Monetary Approach to Exchange Rate Determination: The Case of Turkey

Year 2016, Issue: 32, 101 - 122, 31.12.2016

Erhan Öruç

Abstract

Especially last part of the 1980s, after backing down from the control in the exchange rate market, over fluctuated exchange rate has been observed. Debates have started which factors affect exchange rate after the fluctuations in foreign exchange market, recently. In this context, the monetary approach to exchange rate determination is employed in this study. In the model, exchange rate is derived by relative income, money supply, interest rate and inflation. It is found that all variables have unit root by applying Augmented Dickey Fuller and Philips Perron tests. There is at least one vector that all variables are cointegrated by employing Johansen cointegration test. As a result of dynamic ordinary least square approach, relative income is the most influential variable. The effects of the relative interest rate and inflation are infinitesimally. The explanations of the theory of the reel interest rate differential are overlap with the findings in this study.

Keywords

Exchange Rate Theories, Monetary Approach, Interest Rates, Unit Root Tests, Johansen Cointegration Test, Dynamic Ordinary Least Squar

Döviz Kurlarının Belirlenmesinde Parasalcı Yaklaşım: Türkiye Örneği

Abstract

Özellikle 1980’li yılların sonlarında Türkiye’de döviz kontrolünün kaldırılmasından sonra, döviz kurlarında aşırı dalgalanmalar gözlemlenmiştir. Son dönemlerde yaşanan döviz kurundaki dalgalanmalar sonucu, döviz kurunu etkileyen faktörler tartışılmaya başlamıştır. Bu bağlam bu çalışma döviz kurunun belirlenmesinde parasalcı yaklaşımı ele almıştır. Modelde döviz kurlarını göreli para arzı, göreli gelir düzeyi, göreli faiz oranı ve göreli enflasyon belirlemektedir. Tüm değişkenlerin birim kök içerdiği Genelleştirilmiş Dickey Fuller ve Philips Perron testleri ile tespit edilmiştir. Johansen yöntemi ile değişkenler arasında en az bir eşbütünleşme vektörü olduğu bulunmuştur. Dinamik en küçük kareler yöntemi sonuçlarına göre göreli gelir en fazla etkileyen faktördür. Göreli faiz oranı ve göreli enflasyon oranının etkileri önemsenmeyecek kadar azdır. Reel faiz farkları teorisinin açıklamaları bu çalışmanın bulgularıyla örtüşmektedir.

Keywords

Döviz kuru Teorileri, Parasalcı yaklaşım, Faiz oranları, Birim Kök Testleri, Johansen Eşbütünleşme Testi, Dinamik En Küçük Karele

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