedir. Bu bağlamda Yunanistan’ın, Avrupa Para Birliği’nde yer almasının, reel efektif döviz kurunun etkisini sınırladığı ve Türkiye-Yunanistan ikili ticaretini etkilediği düşünülmektedir.

Anahtar Kelimeler

• Döviz Kuru
• Yunanistan
• Türkiye
• Ticaret Dengesi
• ARDL
• NARDL

References

1. Akbostanci, E. (2004). Dynamics of the trade balance: the turkish J- curve. Emerging Markets Finance and Trade, 40(5), 57–73. http://doi.org/10.1080/1540496X.2004.11052584
2. Bahmani-Oskooee, M., & Fariditavana, H. (2015). Nonlinear ARDL approach, asymmetric effects and the J-curve. Journal of Economic Studies, 42(3), 519–530. http://doi.org/10.1108/JES-03-2015-0042
3. Bahmani-Oskooee, M., & Halicioglu, F. (2017). Asymmetric effects of exchange rate changes on Turkish bilateral trade balances. Economic Systems, 41(2), 279–296. http://doi.org/10.1016/j.ecosys.2016.07.001
4. Bahmani-Oskooee, M., & Zhang, R. (2014). Is there J-Curve effect in the commodity trade between Korea and rest of the world? Economic Change and Restructuring, 47(3), 227–250. http://doi.org/10.1007/s10644- 013-9148-5
5. Balke, N. S., & Fomby, T. B. (1997). Threshold cointegration. International Economic Review, 38(3), 627–645. http://doi.org/10.2307/2527284
6. Chen, L. L., & Devereux, J. (1994). Import prices, export prices and the current account. Economics Letters, 44(4), 415–420. http://doi.org/10.1016/0165-1765(94)90114-7
7. Granger, C., & Yoon, G. (2002). Hidden cointegration (Economics Working Paper) (C. 508). http://doi.org/10.2139/ssrn.313831
8. Gylfason, T., & Risager, O. (1984). Does devaluation improve the current account? European Economic Review, 25(1), 37–64. http://doi.org/10.1016/0014-2921(84)90070-9

9. Halicioglu, F. (2008a). The bilateral J-curve: Turkey versus her 13 trading partners. Journal of Asian Economics, 19(3), 236–243. http://doi.org/10.1016/j.asieco.2008.02.006
10. Halicioglu, F. (2008b). The J-curve dynamics of Turkey: an application of ARDL model. Applied Economics, 40(18), 2423–2429. http://doi.org/10.1080/00036840600949496
11. Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk Daniel Kahneman; Amos Tversky. Econometrica, 47(2), 263–292. http://doi.org/10.1111/j.1536-7150.2011.00774.x
12. Kale, P. (2001). Turkey’s trade balance in the short and the long run: Error correction modeling and cointegration. The International Trade Journal, 15(1), 27–56. http://doi.org/10.1080/088539001300005440
13. Karamelikli, H. (2016). Linear and Nonlinear Dynamics of the Turkish Trade Balance. International Journal of Economics and Finance, 8(2), 70–80. http://doi.org/10.5539/ijef.v8n2p70
14. Keynes, J. (1936). The general theory of employment, interest and money. London: Macmiillan. Tarihinde adresinden http://cas.umkc.edu/economics/people/facultyPages/kregel/courses/econ645/Winter2011/GeneralTheory. pdf erişildi
15. Khan, M. S. (1974). Import and Export Demand in Developing Countries. Staff Papers - International Monetary Fund, 21(3), 678–693.
16. Magee, S. P. (1973). Currency contracts, pass-through, and devaluation. Brookings Papers on Economic Activity, 4(1).
17. Narayan, P. K. (2005). The saving and investment nexus for China: evidence from cointegration tests. Applied Economics, 37(17), 1979–1990. http://doi.org/10.1080/00036840500278103
18. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. http://doi.org/10.1002/jae.616
19. Schorderet, Y. (2002). A nonlinear generalization of cointegration : A note on hidden cointegration (No. 2002.03). Genève.
20. Schorderet, Y. (2003). Asymmetric cointegration (No. 2003.01). Cahiers du département d’économétrie, Faculté des sciences économiques et sociales, Université de Genève.
21. Shiller, R. J. (1993). Macro Markets: Creating Institutions for Managing Society’s Largest Economic Risks. Clarendon Press.
22. Shiller, R. J. (2005). Irrational Exuberance (2nd Editio). Princeton University Press.
23. Shin, Y., Yu, B., & Greenwood-nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Içinde R. C. Sickles & W. C. Horrace (Ed.), Festschrift in Honor of Peter Schmidt Econometric Methods and Applications (ss. 281–314). http://doi.org/10.1007/978-1-4899-8008-3