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Döviz Kurları Öngörüsünde Parasal Model ve Arima Modelleri: Türkiye Örneği

Year 2007, Issue: 13, 211 - 231, 01.06.2007

Hasan Vergil Filiz Özkan

Abstract

Bu çalışma ile döviz kuru öngörüsü için geliştirilen, yapısal modellerden parasal yaklaşım modeli ile yapısal modellere rakip olan zaman serisi analizi yöntemlerinden ARIMA modeli kullanılarak Türkiye için döviz kuru öngörüsü yapılması ve bu iki yöntemin öngörü güçlerinin karşılaştırılması amaçlanmıştır. Bunu gerçekleştirmek için 1980-2001 dönemi için Türkiye’nin en fazla ticaret yaptığı beş ülke (A.B.D., Almanya, İngiltere, Fransa, İtalya) ile Türk lirasına ilişkin reel döviz kurunun aylık verileri kullanılarak parasal yaklaşım modeli ve zaman serisi modellerine dayanan döviz kuru öngörüleri tahmin edilmiştir. Bu iki modelin öngörü güçlerinin karşılaştırması sonucunda parasal modeldeki değişkenlerin döviz kurunu açıklamada etkisi olduğu görülmesine karşın, ARIMA modelinin Parasal modele göre öngörü gücünün daha iyi olduğu sonucuna varılmıştır

Keywords

Döviz Kuru Parasal Model ARIMA Modeli Öngörü

References

  • Bilson, J. (1978), “The Monetary Approach to the Exchange Rate: Some Empirical Evidence”, IMF Staff Papers, No. 25: 48-75.
  • Box, G.P. and G.M. Jenkins, (1970), Time Series Analysis: Forecasting and Control, Holden- day.
  • Çavuşoğlu, A.T. (1997), “Sticky-Price Monetary of Exchange Rate: A Cointegration Analysis”, ERC Araştırma Raporları, No. 97: 15-19.
  • Civcir, İ. (2003), “The Long-run Validity of Monetary Exchange Rate Model for a High Inflation Country and Misalignment: The Case of Turkey”, Forthcoming in Russian and East European Finance and Trade, 23:1-19.
  • Civcir, İ. (2004), “The monetary model of the exchange rate under high inflation: Long-run relationship and misalignment of Turkish Lira”, Emerging Market Finance and Trade, Vol. 40 (4) : 87-102.
  • Diamandis, P.F. vd, (1998), The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability, Journal of Macroeconomics, Vol. 20, No. 4: 741–766.
  • Dornbusch, R. (1976), “Exchange Rate Expectations and Monetary Policy”, Journal of International Economics, Vol. 6, No. 2: 231-244.
  • Dornbusch, R. (1980), “Exchange Rate Economics: Where Do We Stand?”, Brookings Paper on Economic Activity, Washington, D.C.: 144-151.
  • Dülger, F. ve M.F.Cin, (2002), “Türkiye’de Döviz Kuru Dinamiklerinin Belirlenmesinde Para- salcı Yaklaşım ve Eşbütünleşme Analiziyle Sınama”, ODTÜ Gelişme Dergisi, 29(1-2): 47- 68.
  • Enders, W. (2004), Applied Econometric Time Series, Second Edition, John Wiley &Sons, Inc. NJ, USA.
  • Eren, E.; 1992, Makro İktisat, Bursa: Ezgi Kitapevi.
  • Frenkel, J.A. (1976), “A Monetary Approach to The Exchange Rate: Doctrinal Aspects and Emprical Evidence”, Scandinavian Journal of Economics, Vol. 78: 200-224.
  • Frenkel, J.A. (1980), “Exchange Rates, Prices and Money: Lessons From The 1920’s”, American Economic Review, Vol. 70, No. 2: 235-42.
  • Frenkel, J.A. (1981), “On The Mark: Reply”, American Economic Review, Vol. 71: 1079-1085.
  • Frenkel, J.A. (1984), “Tests of Monetary of Portfolio Balance Models of Exchange Rate Determination”, Exchange Rate Theory and Practice, J.F.O.Bilson and R.C.Marston (eds.), Chicago: Chicago University Press.
  • Frenkel, J.A. (1995), On The Mark: A Theory of Floating Exchange Rates Based on Real Interest Differantial, On Exchange Rates, MIT Press.
  • Gujarati, D.N. (2003), Basic Econometrics, fourth edition, McGraw Hill, Irwin..
  • Haynes, S. E. and J. A. Stone, (1981), “On The Mark: Comment”, American Economic Review, Vol. 71, No. 5: 1060-1067.
  • Kennedy, P. (1998), A Guide to Econometrics, The MIT Press, Cambridge Massachusetts.
  • Kouri, P.J.K. (1976), “The Exchange Rate and The Balance of Payments in The Shor Run and in the Long Run : A Monetary Approach”, Scandinavian Journal of Economics, Vol. 78: 280-304.
  • Mussa, M. (1976), “The Exchange Rate, The Balance of Payments Monetary And Fiscal Policy Under A Rejime of Controlled Floating”, Scandinavian Journal of Economics, Vol. 78: 229-248.
  • Pindyck, R.S. and D.L. Rubinfeld, (1991), Econometric Models and Economic Forecast, Third Edition, McGraw-Hill, Inc., A.B.D.
  • Seyidoğlu, H. (2001), Uluslararası İktisat, İstanbul: Güzem Yayınları.
  • Tobin, J. (1980), "The Short-Run Macroeconomics of Floating Exchange Rates: An Exposition", Flexible Exchange Rates and the Balance of Payments, In John S. Chipman and Charles P. Kindelberger (eds.), with Jorge Braga de Macedo, North-Holland: 20-29.

Year 2007, Issue: 13, 211 - 231, 01.06.2007

Hasan Vergil Filiz Özkan

Abstract

In this study by using the monetary approach which is a structural model
and a rival to the structural models the ARIMA model which is one of the time series
analyzing method that was developed to forecasting the foreign exchange has
been aimed to compare the forecasting powers of the two methods and the foreign
exchange rate forecasting of Turkey. In order to realize this, for the period of
1980-2001, the monthly real foreign exchange rate datas have been used related to
the Turkish Liras and the five countries which Turkey has the most trade with.
(U.S.A, Germany, England, France, Italy). The datas belong to variables have been
got from the data bases of the International Financial Statistics (IFS) and the
OECD Main Economic Indicators. As the series monthly, they have been used in the
analysis after being purified from the seasonal effect and taking their natural logarithm.
In all of the analysis, it was utilized from the Econometric Views packet program.
As comparing the forecasting powers of the two models, firstly utilized from
the error terms statistics. Also to learn which model is better the regression coefficient
of the forecasting values directed ex post and the real values have been
tested by investigating. At the end of the all analysis that has been done, it has
been concluded that the ARIMA model’s forecasting power is better according to
the monetary model.

Keywords

Exchange Rate Monetary Model ARIMA Model Forecasting

References

  • Bilson, J. (1978), “The Monetary Approach to the Exchange Rate: Some Empirical Evidence”, IMF Staff Papers, No. 25: 48-75.
  • Box, G.P. and G.M. Jenkins, (1970), Time Series Analysis: Forecasting and Control, Holden- day.
  • Çavuşoğlu, A.T. (1997), “Sticky-Price Monetary of Exchange Rate: A Cointegration Analysis”, ERC Araştırma Raporları, No. 97: 15-19.
  • Civcir, İ. (2003), “The Long-run Validity of Monetary Exchange Rate Model for a High Inflation Country and Misalignment: The Case of Turkey”, Forthcoming in Russian and East European Finance and Trade, 23:1-19.
  • Civcir, İ. (2004), “The monetary model of the exchange rate under high inflation: Long-run relationship and misalignment of Turkish Lira”, Emerging Market Finance and Trade, Vol. 40 (4) : 87-102.
  • Diamandis, P.F. vd, (1998), The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability, Journal of Macroeconomics, Vol. 20, No. 4: 741–766.
  • Dornbusch, R. (1976), “Exchange Rate Expectations and Monetary Policy”, Journal of International Economics, Vol. 6, No. 2: 231-244.
  • Dornbusch, R. (1980), “Exchange Rate Economics: Where Do We Stand?”, Brookings Paper on Economic Activity, Washington, D.C.: 144-151.
  • Dülger, F. ve M.F.Cin, (2002), “Türkiye’de Döviz Kuru Dinamiklerinin Belirlenmesinde Para- salcı Yaklaşım ve Eşbütünleşme Analiziyle Sınama”, ODTÜ Gelişme Dergisi, 29(1-2): 47- 68.
  • Enders, W. (2004), Applied Econometric Time Series, Second Edition, John Wiley &Sons, Inc. NJ, USA.
  • Eren, E.; 1992, Makro İktisat, Bursa: Ezgi Kitapevi.
  • Frenkel, J.A. (1976), “A Monetary Approach to The Exchange Rate: Doctrinal Aspects and Emprical Evidence”, Scandinavian Journal of Economics, Vol. 78: 200-224.
  • Frenkel, J.A. (1980), “Exchange Rates, Prices and Money: Lessons From The 1920’s”, American Economic Review, Vol. 70, No. 2: 235-42.
  • Frenkel, J.A. (1981), “On The Mark: Reply”, American Economic Review, Vol. 71: 1079-1085.
  • Frenkel, J.A. (1984), “Tests of Monetary of Portfolio Balance Models of Exchange Rate Determination”, Exchange Rate Theory and Practice, J.F.O.Bilson and R.C.Marston (eds.), Chicago: Chicago University Press.
  • Frenkel, J.A. (1995), On The Mark: A Theory of Floating Exchange Rates Based on Real Interest Differantial, On Exchange Rates, MIT Press.
  • Gujarati, D.N. (2003), Basic Econometrics, fourth edition, McGraw Hill, Irwin..
  • Haynes, S. E. and J. A. Stone, (1981), “On The Mark: Comment”, American Economic Review, Vol. 71, No. 5: 1060-1067.
  • Kennedy, P. (1998), A Guide to Econometrics, The MIT Press, Cambridge Massachusetts.
  • Kouri, P.J.K. (1976), “The Exchange Rate and The Balance of Payments in The Shor Run and in the Long Run : A Monetary Approach”, Scandinavian Journal of Economics, Vol. 78: 280-304.
  • Mussa, M. (1976), “The Exchange Rate, The Balance of Payments Monetary And Fiscal Policy Under A Rejime of Controlled Floating”, Scandinavian Journal of Economics, Vol. 78: 229-248.
  • Pindyck, R.S. and D.L. Rubinfeld, (1991), Econometric Models and Economic Forecast, Third Edition, McGraw-Hill, Inc., A.B.D.
  • Seyidoğlu, H. (2001), Uluslararası İktisat, İstanbul: Güzem Yayınları.
  • Tobin, J. (1980), "The Short-Run Macroeconomics of Floating Exchange Rates: An Exposition", Flexible Exchange Rates and the Balance of Payments, In John S. Chipman and Charles P. Kindelberger (eds.), with Jorge Braga de Macedo, North-Holland: 20-29.
There are 24 citations in total.

Details

Other ID JA37NU44VY
Journal Section Articles
Authors

Hasan Vergil This is me

Filiz Özkan This is me

Publication Date June 1, 2007
Published in Issue Year 2007 Issue: 13

Cite

APA Vergil, H., & Özkan, F. (2007). Döviz Kurları Öngörüsünde Parasal Model ve Arima Modelleri: Türkiye Örneği. Kocaeli Üniversitesi Sosyal Bilimler Dergisi(13), 211-231.

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