Uzun Dönem Denge Döviz Kuru ve Sapmalar: Beer Yaklaşımı

Abstract

Bu çalışmada, BEER (Davranışsal Denge Döviz Kuru) yaklaşımı ile cari açık sorunu yaşayan 15 gelişmekte olan ülke için 1995-2012 döneminde uzun dönem denge döviz kuru ve sapmaların belirlenmesi amaçlanmıştır. Uygulanan panel veri analizi neticesinde, uzun dönem denge reel efektif döviz kurunun en önemli belirleyicisinin göreli verimlilik olduğu tespit edilmiştir. Ayrıca net yabancı varlık stokundaki değişmelerin de önemli etkiler yarattığı gözlenmiştir. Elde edilen uzun dönem denge reel efektif döviz kuru değerleri, ulusal ve uluslararası ekonomik gelişmelere bağlı olarak denge düzeyinden sapmaların dönemden döneme ve ülkeye göre önemli farklılıklar gösterdiğini ortaya koymuştur. Buna göre, 2008 küresel krizinin reel efektif döviz kurları üzerinde önemli etkilerinin olduğu görülmüştür. Hindistan, Polonya, Hırvatistan ve Litvanya’da reel efektif döviz kurunun uzun dönem denge düzeyinden sapmasının diğer ülkelere oranla düşük oranda olduğu ancak Güney Afrika, Mısır, Gana, Kolombiya, Uruguay, Bulgaristan ve Tunus’ta yüksek oranda olduğu belirlenmiştir. Türkiye için elde edilen sonuçlar, reel efektif döviz kurunun seyrinin genel olarak krizlerin habercisi olduğunu göstermiştir. Reel efektif döviz kurunun 2003’ten itibaren küresel krizin etkilerinin hissedildiği 2009 yılına kadar hem yurtiçi hem de küresel ölçekteki gelişmelere bağlı olarak denge düzeyine göre aşırı değerli olduğu ve sonraki süreçte 2011 yılından itibaren ise yaşanan gelişmelere bağlı olarak düşük değerli bir görünüme sahip olduğu belirlenmiştir. 

Keywords

• Davranışsal Denge Döviz Kuru,Denge Döviz Kurundan Sapma,Gelişmekte Olan Ülkeler,Panel Veri Analizi

Equilibrium Exchange Rates And Misalignments: The Beer Approach

Abstract

In this study, it was aimed to determine the long-run equilibrium exchange rates and misalignments for 15 developing countries with current account deficit in the period of 1995-2016 by using BEER (Behavioral Balance Exchange Rate) approach. As a result of the applied panel data analysis, it was determined that the most important determinant of long-term equilibrium real effective exchange rate is relative productivity. In addition, changes in the net foreign asset stock also have significant effects. The obtained long-run equilibrium real exchange rates showed that the misalignments from the equilibrium level differed significantly from period to period and according to country due to the national and international economic developments. Accordingly, the 2008 global crisis has had significant effects on real effective exchange rates. In India, Poland, Croatia and Lithuania, the misalignments of the real effective exchange rate from the long-run equilibrium level was low compared to other countries, but it was found to be high in South Africa, Egypt, Ghana, Colombia, Uruguay, Bulgaria and Tunisia. The results obtained for Turkey show that the trend of real effective exchange rate is a precursor of crises. It was determined that the real effective exchange rate was overvalued than the equilibrium level due to the developments in both domestic and global scale from 2003 to 2009 when the effects of the global crisis were felt, but it has depreciated due to the developments in the following period beginning from 2011.

Keywords

• Behavioral equilibrium exchange rates,Misalignment from equilibrium exchange rate

References

1. Achy, L. (2001). Equilibrium Exchange Rate and Misalignment: In Selected MENA Countries, Munich Personal RePEc Archive, Working Paper No. 4799, 1-23.
2. Adu, R., Litsios I., & Baimbridge, M. (2018). Real Exchange Rate and Asymmetric Shocks in the West African Monetary Zone (WAMZ), Journal of International Financial Markets, Institutions and Money, 1-18.
3. Akram, Q.F. (2003). Real equilibrium exchange rates for Norway, in O. Eitrheim & Gulbrandsen, K.(Ed.), Explaining Movements in The Norwegian Exchange Rate (s. 53-81), Norges Bank Occasional Papers No. 32.
4. Alberola, E. (2003). Misalignment Liabilities Dollarization and Exchange Rate Adjustment in Latin America, Bank of Spain, Research Paper No. 0309, 1-26.Alper, M.A. (2010). Sürdürülebilir Reel Döviz Kuru: Türkiye Örneği, Ankara Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Ankara.
5. Amoah, L., & Aziakpono, M.J. (2015). Exchange Rate Behaviour in Ghana: Is there a Misalignment?, The Economic Society of South Africa Conference, 2nd – 4th September, Soth Africa: Cape Town.
6. Benassy-Quere, A., Bereau, S., & Mignon, V. (2010). On the Complemetarity of Equilibrium Exchange Rate Approaches, Review of International Economics, 18(4), 618–632.
7. Breuer, J. B., Mcnown, R. & Wallace, M. S. (2001). Misleading İnferences From Panel Unit-Root Tests With An İllustration From Purchasing Power Parity, Review of International Economics, 9, 482–493.
8. Breuer, B., Mcnown, R., & Wallace, M. (2002). Series Specific Unit Root Test With Panel Data, Oxford Bulletin of Economics and Statistics, 64(5), 527-546.

9. Chen, J. (2007). Behavior Equilibrium Exchange Rate and Misalignment of Renminbi: A Recent Empirical Study, Degit Conference Paper, 1-21.
10. Cheng, F.D., & Orden, D. (2005). Exchange Rate Misalignment and its Effects on Agricultural Producer Support Estimate: Empirical Evidence from India and China. Markets, Trade and Institution Division (MTID) Discussion Paper, International Food Policy Research Institute, No. 81, 1-27.
11. Clark, P.B., & R. MacDonald. (1998). Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs, International Monetary Fund, Working Paper No. 67, 1-37.
12. Couharde, C., Coulibaly, I., & Damatte, O. (2013). Anchor Currency and Real Exchange Rate Dynamics in the CFA Franc Zone, Economic Modelling, 33, 722-732.
13. Çemrek, F., & Burhan, E. (2014). Petrol Tüketiminin Ekonomik Büyüme Üzerindeki Etkisinin Panel Veri Analizi İle İncelenmesi, Uluslararası Alanya İşletme Fakültesi Dergisi, 6(3), 47-58.
14. Çetin, M., & Ecevit, E. (2010). Sağlık Harcamalarının Ekonomik Büyüme Üzerindeki Etkisi: OECD Ülkeleri Üzerine Bir Panel Regresyon Analizi, Doğuş Üniversitesi Dergisi, 11(2), 166-182.
15. Darvas, Z. (2012). Real Effective Exchange Rates for 178 Countries: A New Database, Bruegel Working Paper No. 6, 1-34.
16. Dufrenot, G.J. & Yehoue, E.B. (2005). Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis, International Monetary Fund, Working Paper No.164, 1-38.
17. Egert, B., Halpern, L.,& Macdonald, R. (2005). Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues, William Davidson Institute, Working Paper No. 792, 257-324.
18. Elbadawi, I., A., Kaltani, L., & Soto, R. (2012). Aid, Real Exchange Rate Misalignment, and Economic Growth in Sub-Saharan Africa, World Development, 40(4), 681-700.
19. Feyzioğlu, T. (1997). Estimating the Equilibrium Real Exchange Rate: An Application to Finland, International Monetary Fund, Working Paper No. 109, 1-24.
20. Fidora, M., Giordano, C., & Schmitz, M. (2017). Real Exchange Rate Misalignments In The Euro Area, European Central Bank Working Paper No. 2108, 1-54.
21. Funke, M., & Rahn, J. (2005). Just How Undervalued Is the Chinese Renminbi?, World Economy, 28, 465–489.
22. Greene, W.H. (2000). Econometric Analysis, Fourth Edition, Prentice Hall, New Jersey.
23. Gujarati, D.N., & Porter D. C. (2009), Basic Econometrics, Fifth Edition, McGraw Hill Educations, New York.
24. Hill, R.C., Griffiths, W.E., & Lim, G.C. (2011). Principles of Econometrics, Fourth Edition, John Wiley & Sons, United States of America.
25. Hsiao, C. (2003). Analysis of Panel Data, Second Edition, Cambridge University Press, Cambridge: England.
26. IMF. (2007). The Equilibrium Exchange Rate: Alternative Concepts and Their Applications in IMF Surveillance, Background Document, 3, 53-66.
27. Iossifov, P., & Loukoianova, E. (2007). Estimation of A Behavioral Equilibrium Exchange Rate Model for Ghana, International Monetary Fund, Working Paper No. 155, 1-21.
28. Jongwanich, J. (2008). Real Exchange Rate Overvaluation and Currency Crisis: Evidence from Thailand, Applied Economics, 40(3), 373–82.
29. Khomo, M.M. & Aziakpono, M.J. (2016). The Behaviour of The Real Effective Exchange Rate of South Africa: Is There A Misalignment?, Economic Research Southern Africa, 644, 1-23.
30. Kinkyo, T. (2008). Disorderly Adjustments to the Misalignments in the Korean Won, Cambridge Journal of Economics, 32, 111–124.
31. Komaludin, A. (2009). Determinant Factors of Real Exchange Rates: The Behavioral Equilibrium Exchange Rates Model (The BEER), Jurnal Ekonomi Dan Bisnis, 15(1), 1-15.
32. Komárek, L., &. Melecký, M. (2005). The Behavioural Equilibrium Exchange Rate of the Czech Koruna, Czech National Bank, Working Paper No. 5, 1-24.
33. Lane P.R., & Milesi-Ferretti, G.M. (2001). The External Wealth of Nations: Measures of Foreign Assets and Liabilities for Industrial and Developing Countries, Journal of İnternational Economics, No. 55, 263-294.
34. Leung, F., & Ng, P. (2007). Is the Hong Kong Dollar Real Exchange Rate Misaligned?, Hong Kong Monetary Authority, Working Paper No. 21.
35. MacDonald, R. (1997). What Determines the Real Exchange Rate? The Long and the Short of It, IMF Working Paper No. 97(21), 1-53.
36. MacDonald, R. (2000). Concepts to Calculate Equilibrium Exchange Rates: An Overview, Deutsche Bank, Economic Research Group, Discussion Paper No. 3, 1-66.
37. MacDonald, R. (2004). The Long-run Real Effective Exchange Rate of Singapore: A Behavioural Approach, Monetary Authority of Singapore, Staff Paper No. 36, 1-28.
38. MacDonald, R., & Dias, P. (2007). Behavioural Equilibrium Exchange Rate Estimates and Implied Exchange Rate Adjustments for Ten Countries, University of Glasgow, Department of Economics, Working Paper No. 12, 1-33.
39. Maeso-Fernández, F., Osbat, C.,& Schnatz, B. (2002). Determinants Of The Euro Real Effective Exchange Rate: A BEER/PEER Approach. Australian Economic Papers, 41, 437–61.
40. Mark, N.C., Ogaki, M. & Sul, D. (2005). Dynamic Seemingly Unrelated Cointegrating Regressions, The Review of Economic Studies, 72(3), 797–820.
41. Paiva, C. (2006). External Adjustment and Equilibrium Exchange Rate in Brazil, International Monetary Fund, Working Paper No. 221, 1-21.
42. Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics, 435, 1-39.
43. Pesaran, M.H. & Yamagata, T. (2008). Testing Slope Homogeneity in Large Panels, Journal of Econometrics, 142(1), 50-93.
44. Pesaran, M.H., Ullah, A. & Yamagata, T. (2008). A Bias-Adjusted LM Test of Error Cross-Section Independence, Econometrics Journal, 11, 105-127.
45. Plecita, K., & Strelec, L. (2012). Behavioral Equilibrium Exchange Rate in Greece and İreland, Proceedings of 30th İnternational Conference Mathematical Methods in Economics, 715-720.
46. Rusek, A. (2012). The Eurozone’s Equilibrium Real Exchange Rates, Modern Economy, 3(5), 534-541.
47. Sahminan, S. (2005). Estimating Equilibrium Real Exchange Rates of the Rupiah, Bank Indonesia, Working Paper No.8, 1-13.
48. Schnatz, B., Vijselaar, F., & Osbat, C. (2003). Productivity and The (Synthetic) Euro-Dollar Exchange Rate”, European Central Bank, Working Paper Series No.225, 1-36.
49. Siregar, R.Y. (2011). The Concepts of Equilibrium Exchange Rate: A Survey of Literature, The South East Asian Central Banks Reserarch and Training Center, Staff Paper No. 81, 1-54.
50. Tatoğlu, F.Y. (2012). Panel Veri Ekonometrisi, 1. Baskı, Beta Yayınevi, İstanbul.
51. Tipoy, C.K., Breitenbach, M.C. & Zerihun, M.F. (2016). Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Countries, SPOUDAI Journal of Economics and Business, 66(4), 3-25.
52. Toulaboe, D. (2006). Real Exchange Rate Misalignment and Economic Growth in Developing Countries, Southwestern Economic Review, 33, 57–72.
53. Verbeek M. (2004). A Guide to Modern Econometrics, Second Edition, John Wiley & Sons Ltd, West Sussex: England
54. Vieira, F.V, & MacDonald, R. (2012). A Panel Data Investigation of Real Exchange Rate Misalignment and Growth. Estudos Econômicos (São Paulo), 42(3), 433-456. Villavicencio, A.L. (2006). Real Equilibrium Exchange Rates: A Panel Data Approach for Advanced and Emerging Economies, Economie Internationale, 108, 59-81.
55. Wang, T. (2004). Exchange Rate Dynamics, in Prasad, E.(Ed.), China’s Growth and Integration Into The World Economy: Prospects and Challenges, International Monetary Fund, IMF Occasional Paper No. 232.
56. Westerlund, J. (2008). Panel Cointegration Tests of The Fisher Effect, ,Journal of Applied Econometrics, 23(2), 193-233.
57. Yajie, W., Xiaofeng, H., & Soofi, A.S. (2007). Estimating Renmibni (RMB) Equilibrium Exchange Rate, Journel of Policy Modeling, 29, 417-429.
58. Zhang, Z. (2001). Real Exchange Rate Misalignment in China: An Empirical Investigation, Journal of Comparative Economics, 29, 80–94.