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DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ

Year 2022, , 397 - 407, 02.03.2022
https://doi.org/10.30794/pausbed.914002

Abstract

Türkiye ekonomisinde dolarizasyon histerisinin araştırıldığı bu çalışmaya göre, 2011:12 ile 2021:01 örneklem döneminde dolarizasyon oranı ile enflasyon oranı, döviz kuru ve CDS risk primi arasında simetrik bir nedensellik söz konusudur. Diğer taraftan, faiz oranındaki artma dolarizasyon oranındaki azalmanın nedeni iken, tersi ise geçerli değildir. Dolayısıyla, faiz oranından dolarizasyon oranına doğru olmak üzere tek yönlü bir nedensellik vardır. Sonuç olarak, ilgili dönemde enflasyon oranı, döviz kuru, faiz oranı ve CDS risk primi değişkenlerinde histeri etkisine ulaşılamamıştır.

References

  • Ahumada, H. (1992). ‘‘A Dynamic Model of the Demand for Currency: Argentina 1977-1988’’, Journal of Policy Modeling, 14/3, 335-361.
  • Calvo, G.A. ve Vegh, C.A. (1992). “Currency Substition in Developping Countries: An Introduction”, IMF Working Paper, 92/40, 1-31.
  • Civcir, İ. (2003). ‘‘Dollarization And Its Long-Run Determinants in Turkey’’, Research in Middle East Economics, 6, 201-232.
  • Clements, B., ve Schwartz, G. (1993). ‘‘Currency Substitution: The Recent Experience of Bolivia’’, World Development, 21/11, 1883-1893.
  • Craig, B. ve Waller, C.J. (2004). ‘‘Dollarization and Currency Exchange’’, Journal of Monetary Economics, 51, 671-689.
  • Dolado, J.J. ve Lütkepohl, H. (1996). “Making Wald Tests Work for Cointegrated VAR Systems”, Econometric Theory, 15/4, 369-386.
  • Dornbusch, R. ve Reynoso, A. (1989). ‘‘Financial Factors in Economic Development’’, NBER Working Paper, 2889, 1-35.
  • El-Erian, M. (1988). ‘‘Currency Substitution in Egypt and the Yemen Arab Republic’’, International Monetary Fund Staff Papers, 35/1, 85-103.
  • Feige, L.E., Faulend, M. ve Šonje, V. ve Šošić, V. (2000). ‘‘Currency Substitution, Unofficial Dollarization and Estimates of Foreign Currency Held Abroad: The Case of Croatia’’, International Finance 0106001, University Library of Munich, Germany. 1-32.
  • Feige, L.E., Šošić, V., Faulend, M. ve Šonje, V. (2002). ‘‘Unofficial Dollarization in Latin America: Currency Substitution, Network Externalities and Irreversibility’’, International Finance 0205002, University Library of Munich, Germany, 1-28.
  • Freitas, M.L. (2003). ‘‘Revisiting Dollarisation Hysteresis: Evidence from Bolivia, Turkey and Indonesia’’, NIPE Working Papers, 12, 1-24.
  • Freitas, M.L. (2004). ‘‘The Dynamics of Inflation and Currency Substitution in a Small Open Economy’’, Journal of International Money and Finance, 23, 133-142.
  • Guidotti, P. ve Rodriguez, C.A. (1992). ‘‘The Dollarization in Latin America: Gresham Law in Reverse’’, International Monetary Fund Staff Papers, 39/3, 518-544.
  • Hatemi-J, A. (2012). “Asymmetric Causality Tests With An Application”, Empirical Economics, 43/1, 447-456.
  • Hekim, D. (2008). ‘‘Para İkamesi Histerisi: Türkiye Örneği’’, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 3/1, 27-43.
  • Kamin, S., ve Ericsson, N. (1993). ‘‘Dollarization in Argentina’’, Board of Governors of the Federal Reserve System International Finance Discussion Paper, 460, 1-54.
  • Lee, J. ve Strazicich, C.M. (2003). ‘‘Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks’’, The Review of Economics and Statistics, 85/4, 1082-1089.
  • Lee, C.C. ve Chang, C.P. (2008). ‘‘Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence With Structural Breaks’’, Economic Modelling, 25/2, 312-325.
  • Melnick, R. (1990). ‘‘The Demand for Money in Argentina 1978-1987: Before and After the Austral Program’’, Journal of Business and Economic Statistics, 8/4, 427-434.
  • Melvin, M. (1988). ‘‘The Dollarization of Latin America as a Mmarket-Enforced Monetary Reform: Evidence and Implications’’, Economic Development and Cultural Change, 36/3, 543-558.
  • Mongardini, J. ve Mueller, J. (2000). ‘‘Ratchet Effects in Currency Substitution: An Application to the Kyrgyz Republic’’, IMF Staff Papers, 47/2, 218-237.
  • Mueller, Johannes, (1994). ‘‘Dollarization in Lebanon’’, IMF Working Paper, 94/129, 1-31.
  • Piterman, S. (1988). ‘‘The Irreversibility of the Relationship Between Inflation and Real Balances’’, Bank of Israel Economic Review, 60/1, 72-83.
  • Ramirez-Rojas, C.L. (1985). ‘‘Currency Substitution in Argentina, Mexico and Uruguay’’, International Monetary Fund Staff Papers, 32/4, 627-667.
  • Reding, P. ve Morales, J.A. (2004). ‘‘Currency Substitution and Network Externalitie’’, SSRN Electronic Journal, 1-26.
  • Sahay, R., ve Vegh, C.A. (1995). ‘‘Dollarization in Transition Economies: Evidence and Policy Implications’’, Internatıonal Monetary Fund Working Paper, 20490, 1-28.
  • Uribe, M. (1997). ‘‘Hysteresis in a Simple Model of Currency Substitution’’, Journal of Monetary Economics, 40, 185-202.
  • Us, V. (2003). ‘‘Analyzing the Persistence of Currency Substitution Using a Ratchet Variable: The Turkish Case’’, Emerging Markets Finance and Trade, 39/4, 58-81.
  • Valev, N.T. (2010). ‘‘The Hysteresis of Currency Substitution: Currency Risk vs. Network Externalities’’, Journal of International Money and Finance, 29, 224-235.
  • Yılancı, V. ve Bozoklu, Ş. (2014). “Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi”, Ege Akademik Bakış, 14/2, 211-220.
  • Yotopoulos, P. A. (1997). ‘‘Financial Crises and the Benefit of Mildly Repressed Exchange Rates.’’, Working Paper Series in Economics and Finance, 202, 1-21.

DOLARIZATION HYSTERY: THE CASE OF TURKEY

Year 2022, , 397 - 407, 02.03.2022
https://doi.org/10.30794/pausbed.914002

Abstract

According to this study, which investigated dollarization hysteria in the Turkish economy, there is a symmetrical causality between the dollarization rate and the inflation rate, the exchange rate and the CDS risk premium during the 2011: 12 and 2021: 01 sample period. On the other hand, while the increase in the interest rate is the cause of the decrease in the dollarization rate, the opposite is not valid. Hence, there is a one-way causality from the interest rate to the dollarization rate. As a result, hysteria has not been achieved in the inflation rate, exchange rate, interest rate and CDS risk premium variables in the Turkish economy.

References

  • Ahumada, H. (1992). ‘‘A Dynamic Model of the Demand for Currency: Argentina 1977-1988’’, Journal of Policy Modeling, 14/3, 335-361.
  • Calvo, G.A. ve Vegh, C.A. (1992). “Currency Substition in Developping Countries: An Introduction”, IMF Working Paper, 92/40, 1-31.
  • Civcir, İ. (2003). ‘‘Dollarization And Its Long-Run Determinants in Turkey’’, Research in Middle East Economics, 6, 201-232.
  • Clements, B., ve Schwartz, G. (1993). ‘‘Currency Substitution: The Recent Experience of Bolivia’’, World Development, 21/11, 1883-1893.
  • Craig, B. ve Waller, C.J. (2004). ‘‘Dollarization and Currency Exchange’’, Journal of Monetary Economics, 51, 671-689.
  • Dolado, J.J. ve Lütkepohl, H. (1996). “Making Wald Tests Work for Cointegrated VAR Systems”, Econometric Theory, 15/4, 369-386.
  • Dornbusch, R. ve Reynoso, A. (1989). ‘‘Financial Factors in Economic Development’’, NBER Working Paper, 2889, 1-35.
  • El-Erian, M. (1988). ‘‘Currency Substitution in Egypt and the Yemen Arab Republic’’, International Monetary Fund Staff Papers, 35/1, 85-103.
  • Feige, L.E., Faulend, M. ve Šonje, V. ve Šošić, V. (2000). ‘‘Currency Substitution, Unofficial Dollarization and Estimates of Foreign Currency Held Abroad: The Case of Croatia’’, International Finance 0106001, University Library of Munich, Germany. 1-32.
  • Feige, L.E., Šošić, V., Faulend, M. ve Šonje, V. (2002). ‘‘Unofficial Dollarization in Latin America: Currency Substitution, Network Externalities and Irreversibility’’, International Finance 0205002, University Library of Munich, Germany, 1-28.
  • Freitas, M.L. (2003). ‘‘Revisiting Dollarisation Hysteresis: Evidence from Bolivia, Turkey and Indonesia’’, NIPE Working Papers, 12, 1-24.
  • Freitas, M.L. (2004). ‘‘The Dynamics of Inflation and Currency Substitution in a Small Open Economy’’, Journal of International Money and Finance, 23, 133-142.
  • Guidotti, P. ve Rodriguez, C.A. (1992). ‘‘The Dollarization in Latin America: Gresham Law in Reverse’’, International Monetary Fund Staff Papers, 39/3, 518-544.
  • Hatemi-J, A. (2012). “Asymmetric Causality Tests With An Application”, Empirical Economics, 43/1, 447-456.
  • Hekim, D. (2008). ‘‘Para İkamesi Histerisi: Türkiye Örneği’’, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 3/1, 27-43.
  • Kamin, S., ve Ericsson, N. (1993). ‘‘Dollarization in Argentina’’, Board of Governors of the Federal Reserve System International Finance Discussion Paper, 460, 1-54.
  • Lee, J. ve Strazicich, C.M. (2003). ‘‘Minimum Lagrange Multiplier Unit Root Test With Two Structural Breaks’’, The Review of Economics and Statistics, 85/4, 1082-1089.
  • Lee, C.C. ve Chang, C.P. (2008). ‘‘Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence With Structural Breaks’’, Economic Modelling, 25/2, 312-325.
  • Melnick, R. (1990). ‘‘The Demand for Money in Argentina 1978-1987: Before and After the Austral Program’’, Journal of Business and Economic Statistics, 8/4, 427-434.
  • Melvin, M. (1988). ‘‘The Dollarization of Latin America as a Mmarket-Enforced Monetary Reform: Evidence and Implications’’, Economic Development and Cultural Change, 36/3, 543-558.
  • Mongardini, J. ve Mueller, J. (2000). ‘‘Ratchet Effects in Currency Substitution: An Application to the Kyrgyz Republic’’, IMF Staff Papers, 47/2, 218-237.
  • Mueller, Johannes, (1994). ‘‘Dollarization in Lebanon’’, IMF Working Paper, 94/129, 1-31.
  • Piterman, S. (1988). ‘‘The Irreversibility of the Relationship Between Inflation and Real Balances’’, Bank of Israel Economic Review, 60/1, 72-83.
  • Ramirez-Rojas, C.L. (1985). ‘‘Currency Substitution in Argentina, Mexico and Uruguay’’, International Monetary Fund Staff Papers, 32/4, 627-667.
  • Reding, P. ve Morales, J.A. (2004). ‘‘Currency Substitution and Network Externalitie’’, SSRN Electronic Journal, 1-26.
  • Sahay, R., ve Vegh, C.A. (1995). ‘‘Dollarization in Transition Economies: Evidence and Policy Implications’’, Internatıonal Monetary Fund Working Paper, 20490, 1-28.
  • Uribe, M. (1997). ‘‘Hysteresis in a Simple Model of Currency Substitution’’, Journal of Monetary Economics, 40, 185-202.
  • Us, V. (2003). ‘‘Analyzing the Persistence of Currency Substitution Using a Ratchet Variable: The Turkish Case’’, Emerging Markets Finance and Trade, 39/4, 58-81.
  • Valev, N.T. (2010). ‘‘The Hysteresis of Currency Substitution: Currency Risk vs. Network Externalities’’, Journal of International Money and Finance, 29, 224-235.
  • Yılancı, V. ve Bozoklu, Ş. (2014). “Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi”, Ege Akademik Bakış, 14/2, 211-220.
  • Yotopoulos, P. A. (1997). ‘‘Financial Crises and the Benefit of Mildly Repressed Exchange Rates.’’, Working Paper Series in Economics and Finance, 202, 1-21.
There are 31 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Rümeysa Erkan 0000-0001-6163-6852

Publication Date March 2, 2022
Acceptance Date October 17, 2021
Published in Issue Year 2022

Cite

APA Erkan, R. (2022). DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(49), 397-407. https://doi.org/10.30794/pausbed.914002
AMA Erkan R. DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ. PAUSBED. March 2022;(49):397-407. doi:10.30794/pausbed.914002
Chicago Erkan, Rümeysa. “DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 49 (March 2022): 397-407. https://doi.org/10.30794/pausbed.914002.
EndNote Erkan R (March 1, 2022) DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 49 397–407.
IEEE R. Erkan, “DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ”, PAUSBED, no. 49, pp. 397–407, March 2022, doi: 10.30794/pausbed.914002.
ISNAD Erkan, Rümeysa. “DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 49 (March 2022), 397-407. https://doi.org/10.30794/pausbed.914002.
JAMA Erkan R. DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ. PAUSBED. 2022;:397–407.
MLA Erkan, Rümeysa. “DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 49, 2022, pp. 397-0, doi:10.30794/pausbed.914002.
Vancouver Erkan R. DOLARİZASYON HİSTERİSİ: TÜRKİYE ÖRNEĞİ. PAUSBED. 2022(49):397-40.