Relations between Foreign Direct Investment and Exchange Rate Volatility in Turkey: Analysis of Symmetric and Asymmetric Causality (2001:M1-2020:M2)

Year 2021, , 535 - 554, 01.08.2021

Muharrem Akın Doğanay , Mürşit Recepoğlu , Mustafa Kemal Değer

https://doi.org/10.17153/oguiibf.887429

Cited By: 3

Abstract

The objective of this study was to examine the relationship between exchange rate volatility and Foreign Direct Investment (FDI) in Turkey that adopting liberal policies in the post-1980 period. In this study, the relationships between FDI and exchange rate volatility were determined by symmetric (Fourier Toda-Yamamoto) and asymmetric (Hatemi-J) causality tests using the monthly data for the period of 2001:M1 - 2020:M2. According to the symmetric causality test results, there is a one-way relationship from FDI to exchange rate volatility. According to the results of the asymmetric causality test, there are two-way and significant causal relationships between the variables of FDI and exchange rate volatility. These results show the importance of reducing exchange rate volatility for the Turkish economy.

Keywords

Exchange Rate Volatility, Asymmetric Causality Analysis, Foreign Direct Investments

Türkiye’de Doğrudan Yabancı Yatırımlar ve Döviz Kuru Oynaklıkları Arasındaki İlişkiler: Simetrik ve Asimetrik Nedensellik Analizi (2001:M1-2020:M2)

Abstract

Bu çalışmanın amacı 1980 sonrası dönemde liberal politikaları benimseyen Türkiye’deki Doğrudan Yabancı Yatırımlar (DYY) ile döviz kuru oynaklığı arasındaki ilişkiyi incelemektir. Çalışmada 2001:M1-2020:M2 dönemi aylık verileri kullanılarak DYY ile döviz kuru oynaklığı arası ilişkiler, simetrik (Toda-Yamamoto) ve asimetrik (Hatemi-J) nedensellik testleri ile belirlenmiştir. Simetrik nedensellik testi sonuçlarına göre, DYY'den döviz kuru oynaklığına doğru tek yönlü bir ilişki vardır. Asimetrik nedensellik testi sonuçlarına göre ise DYY ve döviz kuru oynaklığı değişkenleri arasında iki yönlü ve anlamlı nedensel ilişkiler mevcuttur. Elde edilen bu sonuçlar, Türkiye ekonomisi için döviz kuru oynaklığının azaltılmasının önemini ortaya koymaktadır.

Keywords

Doğrudan Yabancı Yatırımlar, Döviz Kuru Oynaklığı, Asimetrik Nedensellik Testi

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