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THE RELATIONSHIP BETWEEN EXCHANGE RATES VOLATILITY AND HOUSEHOLD EXPENDITURES IN TURKEY

Year 2019, Volume: 6 Issue: 3, 832 - 845, 31.12.2019
https://doi.org/10.30798/makuiibf.563862

Abstract

References

  • ALEXANDER, S. S. (1952), “Effects of a Devaluation of Trade Balance”, International Monetary Fund Staff Papers, 2(2), 263-278.
  • ALBUQUERQUE, C. R. ve PORTUGAL, M. (2005). Exchange Rate and Inflation: A Case of Sulkiness of Volatility. UFRGS, Departamento de Economia, Texto Para Discussão, (1).
  • ARANGO, S. ve NADIRI, M. I. (1981), “Demand for Money in Open Economies”, Journal of Monetary Economics, 7, 69–83.
  • ARIZE, A. C. (1995), “Trade Flows and Real Exchange-Rate Volatility: An Application of Cointegration and Error-Correction Modeling”, North American Journal of Economics & Finance, 6(1), 37-51.
  • BAHMANI-OSKOOEE, M. ve HAJILEE, M. (2010), “On the Relation Between Currency Depreciation and Wages”, Applied Economics Letters, 17(6), 525-530.
  • BAHMANI-OSKOOEE, M.ve XI, D. (2012), “Exchange Rate Volatility and Domestic Consumption: Evidence From Japan”, Economic Systems, 36(2), 326-335.
  • BAHMANI-OSKOOEE, M. KUTAN, A. M. ve XI, D. (2015), “Does Exchange Rate Volatility Hurt Domestic Consumption? Evidence from emerging economies”, International Economics, 144(4), 53-65.
  • BAILEY, J. M. TAVLAS, S. G. ve ULAN, M. (1987), “The Impact of Exchange Rate Volatility on Export Growth: Some Theoretical Considerations and Empirical Results”, Journal of Policy Modeling, 9(1), 225–243.
  • BEIRNE, J. ve BIJSTERBOSCH, M. (2011). “Exchange Rate Pass-Through In Central and Eastern European Member States”. European Central Bank. Working Paper Series, 1120.
  • HO, S. Y. ve NJINDAN IYKE, B (2018), “Real Exchange Rate Volatility and Domestic Consumption in Ghana", The Journal of Risk Finance, 19(5), 513-523.
  • BERUMENT, H. (2002). “Treasury Auction İnterest Rates And Economic Performance For Turkey”. 1-26.
  • CARROLL, C. D. (1992), “The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence”, Brookings Papers on Economic Activity, 1992(2), 61-156.
  • CARROLL, C. D. ve KIMBALL, M. S. (1996), “On The Concavity of the Consumption Function”, Econometrica, 64(4), 981-992.
  • CARROLL, C. D. (1997), “Buffer-Stock Saving and the Life Cycle/Permanent İncome Hypothesis”, Quarterly Journal of Economics, 112(1), 1-56.
  • CLARK, P. B. ve HAULK, C. J. (1972), ‘‘Flexible Exchange Rates and the Level of Trade: A Preliminary Analysis of the Canadian Experience’’, Washington: Federal Reserve Board.
  • CHOWDHURY, A. R. (1993). Does Exchange Rate Volatility Depress Trade Flows? Evidence From Error Correction Models, Review of Economics and Statistics 75, 700-706.
  • COTE, A. (1994). Exchange Rate Volatility and Trade: A Survey, Bank of Canada Working Paper, 94(5).
  • CUSHMAN, O. D. (1983), “The Effects of Real Exchange Rate Risk on International Trade”, Journal of International Economics, 15, 45–63.
  • DOĞANLAR, M. (2002), “Estimating the Impact of Exchange Rate Volatility On Exports: Evidence From Asian Countries”, Applied Economics Letters, 9, 859-63.
  • DOORNIK, J. A. ve HANSEN, H. (2008), “An Omnibus Test for Univariate and Multivariate Normality” Oxford Bulletin of Economics and Statistics, 70, 927-939.
  • DUARTE, M. ve OBSTFELD, M. (2008), “Monetary Policy in the Open Economy Revisited: The Case for Exchange-Rate Flexibility Restored”, Journal of International Money and Finance, 27(6), 949–957.
  • ETHIER, W. (1973), International Trade and the Forward Exchange Market. American Economic Review, 63, 494-503.
  • GÜNDÜZ, L. ve HATEMI-J, A. (2006), “Is the Tourism-Led Growth Hypothesis Valid for Turkey?”, Applied Economics Letters, 12(8), 499-504.
  • HACKER, R.S. ve HATEMI- J, A. (2012), “A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory and Application in Finance”, Journal of Economic Studies, 39(2), 144-160.
  • HALL, S.G. PSARADAKİS, Z. ve SOLA, M. (1997), “Conintegration and Changes in Regime: The Japanese Consumption Function”, Journal of Applied Econometrics 12, 151–168.
  • HACKER, R.S. ve HATEMİ-J, A. (2006), “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Applied Economics, 38, 1489-1500.
  • HATEMİ-J, A. (2003), “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models”, Applied Economics Letters, 10(3), 135-137.
  • HATEMI-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, 43, 447:456.
  • GRANGER, C. ve YOON, G. (2002), “Hidden Cointegration”, Department of Economics, University of California, San Diego, Economics Working Paper No. 2002-02.GÜR, T. H. ve ERTUĞRUL, H. M. (2012). “Döviz Kuru Oynaklıksi Modelleri: Türkiye Uygulaması”. İktisat İşletme ve Finans, 27(310), 53-77.
  • JIN, F. (1995), “Cointegration of Consumption and Disposable Income: Evidence From Twelve OECD Countries”, Southern Economic Journal, 62, 77–88.
  • KORAY, F. ve LASTRAPES, W. D. (1989), “Real Exchange Rate Volatility and the US. Bilateral Trade: A VAR Approach”, Review of Economics and Statistics, Vol. 71(11), 708-712.
  • KUGLER, P. (1985), “Autoregressive Modelling of Consumption, Income, Inflation and Interest Rate Data: A Multi-Country Study”, Empirical Economics, 10, 37–50.
  • KRUGMAN, P. ve TAYLOR, L. (1978), “Contractionary Effects of Devaluation”, Journal of International Economics, 8, 445–56
  • OBSTFELD, M. ve ROGOFF, K. (1998), NBER Working Papers içinde “Risk and Exchange Rates”. w6694, National Bureau of Economic Research.
  • POZO, S. (1992), “Conditional Exchange Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s”, The Review of Economics and Statistics, 74, 325-29.
  • TODA, H. Y. ve YAMAMOTO, T. (1995), “Statistical Inferences In Vector Autoregressions With Possibly Integrated Processes”, Journal of Econometrics, 66, 225‐250.
  • WANG, S. ve GUO, R. (2016), “Asymmetric Exchange Rate Pass-through and Monetary Policy in Open Economy”, Annals of Economics and Finance, Vol. 17(1), 33–53.

TÜRKİYE’DE DÖVİZ KURU OYNAKLIĞI VE HANEHALKI HARCAMALARI ARASINDAKİ İLİŞKİ

Year 2019, Volume: 6 Issue: 3, 832 - 845, 31.12.2019
https://doi.org/10.30798/makuiibf.563862

Abstract

Tüketim harcamaları, ekonomik büyümeyi
etkileyen temel faktörler arasında yer almaktadır.  Tüketim temelli ekonomik büyüme gösteren
Türkiye gibi ülkelerde kamunun, hane halkının ve özel sektörün yapmış olduğu
tüketim harcamaları daha da önemli hale gelmektedir. Tüketimin büyüme
üzerindeki etkisi aynı zamanda kısa dönemli para politikası kararlarını da
etkilemektedir. Para politikasına yönelik alınan kararlar neticesinde kısa
dönemli tüketim üzerinde farklılıklar oluşmaktadır. Tüketimi etkileyen
faktörleri anlamak, karar alıcıların uygulayacakları politika bakımından
önemlidir. Buna bağlı olarak, çalışmada, Türkiye’de özellikle son yıllarda
yüksek değişkenlik gösteren döviz kuru belirsizliğinin tüketim harcamaları
üzerindeki etkisi incelenmektedir. Literatür incelendiğinde az sayıda
araştırmada döviz kurunun tüketime olan etkisinin incelendiği görülmektedir.
Yapılan araştırmalar genellikle döviz kuru belirsizliğinin ihracat ile
arasındaki ilişki üzerinedir.  Bu
çalışmada, Türkiye’de ki döviz kuru belirsizliğinin reel tüketim harcamaları
üzerindeki kısa ve uzun dönem etkileri ele alınmaktadır. Çalışma verileri
1998-2017 yılları arasında üçer aylık periyotlar kullanılarak oluşturulmuştur.
Döviz kuru belirsizliğine ait değerlerin elde edilmesinde GARCH modelinden faydalanılmıştır.
Reel tüketim harcamaları ve döviz kuru belirsizliği arasındaki nedensellik
ilişkisini incelemek amacıyla Hacker ve Hatemi-J (2006) simetrik ve Hatemi-J
(2012) asimetrik nedensellik testleri uygulanmıştır. Elde edilen sonuçlar,
dolar kurundaki oynaklık ve harcama arasında nedensellik ilişkisi olmadığını
göstermektedir. Euro döviz kurundaki değişimin ise tüketim harcamaları ile ilişkili
olduğu görülmektedir. 

References

  • ALEXANDER, S. S. (1952), “Effects of a Devaluation of Trade Balance”, International Monetary Fund Staff Papers, 2(2), 263-278.
  • ALBUQUERQUE, C. R. ve PORTUGAL, M. (2005). Exchange Rate and Inflation: A Case of Sulkiness of Volatility. UFRGS, Departamento de Economia, Texto Para Discussão, (1).
  • ARANGO, S. ve NADIRI, M. I. (1981), “Demand for Money in Open Economies”, Journal of Monetary Economics, 7, 69–83.
  • ARIZE, A. C. (1995), “Trade Flows and Real Exchange-Rate Volatility: An Application of Cointegration and Error-Correction Modeling”, North American Journal of Economics & Finance, 6(1), 37-51.
  • BAHMANI-OSKOOEE, M. ve HAJILEE, M. (2010), “On the Relation Between Currency Depreciation and Wages”, Applied Economics Letters, 17(6), 525-530.
  • BAHMANI-OSKOOEE, M.ve XI, D. (2012), “Exchange Rate Volatility and Domestic Consumption: Evidence From Japan”, Economic Systems, 36(2), 326-335.
  • BAHMANI-OSKOOEE, M. KUTAN, A. M. ve XI, D. (2015), “Does Exchange Rate Volatility Hurt Domestic Consumption? Evidence from emerging economies”, International Economics, 144(4), 53-65.
  • BAILEY, J. M. TAVLAS, S. G. ve ULAN, M. (1987), “The Impact of Exchange Rate Volatility on Export Growth: Some Theoretical Considerations and Empirical Results”, Journal of Policy Modeling, 9(1), 225–243.
  • BEIRNE, J. ve BIJSTERBOSCH, M. (2011). “Exchange Rate Pass-Through In Central and Eastern European Member States”. European Central Bank. Working Paper Series, 1120.
  • HO, S. Y. ve NJINDAN IYKE, B (2018), “Real Exchange Rate Volatility and Domestic Consumption in Ghana", The Journal of Risk Finance, 19(5), 513-523.
  • BERUMENT, H. (2002). “Treasury Auction İnterest Rates And Economic Performance For Turkey”. 1-26.
  • CARROLL, C. D. (1992), “The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence”, Brookings Papers on Economic Activity, 1992(2), 61-156.
  • CARROLL, C. D. ve KIMBALL, M. S. (1996), “On The Concavity of the Consumption Function”, Econometrica, 64(4), 981-992.
  • CARROLL, C. D. (1997), “Buffer-Stock Saving and the Life Cycle/Permanent İncome Hypothesis”, Quarterly Journal of Economics, 112(1), 1-56.
  • CLARK, P. B. ve HAULK, C. J. (1972), ‘‘Flexible Exchange Rates and the Level of Trade: A Preliminary Analysis of the Canadian Experience’’, Washington: Federal Reserve Board.
  • CHOWDHURY, A. R. (1993). Does Exchange Rate Volatility Depress Trade Flows? Evidence From Error Correction Models, Review of Economics and Statistics 75, 700-706.
  • COTE, A. (1994). Exchange Rate Volatility and Trade: A Survey, Bank of Canada Working Paper, 94(5).
  • CUSHMAN, O. D. (1983), “The Effects of Real Exchange Rate Risk on International Trade”, Journal of International Economics, 15, 45–63.
  • DOĞANLAR, M. (2002), “Estimating the Impact of Exchange Rate Volatility On Exports: Evidence From Asian Countries”, Applied Economics Letters, 9, 859-63.
  • DOORNIK, J. A. ve HANSEN, H. (2008), “An Omnibus Test for Univariate and Multivariate Normality” Oxford Bulletin of Economics and Statistics, 70, 927-939.
  • DUARTE, M. ve OBSTFELD, M. (2008), “Monetary Policy in the Open Economy Revisited: The Case for Exchange-Rate Flexibility Restored”, Journal of International Money and Finance, 27(6), 949–957.
  • ETHIER, W. (1973), International Trade and the Forward Exchange Market. American Economic Review, 63, 494-503.
  • GÜNDÜZ, L. ve HATEMI-J, A. (2006), “Is the Tourism-Led Growth Hypothesis Valid for Turkey?”, Applied Economics Letters, 12(8), 499-504.
  • HACKER, R.S. ve HATEMI- J, A. (2012), “A Bootstrap Test for Causality with Endogenous Lag Length Choice: Theory and Application in Finance”, Journal of Economic Studies, 39(2), 144-160.
  • HALL, S.G. PSARADAKİS, Z. ve SOLA, M. (1997), “Conintegration and Changes in Regime: The Japanese Consumption Function”, Journal of Applied Econometrics 12, 151–168.
  • HACKER, R.S. ve HATEMİ-J, A. (2006), “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application”, Applied Economics, 38, 1489-1500.
  • HATEMİ-J, A. (2003), “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models”, Applied Economics Letters, 10(3), 135-137.
  • HATEMI-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, 43, 447:456.
  • GRANGER, C. ve YOON, G. (2002), “Hidden Cointegration”, Department of Economics, University of California, San Diego, Economics Working Paper No. 2002-02.GÜR, T. H. ve ERTUĞRUL, H. M. (2012). “Döviz Kuru Oynaklıksi Modelleri: Türkiye Uygulaması”. İktisat İşletme ve Finans, 27(310), 53-77.
  • JIN, F. (1995), “Cointegration of Consumption and Disposable Income: Evidence From Twelve OECD Countries”, Southern Economic Journal, 62, 77–88.
  • KORAY, F. ve LASTRAPES, W. D. (1989), “Real Exchange Rate Volatility and the US. Bilateral Trade: A VAR Approach”, Review of Economics and Statistics, Vol. 71(11), 708-712.
  • KUGLER, P. (1985), “Autoregressive Modelling of Consumption, Income, Inflation and Interest Rate Data: A Multi-Country Study”, Empirical Economics, 10, 37–50.
  • KRUGMAN, P. ve TAYLOR, L. (1978), “Contractionary Effects of Devaluation”, Journal of International Economics, 8, 445–56
  • OBSTFELD, M. ve ROGOFF, K. (1998), NBER Working Papers içinde “Risk and Exchange Rates”. w6694, National Bureau of Economic Research.
  • POZO, S. (1992), “Conditional Exchange Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s”, The Review of Economics and Statistics, 74, 325-29.
  • TODA, H. Y. ve YAMAMOTO, T. (1995), “Statistical Inferences In Vector Autoregressions With Possibly Integrated Processes”, Journal of Econometrics, 66, 225‐250.
  • WANG, S. ve GUO, R. (2016), “Asymmetric Exchange Rate Pass-through and Monetary Policy in Open Economy”, Annals of Economics and Finance, Vol. 17(1), 33–53.
There are 37 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Doç. Dr. Hakan Demirgil 0000-0002-9509-7751

Dr. Öğr. Üyesi Süha Çelikkaya 0000-0002-4104-1680

Publication Date December 31, 2019
Submission Date May 13, 2019
Published in Issue Year 2019 Volume: 6 Issue: 3

Cite

APA Demirgil, D. D. H., & Çelikkaya, D. Ö. Ü. S. (2019). TÜRKİYE’DE DÖVİZ KURU OYNAKLIĞI VE HANEHALKI HARCAMALARI ARASINDAKİ İLİŞKİ. Mehmet Akif Ersoy Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 6(3), 832-845. https://doi.org/10.30798/makuiibf.563862