Dış Ticaret Hacmi ve Döviz Kuru İlişkisinin ARDL Sınır Testi ile Analizi (Türkiye Örneği)

Year 2021, Volume: 8 Issue: 1, 1 - 16, 11.01.2021

Ersin Sünbül

Abstract

Bu çalışmanın amacı, politika yapıcılar için bilimsel veriler üretmektir. Bu çalışmada elde edilen sonuçlar teori ile örtüşmektedir. Reel Efektif Dolar satış oranı bağımlı değişkendir. İthalat ve ihracat verileri (dolar kuru olarak hesaplanan) bağımsız değişkenler olarak çalışmaya alınmıştır. Değişkenlerin zaman serileri 2013M01-2020M07 dönemine ve 91 gözleme sahiptir. Çalışmada verilerin durağan özelliklerinden dolayı Otoregresif Gecikmeli Dağılım Modeli (ARDL) tercih edilmiştir.
Yordayıcı model için değişkenler arasındaki eşbütünleşme ilişkisi bulunmuştur. Ancak uzun vadeli bir ilişki önemli bulunmadı. İlişki anlamlı olmamakla birlikte, hesaplanan istatistiksel değerlerin işaretleri değerlendirildiğinde, bağımlı değişken döviz kuru ile bağımsız değişkenlerden ithalat arasında uzun vadeli negatif bir ilişki vardır. İhracat verileriyle pozitif bir ilişki var.
Teorik çalışmalar hem eşbütünleşme hem de uzun dönemli ilişki bulguları ile uyumludur. Ancak literatürdeki farklı sonuçlar nedeniyle uyumlu olduğu söylenemez.

Keywords

ARDL Sınır Testi,, Konvansiyonel Döviz Kuru Teorisi, Uluslararası Ticaret ve Döviz Kuru İlişkisi

Thanks

Teşekkürler

The Volume of Foreign Trade and Relations of Currency ARDL Bound Testing Analysis (Turkey Example)

Abstract

The purpose of this study is to produce scientific data for policymakers. The results obtained in this study coincide with the theory. Real Effective Dollar sales rate is the dependent variable. Import and export data (calculated as the dollar rate) were taken into the study as independent variables. The time series of the variables have the period 2013M01-2020M07 and 91 observations. In the study, Autoregressive Delayed Distribution Model (ARDL) was preferred due to the stationary properties of the data.
The cointegration relationship between variables was found for the predictive model. However, a long-term relationship was not found important. Although the relationship is not significant, when the signs of the statistical values calculated are evaluated, there is a long-term negative relationship between the dependent variable exchange rate and the import from the independent variables. There is a positive relationship with export data.
Theoretical studies are compatible with both cointegration and long-term relationship findings. However, it cannot be said to be compatible due to different results in the literature.

Keywords

ARDL Bounds Test, Conventional Exchange Rate Theort, Foreign Trade and Exchange Rate Relationship

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