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ARE CENTRAL BANK RESERVES AN IMPORTANT INSTRUMENT FOR STABILITY IN EXCHANGE RATES?

Year 2018, Volume: 7 Issue: 4, 376 - 381, 30.12.2018

Yunus Acci

https://doi.org/10.17261/Pressacademia.2018.998

Abstract

Purpose- In developing countries, the most important macroeconomic variable shaping individuals' expectations for economic stability is the nominal exchange rate. For this reason, the first impact of central banks monetary policy implementation results comes out at nominal exchange rate. In this study, the relationship between the nominal exchange rate and the gross foreign exchange reserves of the central bank has been investigated.
Methodology- In this study, Dickey-Fuller (1981, ADF) and Phillips-Perron (1988, PP) unit root tests, asymmetrical causality test and lastly Bootstrap Rolling Window Causality tests developed by Balcılar et al. (2010) have been used.
Findings- There is a causal relationship between the nominal exchange rate and central bank reserves. Central bank interfere in nominal exchange rate with its reserves rather than interest policy.
Conclusion- As a result of the empirical analysis, causality has been found from positive shocks coming to nominal exchange rates to positive shocks in central bank gross foreign exchange reserves and from positive shocks formed in central bank gross foreign exchange reserves to negative shocks coming in nominal exchange rate.

Keywords

Exchange rates central banking causality asymmetric causality bootstrap rolling window causality

References

  • Açcı, Y. (2015). Türkiye’de döviz kuru geçişkenliğinin ihracat ve ithalat fiyatları üzerindeki etkisi. İnönü Üniversitesi Sosyal Bilimler Enstitüsü Doktora Tezi, Malatya.
  • Alper, E., Ardıç, P. (2006). Serbest kur rejimi döneminde döviz kuru öngörüsü: Türkiye’ye uygulama. Uluslararası Ekonomi ve Dış Ticaret Politikaları, 1(1), pp. 51-68.
  • Balaylar N., Ural, M. (2007). Bankacılık sektöründe yüksek risk ve baski endeksleri. Finans, Politik ve Ekonomik Yorumlar, 44(509), pp. 47-57.
  • Balaylar, N. (2011). Türkiye’de döviz piyasasi müdahalelerinin sterilizasyon maliyeti. DokuzEylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(3), pp. 19-38.
  • Balcilar, M., Ozdemir, Z. A., Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics. 32(6), 1398-1410.
  • Bayat, T., Senturk, M., Kayhan, S. (2014). Exchange rates and foreign exchange reserves in Turkey: nonlinear and frequency domain causality approach. Theoretical & Applied Economics, 21(11).
  • Bayat, T. Özcan ,B., Taş, Ş. (2015). Türkiye’de döviz kuru geçiş etkisinin asimetrik nedensellik testleri ile analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi,10(2), 7-30.
  • Calvo, G., Reinhart, C. (2001). The twin crises: the causes of balance-of payments problems. George Washington University Department of Economics Working Paper, 89(3), pp. 473-500.
  • Dickey, D., Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal Of The American Statistical Association, 74, Ss:427- 431.
  • Dickey, D., Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, Ss:1057-72.
  • Hatemi-J, A., Roca, E. (2014). BRICs and PIGS in the presence of Uncle Sam and big brothers: who drive who? Evidence based on asymmetric causality tests. Griffith University, Department of Accounting, Finance and Economics.
  • Kar, M., Bayat, T., Kayhan, S. (2016). Impacts of credit default swaps on volatility of the exchange rate in Turkey. International Journal of Economics and Finance, 4(14).
  • Kasman, A., Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: structural breaks, unit root and cointegration. Economic Modeling, 25, pp. 83-92.
  • Koçyiğit, A., Kayhan, K., Bayat, T. (2013). Enflasyon hedeflemesi rejiminde öğrenme süreci ve asimetri: Markov Switching yaklaşımı. Eskişehir Osmangazi Üniversitesi İİBF Dergisi,8(1), 191-212.
  • MacKinnon, J. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, ss:601–618.
  • Parlaktuna, I. (2005). Exchange market pressure in Turkey 1993–2004: an application of theGirton–Roper monetary model. International Economic Journal, 19 (1), pp. 51-62.
  • Phillips, P., Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 75, 335-346.
  • Sevüktekin, M., Nargeleçekenler M. (2010). Ekonometrik zaman serileri analizi. 3. Baskı, Ankara: Nobel Yayınevi.

Year 2018, Volume: 7 Issue: 4, 376 - 381, 30.12.2018

Yunus Acci

https://doi.org/10.17261/Pressacademia.2018.998

Abstract

References

  • Açcı, Y. (2015). Türkiye’de döviz kuru geçişkenliğinin ihracat ve ithalat fiyatları üzerindeki etkisi. İnönü Üniversitesi Sosyal Bilimler Enstitüsü Doktora Tezi, Malatya.
  • Alper, E., Ardıç, P. (2006). Serbest kur rejimi döneminde döviz kuru öngörüsü: Türkiye’ye uygulama. Uluslararası Ekonomi ve Dış Ticaret Politikaları, 1(1), pp. 51-68.
  • Balaylar N., Ural, M. (2007). Bankacılık sektöründe yüksek risk ve baski endeksleri. Finans, Politik ve Ekonomik Yorumlar, 44(509), pp. 47-57.
  • Balaylar, N. (2011). Türkiye’de döviz piyasasi müdahalelerinin sterilizasyon maliyeti. DokuzEylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(3), pp. 19-38.
  • Balcilar, M., Ozdemir, Z. A., Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics. 32(6), 1398-1410.
  • Bayat, T., Senturk, M., Kayhan, S. (2014). Exchange rates and foreign exchange reserves in Turkey: nonlinear and frequency domain causality approach. Theoretical & Applied Economics, 21(11).
  • Bayat, T. Özcan ,B., Taş, Ş. (2015). Türkiye’de döviz kuru geçiş etkisinin asimetrik nedensellik testleri ile analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi,10(2), 7-30.
  • Calvo, G., Reinhart, C. (2001). The twin crises: the causes of balance-of payments problems. George Washington University Department of Economics Working Paper, 89(3), pp. 473-500.
  • Dickey, D., Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal Of The American Statistical Association, 74, Ss:427- 431.
  • Dickey, D., Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, Ss:1057-72.
  • Hatemi-J, A., Roca, E. (2014). BRICs and PIGS in the presence of Uncle Sam and big brothers: who drive who? Evidence based on asymmetric causality tests. Griffith University, Department of Accounting, Finance and Economics.
  • Kar, M., Bayat, T., Kayhan, S. (2016). Impacts of credit default swaps on volatility of the exchange rate in Turkey. International Journal of Economics and Finance, 4(14).
  • Kasman, A., Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: structural breaks, unit root and cointegration. Economic Modeling, 25, pp. 83-92.
  • Koçyiğit, A., Kayhan, K., Bayat, T. (2013). Enflasyon hedeflemesi rejiminde öğrenme süreci ve asimetri: Markov Switching yaklaşımı. Eskişehir Osmangazi Üniversitesi İİBF Dergisi,8(1), 191-212.
  • MacKinnon, J. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, ss:601–618.
  • Parlaktuna, I. (2005). Exchange market pressure in Turkey 1993–2004: an application of theGirton–Roper monetary model. International Economic Journal, 19 (1), pp. 51-62.
  • Phillips, P., Perron, P. (1988). Testing for a unit root in time series regressions. Biometrica, 75, 335-346.
  • Sevüktekin, M., Nargeleçekenler M. (2010). Ekonometrik zaman serileri analizi. 3. Baskı, Ankara: Nobel Yayınevi.
There are 18 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Yunus Acci 0000-0002-3385-9087

Publication Date December 30, 2018
Published in Issue Year 2018 Volume: 7 Issue: 4

Cite

APA Acci, Y. (2018). ARE CENTRAL BANK RESERVES AN IMPORTANT INSTRUMENT FOR STABILITY IN EXCHANGE RATES?. Journal of Business Economics and Finance, 7(4), 376-381. https://doi.org/10.17261/Pressacademia.2018.998

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