Research Article
BibTex RIS Cite

The Relationship between Dollarization, Portfolio Flows and Exchange Rate Volatility for the Turkish Economy during the 2003-2018 Period

Year 2019, , 357 - 377, 31.12.2019
https://doi.org/10.26650/ISTJECON2019-0015

Abstract

Foreign currency usage (as deposits and loans) of the Turkish banking system (dollarization) has gradually decreased from 50 percent in 2003 to 30 percent in 2010. Yet, in the second half of 2011 dollarization in the Turkish banking system began increasing and reached to 50 percent. During the same period, volatility of the Turkish lira US dollar exchange rate has also elevated in a parallel fashion. Adverse effects of volatility on the economy such as discouraging investments, causing higher exchange rate passthrough to inflation are known. Analytic information regarding the determinants of conditional exchange rate volatility is important for monetary policy. In this paper, we investigate determinants of the Turkish lira US dollar exchange rate volatility EGARCH-M. Our results indicate that dollarization of the banking system, particularly credit dollarization has increasing effects on conditional exchange rate volatility. On the other hand, portfolio capital flows both to debt and stocks have reducing effect on conditional exchange rate volatility. At the same time, country risk measure, rise in Turkish government debt default insurance premium (CDS) has increasing effect on conditional exchange rate volatility. Elevation of conditional volatility and increase in interest spreads on Turkish lira US dollar loans lead to depreciation of the Turkish lira, while increase in interest rate spreads on Turkish lira US dollar deposits lead to appreciation of Turkish lira. As policy recommendation of this paper, dollarization in the banking system must be reduced by using appropriate tools while capital flows to the country must be encouraged.

References

  • Akçay, C. O., Alper, E. C., & Karasulu, M. (1997). Currency substitution and Exchange rate instability: The Turkish case. European Economic Review, 41, 827–835.
  • Bahmani-Oskooee, M., & Hajileeb, M. (2013). Exchange rate volatility and its impact on domestic investment. Research in Economics, 67(1), 1-12.
  • Barguellil, A., Ben-Salha, O., & Zmami, M. (2011). Exchange Rate Volatility and Economic Growth, Journal of Economic Integration, 33(2), 1302–1336.
  • Başçı ,E., & Kara, H. (2011). Finansal istikrar ve para politikası, İktisat İşletme ve Finans, Bilgesel Yayıncılık, 26(302), 9-25.
  • Brunner, A., & Hess, G. (1993). Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscadasticity Approach. Journal of Business & Economic Statisics, 11(2), 187– 97.
  • Caporale, G. M., Ali, F. M., & Spagnolo, F. (2017). International Portfolio Flows and Exchange Rate Volatility in emerging Asia Markets. Journal of International Money and Finance, 76, 1–15.
  • Fielding D., & Shields K. (2003). Do Currency Unions Deliver More Economic Integration than Fixed Exchange Rates? Evidence from the CFA and the ECCU. Discussion Papers in Economics 03/9, Department of Economics, University of Leicester.
  • Bollersev T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
  • Corrado, G. (2008). An open economy model with currency substitution and real dollarization. Journal of Economic Studies, 35(1), 32–46.
  • Honohan, P. (2001). Dollarization and Exchange Rate Fluctuations, IIIS Discussion Paper No. 201.
  • Kal, S. (2015). Analysis of Asymmetric Dynamics of Turkish Exports, non-published manuscript.
  • Kal, S., Arslaner, F., & Arslaner, N. (2015). Sources of Asymmetry and Nonlinearity in Pass-Through of Exchange Rate and Import Price to Consumer Price Inflation for the Turkish Economy during Inflation Targeting Regime, CBRT Working Paper 15/30.
  • Kumamoto, H., & Kumamoto, M. (2014). Does currency substitution affect Exchange rate volatility?. International Journal of Economics and Financial Issues, 4(4), 698–704.
  • Mengesha, L. G., & Holmes, M. J. (2013). Does Dollarization Alleviate or Aggrevate Exchange Rate Volatility, Journal of Economic Development, 38(2), ??.
  • Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59, 347–370.
  • Saatçioğlu, C., Bulut, C., & Korap, H. L. (2007). Does Currency Substitution Affect Exchange Rate Uncertainity ? The Case of Turkey, Journal of Qafqaz University 20 ??.
  • Yinusa, D. O., & Akinlo, A. E. (2008). Exchange Rate Volatility, Currency Substitution and Monetary Policy in Nigeria. Indian Economic Review, 43(2), 161–181.

2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi

Year 2019, , 357 - 377, 31.12.2019
https://doi.org/10.26650/ISTJECON2019-0015

Abstract

Türk bankacılık sisteminde 2003-2010 yılları arasında yüzde 50’lerden yüzde 30’lara gerileyen yabancı para cinsi mevduat ve kredi kullanım oranı (dolarizasyon), 2011 senesi ortalarından itibaren bir yükseliş sürecine girmiştir. Aynı dönemde, Türk lirası (TL) ABD doları (Dolar) kur oynaklığının da paralel bir seyir izlediği görülmektedir. Bu çalışmada TL Dolar kur oynaklığını etkileyen dolarizasyon dâhil diğer faktörler, genelleştirilmiş ardışık koşullu dağınık oynaklık (GARCH) sınıfı modellerden uygun bir model olan EGARCH-M modeli kullanılmak suretiyle araştırılmıştır. Yapılan ekonometrik analizden elde edilen bulgular, bankacılık sitemindeki yabancı para kullanımının, özellikle kredi dolarizasyonun, koşullu kur oynaklığına yukarı yönlü etkisine; hisse senedi ve borç senedi piyasalarına olan kısa vadeli sermaye akımlarının da koşullu kur oynaklığına aşağı yönlü etkisine işaret etmektedir. Türk kamu borçlanma senedi temerrüt primlerindeki (CDS) yükseliş de kur oynaklığına yukarı yönlü etki ettiği de bulgular arasındadır. Koşullu kur oynaklığının kurda değer kaybına yol açtığı, mevduatlardaki TL Dolar faiz farkın artışın TL’nin değerlenmesine, kredilerdeki TL Dolar faiz farkındaki artışın TL’nin değer kaybına yol açtığı görülmektedir. Ekonomide negatif etkileri bilinen kur oynaklığının düşmesi için bankacılık sistemindeki yabancı para kullanım oranının azaltılması ve sermaye akımlarının teşviki gerekmektedir.

References

  • Akçay, C. O., Alper, E. C., & Karasulu, M. (1997). Currency substitution and Exchange rate instability: The Turkish case. European Economic Review, 41, 827–835.
  • Bahmani-Oskooee, M., & Hajileeb, M. (2013). Exchange rate volatility and its impact on domestic investment. Research in Economics, 67(1), 1-12.
  • Barguellil, A., Ben-Salha, O., & Zmami, M. (2011). Exchange Rate Volatility and Economic Growth, Journal of Economic Integration, 33(2), 1302–1336.
  • Başçı ,E., & Kara, H. (2011). Finansal istikrar ve para politikası, İktisat İşletme ve Finans, Bilgesel Yayıncılık, 26(302), 9-25.
  • Brunner, A., & Hess, G. (1993). Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscadasticity Approach. Journal of Business & Economic Statisics, 11(2), 187– 97.
  • Caporale, G. M., Ali, F. M., & Spagnolo, F. (2017). International Portfolio Flows and Exchange Rate Volatility in emerging Asia Markets. Journal of International Money and Finance, 76, 1–15.
  • Fielding D., & Shields K. (2003). Do Currency Unions Deliver More Economic Integration than Fixed Exchange Rates? Evidence from the CFA and the ECCU. Discussion Papers in Economics 03/9, Department of Economics, University of Leicester.
  • Bollersev T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
  • Corrado, G. (2008). An open economy model with currency substitution and real dollarization. Journal of Economic Studies, 35(1), 32–46.
  • Honohan, P. (2001). Dollarization and Exchange Rate Fluctuations, IIIS Discussion Paper No. 201.
  • Kal, S. (2015). Analysis of Asymmetric Dynamics of Turkish Exports, non-published manuscript.
  • Kal, S., Arslaner, F., & Arslaner, N. (2015). Sources of Asymmetry and Nonlinearity in Pass-Through of Exchange Rate and Import Price to Consumer Price Inflation for the Turkish Economy during Inflation Targeting Regime, CBRT Working Paper 15/30.
  • Kumamoto, H., & Kumamoto, M. (2014). Does currency substitution affect Exchange rate volatility?. International Journal of Economics and Financial Issues, 4(4), 698–704.
  • Mengesha, L. G., & Holmes, M. J. (2013). Does Dollarization Alleviate or Aggrevate Exchange Rate Volatility, Journal of Economic Development, 38(2), ??.
  • Nelson, D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59, 347–370.
  • Saatçioğlu, C., Bulut, C., & Korap, H. L. (2007). Does Currency Substitution Affect Exchange Rate Uncertainity ? The Case of Turkey, Journal of Qafqaz University 20 ??.
  • Yinusa, D. O., & Akinlo, A. E. (2008). Exchange Rate Volatility, Currency Substitution and Monetary Policy in Nigeria. Indian Economic Review, 43(2), 161–181.
There are 17 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Research Article
Authors

Süleyman Hilmi Kal This is me 0000-0003-3698-3515

Publication Date December 31, 2019
Submission Date May 23, 2019
Published in Issue Year 2019

Cite

APA Kal, S. H. (2019). 2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi. İstanbul İktisat Dergisi, 69(2), 357-377. https://doi.org/10.26650/ISTJECON2019-0015
AMA Kal SH. 2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi. İstanbul İktisat Dergisi. December 2019;69(2):357-377. doi:10.26650/ISTJECON2019-0015
Chicago Kal, Süleyman Hilmi. “2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri Ve Kur Oynaklığı İlişkisi”. İstanbul İktisat Dergisi 69, no. 2 (December 2019): 357-77. https://doi.org/10.26650/ISTJECON2019-0015.
EndNote Kal SH (December 1, 2019) 2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi. İstanbul İktisat Dergisi 69 2 357–377.
IEEE S. H. Kal, “2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi”, İstanbul İktisat Dergisi, vol. 69, no. 2, pp. 357–377, 2019, doi: 10.26650/ISTJECON2019-0015.
ISNAD Kal, Süleyman Hilmi. “2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri Ve Kur Oynaklığı İlişkisi”. İstanbul İktisat Dergisi 69/2 (December 2019), 357-377. https://doi.org/10.26650/ISTJECON2019-0015.
JAMA Kal SH. 2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi. İstanbul İktisat Dergisi. 2019;69:357–377.
MLA Kal, Süleyman Hilmi. “2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri Ve Kur Oynaklığı İlişkisi”. İstanbul İktisat Dergisi, vol. 69, no. 2, 2019, pp. 357-7, doi:10.26650/ISTJECON2019-0015.
Vancouver Kal SH. 2003-2018 Dönemi Türk Ekonomisinde Dolarizasyon, Kısa Vadeli Sermaye Hareketleri ve Kur Oynaklığı İlişkisi. İstanbul İktisat Dergisi. 2019;69(2):357-7.