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Monetary Approach to Exchange Rate Determination: The Case of Turkey

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

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.

References

  • Abel, A. B. and Bernanke, B. S., (2005). Macroeconomics (5th edn). Boston: Pearson Education.
  • Ay Ahmet (2001). “Döviz Kurlarının Belirlenmesinde Parasal Modellerin Başarısını Etkileyen Faktörler”, Selçuk Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Sosyal Ve Ekonomik Araştırmalar Dergisi, Sayı: 1-2: 125-146
  • Balassa, Bela. (1964). “The purchasing-power parity doctrine: a reappraisal”. The Journal of Political Economy, 42(6): 584-596.
  • Bilson, John F. (1978). “The Monetary Approach to the Exchange Rate: Some Empirical Evidence (La théorie monétaire du taux de change: preuves empiriques)(El enfoque monetario del tipo de cambio: Algunas pruebas empíricas)”. Staff Papers-International Monetary Fund, 25(1): 48-75.
  • Cheung, Yin Wong., Chinn, M.enzie D., and Pascual, Antonio Garcia. (2005). “Empirical exchange rate models of the nineties: Are any fit to survive?”. Journal of international money and finance. 24(7): 1150-1175
  • Chin, L33, Azali, M., and Matthews, K. G. (2007). “The monetary approach to exchange rate determination for Malaysia”. Applied Financial Economics Letters. 3(2) : 91-94.
  • Chinn, Menzei. D., and Meese, Richard. A. (1995). “Banking on currency forecasts: How predictable is change in money?”. Journal of International Economics. 38(1): 161-178.
  • Civcir, Irfan. (2004). “The long-run validity of the monetary exchange rate model for a high inflation country and misalignment: The case of Turkey”. Emerging Markets Finance and Trade, 40(4): 84-100.
  • Civcir, Irfan. (2003). “The Monetary Models of the Turkish Lira/US Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics, and Forecasting”. Eastern European Economics. 41(6): 43-63.
  • Diamandis, Panayiotis. F., ve Kouretas, Georgios. P. (1996). “The Monetary Approach to the Exchange Rate: Long-Run Relationships, Coefficient Restrictions and Temporal Stability of the Greek Drachma”. Applied Financial Economics: 6(4), 351-362.
  • Dougherty, Christoper. (2007). Introduction to Econometrics. Oxford university press, Usa.
  • Dornbusch, Rudiger. (1976). “Expectations and exchange rate Dynamics”. The journal of political economy. 84(6): 1161-1176.
  • Dülger, Fikret, ve Cin, Mehmet Fatih (2002). “Türkiye'de döviz kuru dinamiklerinin belirlenmesinde parasalcı yaklaşım ve eşbütünleşme yöntemiyle sınama”.METU Studies in Development. 29(1): 47
  • Engel, Charles, Mark, Nelson C., ve West, Kenneth. D. (2007). “Exchange rate models are not as bad as you think”National Bureau of Economic Research: No. w13318. Eviews. (2014). User Guide II, http://www.eviews.com/EViews8 /EViews8/EViews%208 %20Users%20Guide%20II.pdf, erişim: 15.04.2016
  • Fisher, Stanley. (2001). “Exchange rate regimes: is the bipolar view correct?.Journal of economic perspectives”. 15(2): 3-24.
  • Frankel, Jeffery. A. (1987). “Monetary and Portfolio-Balance Models of Exchange Rate Determination”. University of California, Berkeley, Department of Economics.
  • Frenkel, J. A. (1976). “A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. the scandinavian Journal of economics, 200-224.
  • Frankel, Jeffery. A. (1979). “On the Mark: a Theory of Floating Exchange Rates Based on Real İnterest Differentials”. The American Economic Review. 69 (4): 610-622
  • Hamilton, J. D. (1994). Time series analysis (Vol. 2). Princeton: Princeton University Press.
  • Johansen, Soren. (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”. Econometrica: Journal of the Econometric Society. 59(6): 1551-1580.
  • Mark Nelson, C.. (2011). International Macroeconomics and Finance-Theory and Econometric Methods.
  • Miyakoshi, Tatsuyoshi. (2000). “The Monetary Approach to The Exchange Rate: Empirical Observations from Korea”. Applied Economics Letters. 7(12): 791-794.
  • Minford, Patrick ve Pal, Soubarna. (2008). “Real Exchange Rate Overshooting in Real Business Cycle Model: an Empirical Evidence From India”. Cardiff Economics Working Papers (No. E2008/1).
  • Moosa, Imad ve Burns, Kelly. (2014a). “The Unbeatable Random Walk in Exchange Rate Forecasting: Reality or Myth?”. Journal of Macroeconomics, 40: 69-81.
  • Moosa, Imad ve Burns, Kelly. (2014b). “Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting”. Applied Economics, 46(25): 3107-3118.
  • Morley, Bruce. (2007). “The Monetary Model of The Exchange Rate and Equities: an ARDL Bounds Testing Approach”. Applied Financial Economics. 17(5): 391-397.
  • Nielsen, Bent. (2006). Order determination in general vector autoregressions. InTime Series and Related Topics (pp. 93-112). Institute of Mathematical Statistics.. http://ideas.repec.org /p/nuf/econwp /0110.html, Erişim: 22,03,2016
  • Ökte, M. Kutluğhan Savaş. (2011). “Ödemeler Dengesine Parasal Yaklaşım: Bir İnceleme”. Elektronik Sosyal Bilimler Dergisi: 35(35).
  • Öztürk, Nazım, ve Bayraktar, Yüksel. (2010). “Döviz Kurlarını Açıklamaya Yönelik Yeni Yaklaşımlar”. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi. 11(1):157-191.
  • Pekkaya, Semra ve Kesici, Sinan. (2000). “Türkiye Örneğinde Kısa Vadeli Sermaye Hareketleri Makroekonomik Dengeler Üzerinde Reel Kesim Mali Kesim Ayrimiyla Etkileri”. Iktisat Isletme Ve Finans. 15(167),:58-83.
  • Paulsen, Jostein. 1984. “Order determination of multivariate autoregressive time series with unit roots”. Journal of Time Series Analysis. 5(2): 115–127. Pascual, F., Meeker, W. and Escobar, L. (2006) Accelerated life test models and data analysis, in Springer Handbook of Engineering Statistics, ed. W. B. Nelson, Springer, London, UK, pp. 401–402.
  • Pazarlıoğlu, Mehmet Vedat ve Güloğlu, Selçuk. (2007). “Türkiye'nin Döviz Kurunun Belirlenmesinde Monetarist Yaklaşım”. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi. 12(3):19-34
  • Seyidoglu, Halil. (2007). Uluslararasi Iktisat. Istanbul, Güzem Can Yayinlari. İstanbul Stock, J. H., & Watson, M. W. (1993). “A Simple Estimator ff Cointegrating Vectors in Higher Order İntegrated Systems”. Econometrica: Journal of the Econometric Society, 783-820.
  • Tawadros, G. B. (2001). “The Predictive Power of The Monetary Model of Exchange Rate Determination”. Applied Financial Economics. 11(3): 279-286. Telatar, E. Ve Kazdağlı, H. (1998), “Re-Examine The Long-Run Purchasing Power Parity Hypothesis For a High Inflation Country: The Case of Turkey 1980-1993”, Applied Economic Letters, 5, 51-53.
  • Temurlenk, M. Sinan. (1999), “Weak and Strong Form Tests for Purchasing Power Parity: Evidence From Turkey”, Ataturk Universitesi İktisadi ve İdari Bilimler Dergisi. 13(1): 197-206.
  • Tsay, Ruey. S. 1984. “Order selection in nonstationary autoregressive models”. Annals of Statistics 12(4): 1425–1433
  • Tunca, Zafer ve Çiğdem, Börke Tunalı. (2007). “Ödemeler Dengesine Parasal Yaklaşım”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 56(1), ss. 1-12.Nielsen, Bent. (2006). Order determination in general vector autoregressions. InTime Series and Related Topics (pp. 93-112). Institute of Mathematical Statistics.. http://ideas.repec.org /p/nuf/econwp /0110.html, Erişim: 22,03,2016

Döviz Kurlarının Belirlenmesinde Parasalcı Yaklaşım: Türkiye Örneği

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

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.

References

  • Abel, A. B. and Bernanke, B. S., (2005). Macroeconomics (5th edn). Boston: Pearson Education.
  • Ay Ahmet (2001). “Döviz Kurlarının Belirlenmesinde Parasal Modellerin Başarısını Etkileyen Faktörler”, Selçuk Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Sosyal Ve Ekonomik Araştırmalar Dergisi, Sayı: 1-2: 125-146
  • Balassa, Bela. (1964). “The purchasing-power parity doctrine: a reappraisal”. The Journal of Political Economy, 42(6): 584-596.
  • Bilson, John F. (1978). “The Monetary Approach to the Exchange Rate: Some Empirical Evidence (La théorie monétaire du taux de change: preuves empiriques)(El enfoque monetario del tipo de cambio: Algunas pruebas empíricas)”. Staff Papers-International Monetary Fund, 25(1): 48-75.
  • Cheung, Yin Wong., Chinn, M.enzie D., and Pascual, Antonio Garcia. (2005). “Empirical exchange rate models of the nineties: Are any fit to survive?”. Journal of international money and finance. 24(7): 1150-1175
  • Chin, L33, Azali, M., and Matthews, K. G. (2007). “The monetary approach to exchange rate determination for Malaysia”. Applied Financial Economics Letters. 3(2) : 91-94.
  • Chinn, Menzei. D., and Meese, Richard. A. (1995). “Banking on currency forecasts: How predictable is change in money?”. Journal of International Economics. 38(1): 161-178.
  • Civcir, Irfan. (2004). “The long-run validity of the monetary exchange rate model for a high inflation country and misalignment: The case of Turkey”. Emerging Markets Finance and Trade, 40(4): 84-100.
  • Civcir, Irfan. (2003). “The Monetary Models of the Turkish Lira/US Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics, and Forecasting”. Eastern European Economics. 41(6): 43-63.
  • Diamandis, Panayiotis. F., ve Kouretas, Georgios. P. (1996). “The Monetary Approach to the Exchange Rate: Long-Run Relationships, Coefficient Restrictions and Temporal Stability of the Greek Drachma”. Applied Financial Economics: 6(4), 351-362.
  • Dougherty, Christoper. (2007). Introduction to Econometrics. Oxford university press, Usa.
  • Dornbusch, Rudiger. (1976). “Expectations and exchange rate Dynamics”. The journal of political economy. 84(6): 1161-1176.
  • Dülger, Fikret, ve Cin, Mehmet Fatih (2002). “Türkiye'de döviz kuru dinamiklerinin belirlenmesinde parasalcı yaklaşım ve eşbütünleşme yöntemiyle sınama”.METU Studies in Development. 29(1): 47
  • Engel, Charles, Mark, Nelson C., ve West, Kenneth. D. (2007). “Exchange rate models are not as bad as you think”National Bureau of Economic Research: No. w13318. Eviews. (2014). User Guide II, http://www.eviews.com/EViews8 /EViews8/EViews%208 %20Users%20Guide%20II.pdf, erişim: 15.04.2016
  • Fisher, Stanley. (2001). “Exchange rate regimes: is the bipolar view correct?.Journal of economic perspectives”. 15(2): 3-24.
  • Frankel, Jeffery. A. (1987). “Monetary and Portfolio-Balance Models of Exchange Rate Determination”. University of California, Berkeley, Department of Economics.
  • Frenkel, J. A. (1976). “A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. the scandinavian Journal of economics, 200-224.
  • Frankel, Jeffery. A. (1979). “On the Mark: a Theory of Floating Exchange Rates Based on Real İnterest Differentials”. The American Economic Review. 69 (4): 610-622
  • Hamilton, J. D. (1994). Time series analysis (Vol. 2). Princeton: Princeton University Press.
  • Johansen, Soren. (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”. Econometrica: Journal of the Econometric Society. 59(6): 1551-1580.
  • Mark Nelson, C.. (2011). International Macroeconomics and Finance-Theory and Econometric Methods.
  • Miyakoshi, Tatsuyoshi. (2000). “The Monetary Approach to The Exchange Rate: Empirical Observations from Korea”. Applied Economics Letters. 7(12): 791-794.
  • Minford, Patrick ve Pal, Soubarna. (2008). “Real Exchange Rate Overshooting in Real Business Cycle Model: an Empirical Evidence From India”. Cardiff Economics Working Papers (No. E2008/1).
  • Moosa, Imad ve Burns, Kelly. (2014a). “The Unbeatable Random Walk in Exchange Rate Forecasting: Reality or Myth?”. Journal of Macroeconomics, 40: 69-81.
  • Moosa, Imad ve Burns, Kelly. (2014b). “Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting”. Applied Economics, 46(25): 3107-3118.
  • Morley, Bruce. (2007). “The Monetary Model of The Exchange Rate and Equities: an ARDL Bounds Testing Approach”. Applied Financial Economics. 17(5): 391-397.
  • Nielsen, Bent. (2006). Order determination in general vector autoregressions. InTime Series and Related Topics (pp. 93-112). Institute of Mathematical Statistics.. http://ideas.repec.org /p/nuf/econwp /0110.html, Erişim: 22,03,2016
  • Ökte, M. Kutluğhan Savaş. (2011). “Ödemeler Dengesine Parasal Yaklaşım: Bir İnceleme”. Elektronik Sosyal Bilimler Dergisi: 35(35).
  • Öztürk, Nazım, ve Bayraktar, Yüksel. (2010). “Döviz Kurlarını Açıklamaya Yönelik Yeni Yaklaşımlar”. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi. 11(1):157-191.
  • Pekkaya, Semra ve Kesici, Sinan. (2000). “Türkiye Örneğinde Kısa Vadeli Sermaye Hareketleri Makroekonomik Dengeler Üzerinde Reel Kesim Mali Kesim Ayrimiyla Etkileri”. Iktisat Isletme Ve Finans. 15(167),:58-83.
  • Paulsen, Jostein. 1984. “Order determination of multivariate autoregressive time series with unit roots”. Journal of Time Series Analysis. 5(2): 115–127. Pascual, F., Meeker, W. and Escobar, L. (2006) Accelerated life test models and data analysis, in Springer Handbook of Engineering Statistics, ed. W. B. Nelson, Springer, London, UK, pp. 401–402.
  • Pazarlıoğlu, Mehmet Vedat ve Güloğlu, Selçuk. (2007). “Türkiye'nin Döviz Kurunun Belirlenmesinde Monetarist Yaklaşım”. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi. 12(3):19-34
  • Seyidoglu, Halil. (2007). Uluslararasi Iktisat. Istanbul, Güzem Can Yayinlari. İstanbul Stock, J. H., & Watson, M. W. (1993). “A Simple Estimator ff Cointegrating Vectors in Higher Order İntegrated Systems”. Econometrica: Journal of the Econometric Society, 783-820.
  • Tawadros, G. B. (2001). “The Predictive Power of The Monetary Model of Exchange Rate Determination”. Applied Financial Economics. 11(3): 279-286. Telatar, E. Ve Kazdağlı, H. (1998), “Re-Examine The Long-Run Purchasing Power Parity Hypothesis For a High Inflation Country: The Case of Turkey 1980-1993”, Applied Economic Letters, 5, 51-53.
  • Temurlenk, M. Sinan. (1999), “Weak and Strong Form Tests for Purchasing Power Parity: Evidence From Turkey”, Ataturk Universitesi İktisadi ve İdari Bilimler Dergisi. 13(1): 197-206.
  • Tsay, Ruey. S. 1984. “Order selection in nonstationary autoregressive models”. Annals of Statistics 12(4): 1425–1433
  • Tunca, Zafer ve Çiğdem, Börke Tunalı. (2007). “Ödemeler Dengesine Parasal Yaklaşım”. İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 56(1), ss. 1-12.Nielsen, Bent. (2006). Order determination in general vector autoregressions. InTime Series and Related Topics (pp. 93-112). Institute of Mathematical Statistics.. http://ideas.repec.org /p/nuf/econwp /0110.html, Erişim: 22,03,2016
There are 37 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Erhan Öruç

Publication Date December 31, 2016
Published in Issue Year 2016 Issue: 32

Cite

APA Öruç, E. (2016). Döviz Kurlarının Belirlenmesinde Parasalcı Yaklaşım: Türkiye Örneği. Kocaeli Üniversitesi Sosyal Bilimler Dergisi(32), 101-122.

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