The Effects Of Exchange Rates On Macroeconomic Variables: A Study On The Selected Emerging Market Economies

Year 2014, Volume: 10 Issue: 2, 5 - 29, 01.12.2014

Asist.prof. Birgül Cambazoğlu Assoc. Prof. Hacer Simay Karaalp Dr. Konstantinos Vergos

Abstract

The exchange rate channel of the monetary transmission mechanism has gained importance through widespread use of the floating exchange rate regime with increased globalization. In this context, this study aims to explore the effectiveness of the exchange rate channel on net exports and thereby total output and price level using vector auto-regression (VAR) models. The sample countries are Turkey and Argentina, which have employed a floating exchange rate regime since 22 February 2001 and 11 February 2002, respectively. The monthly data set of the study consists of five macro-economic variables, which are short-term interest rates, the real effective exchange rate, net exports, the consumer price index, and the industrial production index for the period 2003 to 2010. The impulse-response function outcomes indicate that the operation of the exchange rate channel is effective, both in Turkey and in Argentina.

Keywords

Monetary Transmission Mechanism, Exchange Rate Channel, Turkey, Argentina, VAR

Döviz Kurlarının Makro Ekonomik Değişkenler Üzerine Etkileri: Seçilmiş Yükselen Ekonomiler Üzerine Bir Çalışma

Abstract

Küreselleşme ile birlikte serbest döviz kuru rejiminin kullanımının yaygınlaşmasıyla parasal aktarım mekanizması döviz kuru kanalı giderek önem kazanmıştır. Bu çalışmanın amacı döviz kuru kanalının net ihracat ve dolayısıyla toplam çıktı ve fiyatlar düzeyi üzerindeki etkinliğini vektör otoregregresif (VAR) modeli ile araştırmaktır. Örnek ülkeler, Türkiye ve Arjantin, sırasıyla 22 Şubat 2001 ve 11 Şubat 2002’den beri serbest döviz kuru rejimini uygulamaklaktadır. Çalışmanın aylık veriseti 2003-2010 dönemini kapsayan beş makroekonomik değişkenden oluşmaktadır. Bunlar; kısadönem faiz oranları, reel efektif döviz kuru, net ihracat, tüketici fiyat endeksi ve sanayi üretim endeksidir. Etki-tepki fonksiyonunun sonuçları gerek Türkiye gerekse Arjantin’de döviz kuru kanalının işleyişinin etkin olduğunu göstermektedir.

Keywords

ParasalAktarımMekanizması, DövizKuruKanalı, Türkiye, Arjantin, VAR

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