EXCHANGE RATE CHANNEL IN TURKEY: 2002-2008 PERIOD

Abstract

In this study, the functioning of the exchange rate channel is analyzed within the term that the last two IMF agreements were valid. For this purpose, the weight of the exchange rate within a policy shock is estimated in the first place and after that it is tested whether there is a structural difference during the term analyzed. Based on the findings gained, it can be stated that the weight of the exchange rate within a policy shock is not stable for the whole term; it is approximately equal to 0.30 for the 2002-2004 term, 0.18 for the 20062008 term and 0.10 for the 2006-2008 term. In addition, it is detected that the parameters of the VAR model are not stable during the term analyzed and there is a structural differences between pre and post 2006 era. Moreover, it is observed that the exchange rate pass through is high within the 2002-2004 term whereas relatively lower within the 2004-2006 term and distinctly low in the 2006-2008 term; besides, in spite of the fact that the identification problem has been solved, the uncovered interest rate parity didn’t work as expected with the effect of fiscal domination and caused exchange rate puzzle and that the exchange rate puzzle is suppressed in the post 2006 term

Keywords

• Identification Problem, Sample Split Chow Test, Fiscal Dominance, Exchange Rate Pass Through, VAR Analysis

TÜRKİYE’DE DÖVİZ KURU KANALI: 2002-2008 DÖNEMİ

Öz

Bu çalışmada son iki IMF anlaşmasının geçerli olduğu dönemde döviz kuru kanalının işleyişi incelenmektedir. Bu amaçla, ilk olarak bir politika şoku içinde döviz kuru ağırlığı tahmin edilmiş, ardından ele alınan dönem içerisinde bir yapısal farklılık olup olmadığı test edilmiştir. Elde ettiğimiz bulgulara dayanarak, bir politika şoku içerisinde döviz kurunun ağırlığının, tüm dönem için sabit olmadığı, 2002-2004 döneminde yaklaşık olarak 0.30, 2004-2006 döneminde yaklaşık olarak 0.18 ve 2006-2008 döneminde ise yaklaşık olarak 0.10 olduğu söylenebilir. Ayrıca, VAR modelinin parametrelerin ele alınan dönem boyunca istikrarlı olmadığı ve 2006 yılı öncesi ve sonrası dönemlerin yapısal olarak farklılık gösterdiği belirlenmiştir. Geçiş etkisinin, 2002-2004 döneminde yüksek, 2004-2006 döneminde ise göreceli olarak daha düşük olduğu, 2006-2008 dönemindeyse oldukça azaldığı, bunlara ek olarak, tanımlama probleminin çözülmüş olmasına rağmen, mali baskınlığın etkisiyle 2002–2006 döneminde kapsanmamış faiz oranı paritesinin beklendiği şekilde çalışmadığı, döviz kuru paradoksuna yol açtığı, 2006 sonrası dönemde ise döviz kuru paradoksunun ortadan kalktığı gözlemlenmiştir.

Anahtar Kelimeler

• Tanımlama Problemi, Ayrık Örneklem Chow Testi, Mali Baskınlık, Geçiş Etkisi, VAR Analizi

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