EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH

Year 2008, Issue: 7, 24 - 50, 05.09.2011

Levent Korap

Abstract

In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following a large literature review we first highlight various approaches explaining monetary model exchange rate determination based on economic fundamentals and then construct an empirical model revealing both long-run stationary relationships and short-run dynamic adjustment processes of the nominal exchange rate for the Turkish economy. Our findings employing multivariate Johansen-Juselius type co-integrating approach indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based
equilibrium course of the nominal exchange rate have permanent effects on the long-run equilibrium exchange rate and so have been stemmed from the existence of some form of hysteresis effects dominated in the nominal exchange rate. 

Keywords

Exchange Rates, Sticky Price Monetary Model, Flexible Price Monetary, Economic Fundamentals, Randow Walk, Co-integration, Hysteresis, Turkish Economy

EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH

Abstract

Çalışmamızda, TL/US$ döviz kuru belirlenme mekanizması 1987Q1-2006Q4 döneminde üçer aylık veriler
kullanılarak incelenmektedir. Geniş bir yazın taramasından yaralanılmak suretiyle öncelikle iktisadi temeller
dahilinde oluşturulmuş döviz kuru belirlenme mekaniznasına yönelik çeşitli yaklaşımlar aydınlatılmış ve daha
sonra parasal döviz kurunundan kaynaklanan hem uzun dönem durağan ilişkileri hem de kısa dönemli
devinimsel uyum süreçlerini Türkiye ekonomisi koşullarında ortaya koyan uygulamalı bir model
oluşturulmuştur. Çok değişkenli Johansen-Juselius eş-bütünleşim yaklaşımı kullanılarak elde ettiğimiz
sonuçlar parasal döviz kurunun iktisat kuramı tarafından önerilen temeller ile eş-bütünleşik olduğunu
göstermiştir. Ayrıca, parasal döviz kurunun iktisadi temeller dahilindeki denge yolundan kısa dönemli
sapmaları uzun dönem denge döviz kuru üzerinde kalıcı etkiler göstermekte ve bu nedenle parasal döviz kuru
içerisinde yerleşik bulunan histeresis türü etkilerin varlığı altında ortaya çıkmaktadır.

Keywords

Döviz kurları, Katı Fiyat Parasal Modeli, Esnek Fiyat Parasal Modeli, İktisadi Temeller, Rassal Yürüyüş, Eş-bütünleşim, Histeresis, Türkiye Ekonomisi

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