BibTex RIS Cite

Nispi Fiyatlarla Genişletilmiş Frenkel-Bilson Parasal Döviz Kuru Modelinin Türkiye’de Geçerliliği

Year 2015, Volume: 6 Issue: 1, 1 - 24, 01.12.2015

Abstract

Bu çalışma, Nispi fiyatlarla genişletilmiş Frenkel-Bilson modelini Türkiye ekonomisinin 1990:01-2014:03 dönemi USD/TL döviz kuru hareketleri için test etmektedir. Çalışma; denge reel döviz kuru değişimlerine izin veren bir parasal modeli, zamana göre değişen parametreler yöntemi (Kalman Filitre) ile test etmesi açısından önemli görülmektedir. Çalışma, modelin Türkiye'de döviz kuru hareketlerini açıklama gücüne sahip olduğunu ve katsayıların dönem boyunca değişkenlik gösterdiğini ortaya koymaktadır.

References

  • Alexander, D., Thomas, L.R. (1987). “Monetary/Asset Models of Exchange Rate Determination: How Well have They Performed in the 1980‟s?”, International Journal of Forecasting, 3: 53-64.
  • Baillie, R., Selover, D.D. (1987). “Cointegration and Models of Exchange Rate Determination”, International Journal of Forecasting, 3: 43-51.
  • Bilson, J.F.O. (1978). “The Monetary Approach To The Exchange Rate: Some Emprical Evidence”, International Monetary Fund, 25(1): 48-75.
  • Chin, L., Azali, M., Matthews, K.G. (2007). “The Monetary Approach To Exchange Rate Determination For Malaysia”, Applied Financial Economics Letters”, 3: 91-94.
  • Civcir, İ. (2003). “The Monetary Model of The Exchange Rate Under High Inflation: The Case of The Turkish Lira/US Dollar”, Czech Journal of Economics And Finance, 53: 113-129.
  • Clements, K.W., Frenkel, J.A. (1980). “Exchange Rates, Money and Relative Prices: The Dollar/Pound in the 1920‟s”, Journal of International Economics, 10: 249-262.
  • Diamandis, P.F., Georgoutsos D.A., Kouretas, G.P. (1998). “The Monetary Approach To The Exchange Rate: Long-Run Relationships, Identification and Temporal Stability”, Journal of Macroeconomics,
  • Dornbusch, R. (1976). “Expectations and Exchange Rate Dynamics”, Journal of Politiical Economy, 84(6): 1161-1176.
  • Engel, C., Granger, C.W. (1987). “Co-Integration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55: 251-276.
  • Frankel, J.A. (1979). “On the Mark: A Theory of Floating Exchange Rates on Real Interest Differentials”, American Economic Review, 69(4): 610-622.
  • Frenkel, J.A. (1976). “A Monetary Approach to The Exchange Rate: Doctrinal Aspects and Emprical Evidence”, The Scandinavian Journal of Economics, 78(2): 200-224.
  • Hansen, B.E. (1992). “Tests for Parameter Instability in Regressions with I(1) Process”, Journal of Business and Economic Statistics, 10: 321- 335.
  • Harvey, A.C., Shephard, N. (1993). “Structural Time Series Models”, Handbook of Statistics, 11.
  • Hooper, P., Morton, J. (1982). “Fluctuations in The Dollar: A Model of Nominal and Real Exchange Rate Determination”, Journal of Inernational Money and Finance, 1: 39-56.
  • Johansen, S. (1988). “Statistical Analysis of Cointegrating Factors”, Journal of Economic Dynamics and Control, 12: 231-254.
  • Johansen, S. (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6): 1551-1580.
  • Johansen, S., Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration-with Aplication to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2): 169-210.
  • Johansen, S., Juselius, K. (1992). “Testing Structural Hypotheses in A Multivariate Cointegration Analysis of the PPP and the UIP for UK”, Journal of Econometrics, 53: 211-244.
  • Kalman, R.E. (1960). “A New Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Transactions, 82(1): 35-45.
  • Kim, C-J., Nelson, C.R. (1999). State-Space Models With Regime Switching: Classical and Gibbs-Sampling Approaches with Application, The MIT Press, Cambridge, Massachusetts.
  • Loria, E., Sanchez, A., Salgado, U. (2010). “New Evidence on the Monetary Approach of Exchange Rate Determination in Mexico 1994-2007: A Cointegrated SVAR Model”, Journal of International Money and Finance, 29: 540-554.
  • MacDonald, R., Marsh, I. (1999). Exchange Rate Modelling, Kluwer Academic Publishers, Dordrecht, Netherlands.
  • MacDonald, R., Taylor, M.P. (1991). “The Monetary Approach to the Exchange Rate”, Economics Letters, 37: 179-185.
  • MacDonald, R., Taylor, M.P. (1993). “The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting”, International Monetary Fund, 40(1): 89-107.
  • Mark, N.C. (2000). International Macroeconomics and Finance: Theory and Emprical Methods, Blackwell Publishers.
  • Meese, R.A., Rogoff, K. (1983). “Emprical Exchange Rate Models of the Seventies: Do They Fit out of Sample?”, Journal of International Economics, 14: 3-24.
  • Najand, M., Bond, C. (2000). “Structural Models of Exchange Rate Determination”, Journal of Multinational Financial Management, 10: 15-27.
  • Park, C., Park, S. (2013). “Exchange Rate Predictability and A Monetary Model with Time-Varying Cointegration Coefficiennts”, Journal of International Money and Finance, 37: 394-410.
  • Park, J.Y., Hahn S.B. (1999). “Cointegrating Regression With Time Varying Coefficients”, Econometric Theory, 15: 664-703.
  • Pazarlıoğlu, V., Güloğlu, S. (2007). “Türkiye‟nin Döviz Kurunun Belirlenmesinde Monetarist Yaklaşım”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 12(3): 19-34.
  • Rapach, D.E., Wohar, M.E. (2002). “Testing The Monetary Model of Exchange Rate Determination: New Evidence From A Century of Data”, Journal of International Economics, 58: 359-385.
  • Saikkonen, P. (1991). “Asymptotically Efficient Estimation of Cointegrating Regressions”, Econometric Theory, 7(1): 1-21.
  • Sarno, L., Taylor, M. Frankel, J. A. (2002). The Economics of Exchange Rates, Cambridge University Press, New York, USA.
  • Shin, Y. (1994). “A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration”, Econometric Theory,
  • Stock, J.H., Watson, M.W. (1993). “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61(4): 783-820.
  • Stoffer, D.S., Wall, K.D. (1991). “Bootsrapping State-Space Models: Gaussian Maximum Likelihood Estimation and Kalman Filter”, Journal of The American Statistical Association, 86(416): 1024-1033.
  • Taşkın, F. (1995). “Döviz Kuru Belirlenmesinde „Parasalcı‟ Yaklaşım Modeli: Türkiye'deki Döviz Kurları Üzerine Bir Uygulama”, Ekonomik Yaklaşım, 6(18-19): 67-87.
  • Ünsal, E.M. (2004). Makro İktisat, 5. Bası, Turhan Kitabevi, Ankara.
  • Wolff, C.C.P. (1985). “Exchange Rate Models, Parameter Variation and Innovations: A Study on the Forecasting Performance of Emprical Models of Exchange Rate Determination”, Unpublished PhD Dissertation, University of Chicago.
  • Wolff, C.C.P. (1987). “Forward Foreign Exchange Rates, Expected Spot Rates and Premia: A Signal-Extraction Approach”, Journal of Finance, 42: 395-406.

Does Frenkel-Bilson Monetary Exchange Model Augmented with Relative Prices Hold in Turkey

Year 2015, Volume: 6 Issue: 1, 1 - 24, 01.12.2015

Abstract

This study tests the Frenkel-Bilson Model Augmented with Relative Price for USD/TL exchange rate movements in Turkish economy between 1990:01 and 2014:03. The study is important because it tests a monetary model that allows the equilibrium real exchange rate movements, with time varying parameter method (Kalman Filter). The study shows that the model has the power to explain the exchange rate movements in Turkey and the coefficients vary throughout the period.

References

  • Alexander, D., Thomas, L.R. (1987). “Monetary/Asset Models of Exchange Rate Determination: How Well have They Performed in the 1980‟s?”, International Journal of Forecasting, 3: 53-64.
  • Baillie, R., Selover, D.D. (1987). “Cointegration and Models of Exchange Rate Determination”, International Journal of Forecasting, 3: 43-51.
  • Bilson, J.F.O. (1978). “The Monetary Approach To The Exchange Rate: Some Emprical Evidence”, International Monetary Fund, 25(1): 48-75.
  • Chin, L., Azali, M., Matthews, K.G. (2007). “The Monetary Approach To Exchange Rate Determination For Malaysia”, Applied Financial Economics Letters”, 3: 91-94.
  • Civcir, İ. (2003). “The Monetary Model of The Exchange Rate Under High Inflation: The Case of The Turkish Lira/US Dollar”, Czech Journal of Economics And Finance, 53: 113-129.
  • Clements, K.W., Frenkel, J.A. (1980). “Exchange Rates, Money and Relative Prices: The Dollar/Pound in the 1920‟s”, Journal of International Economics, 10: 249-262.
  • Diamandis, P.F., Georgoutsos D.A., Kouretas, G.P. (1998). “The Monetary Approach To The Exchange Rate: Long-Run Relationships, Identification and Temporal Stability”, Journal of Macroeconomics,
  • Dornbusch, R. (1976). “Expectations and Exchange Rate Dynamics”, Journal of Politiical Economy, 84(6): 1161-1176.
  • Engel, C., Granger, C.W. (1987). “Co-Integration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55: 251-276.
  • Frankel, J.A. (1979). “On the Mark: A Theory of Floating Exchange Rates on Real Interest Differentials”, American Economic Review, 69(4): 610-622.
  • Frenkel, J.A. (1976). “A Monetary Approach to The Exchange Rate: Doctrinal Aspects and Emprical Evidence”, The Scandinavian Journal of Economics, 78(2): 200-224.
  • Hansen, B.E. (1992). “Tests for Parameter Instability in Regressions with I(1) Process”, Journal of Business and Economic Statistics, 10: 321- 335.
  • Harvey, A.C., Shephard, N. (1993). “Structural Time Series Models”, Handbook of Statistics, 11.
  • Hooper, P., Morton, J. (1982). “Fluctuations in The Dollar: A Model of Nominal and Real Exchange Rate Determination”, Journal of Inernational Money and Finance, 1: 39-56.
  • Johansen, S. (1988). “Statistical Analysis of Cointegrating Factors”, Journal of Economic Dynamics and Control, 12: 231-254.
  • Johansen, S. (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6): 1551-1580.
  • Johansen, S., Juselius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration-with Aplication to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2): 169-210.
  • Johansen, S., Juselius, K. (1992). “Testing Structural Hypotheses in A Multivariate Cointegration Analysis of the PPP and the UIP for UK”, Journal of Econometrics, 53: 211-244.
  • Kalman, R.E. (1960). “A New Approach to Linear Filtering and Prediction Problems”, Journal of Basic Engineering, Transactions, 82(1): 35-45.
  • Kim, C-J., Nelson, C.R. (1999). State-Space Models With Regime Switching: Classical and Gibbs-Sampling Approaches with Application, The MIT Press, Cambridge, Massachusetts.
  • Loria, E., Sanchez, A., Salgado, U. (2010). “New Evidence on the Monetary Approach of Exchange Rate Determination in Mexico 1994-2007: A Cointegrated SVAR Model”, Journal of International Money and Finance, 29: 540-554.
  • MacDonald, R., Marsh, I. (1999). Exchange Rate Modelling, Kluwer Academic Publishers, Dordrecht, Netherlands.
  • MacDonald, R., Taylor, M.P. (1991). “The Monetary Approach to the Exchange Rate”, Economics Letters, 37: 179-185.
  • MacDonald, R., Taylor, M.P. (1993). “The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting”, International Monetary Fund, 40(1): 89-107.
  • Mark, N.C. (2000). International Macroeconomics and Finance: Theory and Emprical Methods, Blackwell Publishers.
  • Meese, R.A., Rogoff, K. (1983). “Emprical Exchange Rate Models of the Seventies: Do They Fit out of Sample?”, Journal of International Economics, 14: 3-24.
  • Najand, M., Bond, C. (2000). “Structural Models of Exchange Rate Determination”, Journal of Multinational Financial Management, 10: 15-27.
  • Park, C., Park, S. (2013). “Exchange Rate Predictability and A Monetary Model with Time-Varying Cointegration Coefficiennts”, Journal of International Money and Finance, 37: 394-410.
  • Park, J.Y., Hahn S.B. (1999). “Cointegrating Regression With Time Varying Coefficients”, Econometric Theory, 15: 664-703.
  • Pazarlıoğlu, V., Güloğlu, S. (2007). “Türkiye‟nin Döviz Kurunun Belirlenmesinde Monetarist Yaklaşım”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 12(3): 19-34.
  • Rapach, D.E., Wohar, M.E. (2002). “Testing The Monetary Model of Exchange Rate Determination: New Evidence From A Century of Data”, Journal of International Economics, 58: 359-385.
  • Saikkonen, P. (1991). “Asymptotically Efficient Estimation of Cointegrating Regressions”, Econometric Theory, 7(1): 1-21.
  • Sarno, L., Taylor, M. Frankel, J. A. (2002). The Economics of Exchange Rates, Cambridge University Press, New York, USA.
  • Shin, Y. (1994). “A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration”, Econometric Theory,
  • Stock, J.H., Watson, M.W. (1993). “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”, Econometrica, 61(4): 783-820.
  • Stoffer, D.S., Wall, K.D. (1991). “Bootsrapping State-Space Models: Gaussian Maximum Likelihood Estimation and Kalman Filter”, Journal of The American Statistical Association, 86(416): 1024-1033.
  • Taşkın, F. (1995). “Döviz Kuru Belirlenmesinde „Parasalcı‟ Yaklaşım Modeli: Türkiye'deki Döviz Kurları Üzerine Bir Uygulama”, Ekonomik Yaklaşım, 6(18-19): 67-87.
  • Ünsal, E.M. (2004). Makro İktisat, 5. Bası, Turhan Kitabevi, Ankara.
  • Wolff, C.C.P. (1985). “Exchange Rate Models, Parameter Variation and Innovations: A Study on the Forecasting Performance of Emprical Models of Exchange Rate Determination”, Unpublished PhD Dissertation, University of Chicago.
  • Wolff, C.C.P. (1987). “Forward Foreign Exchange Rates, Expected Spot Rates and Premia: A Signal-Extraction Approach”, Journal of Finance, 42: 395-406.
There are 40 citations in total.

Details

Other ID JA34YB88MP
Journal Section Articles
Authors

Ahmet Güney This is me

Publication Date December 1, 2015
Submission Date December 1, 2015
Published in Issue Year 2015 Volume: 6 Issue: 1

Cite

APA Güney, A. (2015). Nispi Fiyatlarla Genişletilmiş Frenkel-Bilson Parasal Döviz Kuru Modelinin Türkiye’de Geçerliliği. Çankırı Karatekin Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 6(1), 1-24.