Döviz Piyasası Baskısının Belirleyicileri Üzerine Asimetrik Bir İnceleme

Abstract

Bu çalışmada Türkiye’de Döviz Piyasası Baskısı’nın belirleyicilerini incelenmektedir. ARDL sınır testi sonuçları Döviz Piyasası Baskısı (DPB) ile Bankacılık Sektörü Kırılganlığı (BFR), M2/Uluslararası Rezervler (RES) ve Reel Döviz Kuru (RER) arasında eşbütünleşme ilişkisi olduğunu ortaya koymaktadır. NARDL bulguları da bu sonucu desteklemektedir. NARDL sonuçları ayrıca en güçlü eşbütünleşme ilişkisinin DPB ile RES arasında olduğunu göstermektedir. Bununla birlikte yalnızca uzun vadede BFR’ye gelen şokların DPB üzerinde anlamlı etkilere yol açtığı tespit edilmektedir. Diğer taraftan kısa vadede RES’e gelen pozitif (negatif) şokların DPB’yi artırdığı (azalttığı), RER’deki düşüşün DPB’yi azalttığı görülmektedir. Son olarak tüm değişkenlerden Döviz Piyasası Baskısı’na dönük güçlü asimetrik nedensellikler tespit edilmektedir.

Keywords

• Döviz Piyasası Baskısı
• ARDL-NARDL
• Asimetrik Nedensellik

An Asymetric Analysis on the Determinants of Exchange Market Pressure: The Case of Turkey

Abstract

This study examines the determinants of Exchange Market Pressure in Turkey. ARDL bounds test results reveal that there is a cointegration relationship between Exchange Market Pressure (DPB) and Banking Sector Fragility (BFR), M2/International Reserves (RES), Real Exchange Rate (RER). NARDL consequences support this outcome, as well. NARDL results also show that the strongest cointegration relationship is between DPB and RES. In addition, only long-term shocks to BFR have significant effects on DPB. Beside, in the short term positive (negative) shocks to RES increase (decrease) DPB, and fall in RER decreases DPB. Finally, strong asymmetric causality from all variables towards Exchange Market Pressure is determined.

Keywords

• ARDL-NARDL
• Exchange Market Pressure
• Asymmetric Causality

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