MERKEZ BANKASI REZERVLERİ İLE REEL EFEKTİF DÖVİZ KURLARI ARASINDAKİ İLİŞKİNİN ANALİZİ

Year 2021, Volume: 17 Issue: 2, 117 - 150, 22.11.2021

Önder Büberkökü Ayhan Cesur Kaan Yiğenoğlu

Abstract

Son dönemlerde Türkiye ekonomisinde merkez bankası rezervlerinin düzeyi ve Türk lirasında gözlemlenen sert fiyat hareketleri konusunda önemli tartışmalar yaşanmaktadır. Bu çalışmada Ocak 1994 ile Şubat 2021 dönemi dikkate alınarak merkez bankası rezervleri ile reel efektif döviz kurları arasındaki ilişki analiz edilmiştir. Uzun dönemli ilişki analizinde Johansen (1988,1991) koentegrasyon testi ile Gregory ve Hansen (1996) yapısal kırılmalı koentegrasyon testlerinden, nedensellik analizinde ise Toda ve Yamamoto (1995) nedensellik testi ile Breitung ve Candelon (2006) frekans alanlı nedensellik testinden yaralanılmıştır. Uzun dönem parametrelerinin tahmininde ise DOLS ve FMOLS tahmincileri kullanılmıştır. Koentegrasyon testlerine dayalı analizler değişkenler arasında uzun dönemli bir ilişki olduğu sonucuna işaret etmektedir. Uzun dönem parametreleri de pozitif ve istatistiki olarak anlamlı çıkmaktadır. Nedensellik testi sonuçları da orta ve uzun vadede merkez bankası rezervlerinden reel efektif döviz kurlarına doğru tek yönlü bir nedensellik ilişkisinin söz konusu olduğunu göstermektedir. Bu bulgular Türk lirasının reel değerinin korunmasında merkez bankası rezervlerinin önemli işlevlerinin bulunduğu anlamına gelmektedir.

Keywords

Merkez bankası reservleri, Rel efektif döviz kuru, Nedensellik, Uzun dönemli ilişki

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