Exchange Rate Determination Model of TL / US Dollar: ARDL Bounds Testing Application

Year 2020, Volume: 7 Issue: 1, 201 - 214, 15.01.2020

Levent Korap

https://doi.org/10.17541/optimum.533921

Cited By: 1

Abstract

Estimating the long run movement of the exchange rates has a determining role for the efficiency of policies in both the developed and the developing economies. In this paper, exchange rate determination mechanism of TL / US dollar is tried to be examined for the 2005Q3-2018Q3 period. By following  a theoretical base, the monetary model exchange rate determination mechanism has been constructed, and estimated with ARDL model bounds testing cointegration methodology. The results indicate that nominal exchange rate is cointegrated with the fundamentals suggested by economics theory. There exists a positive relationship between nominal exchange rate and relative money supply and that an increase in the relative income would lead to an appreciation of the domestic currency against the US dollar. Besides, as a priori hypothesized, relative interest variable has a negative relationship and relative inflation differential has a positive relationship with the nominal exchange rate.

Keywords

Exchange Rate, Economic Fundamentals, Modelling

TL / ABD Doları Döviz Kuru Belirlenme Modeli: ARDL Sınır Testi Uygulaması

Abstract

Döviz kurlarının uzun dönemli gelişim süreçlerinin tahmin edilmesi hem gelişmiş hem de gelişmekte  ekonomilerde uygulanan politikaların etkinlik koşulları açısından belirleyici bir işleve sahip olacaktır. Bu makalede bir döviz kuru belirlenme modeli kapsamında TL / ABD doları 2005Q4-2018Q3 gözlem dönemi için incelenmeye çalışılmaktadır. Kuramsal bir yaklaşım izlenerek parasal model döviz kuru belirlenme mekanizması ortaya konmuş ve ARDL sınır testi eşbütünleşim yöntemi ile tahmin edilmiştir. Bulgular parasal döviz kurunun iktisat kuramının belirttiği temeller ile tutarlı bir şekilde eşbütünleşik bir ilişkiye sahip olduğunu belirtmektedir. Parasal döviz kuru göreceli para arzı ile pozitif bir etkileşim içerisindeyken göreceli reel gelir düzeyindeki bir artış ulusal para biriminin ABD doları karşısında değer kazanması ile sonuçlanmaktadır. Ayrıca, önsel olarak varsayıldığı gibi, parasal döviz kuruyla göreceli faiz oranı arasında negatif ve göreceli beklenen enflasyon oranı arasında pozitif bir ilişki bulunmuştur. 

Keywords

Döviz Kuru, İktisadi Temeller, Modelleme

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