Azerbaycan Reel Döviz Kurunda Küresel ve Yerel Faktörlerin Etkisi: Kantil Regresyondan Kanıt.

Year 2023, Volume: 11 Issue: 1, 77 - 89, 30.06.2023

Şakir Görmüş , Amal Essayem , Murat Güven

https://doi.org/10.54429/seyad.1275990

Abstract

Bu çalışmada, Ocak 2013'ten Nisan 2021'e kadar olan dönemde, Azerbaycan'ın reel döviz kuru üzerinde seçilmiş yerel ve küresel faktörlerin etkisi, asimetriyi dikkate alan quantile regresyon yöntemi kullanılarak analiz edilmiştir. Sonuçlar, tüm değişkenlerin genellikle düşük quantile'lerde reel döviz kuru üzerinde bir etkiye sahip olduğunu göstermektedir. Özellikle, OILP ve CPI'daki bir artış sırasıyla Q1-Q5 ve Q1-Q2'de RER'de bir azalmaya neden olmaktadır. Ayrıca, RESV ve GPR'deki bir artış sırasıyla Q1-Q2 ve Q1'de RER'de bir azalmaya neden olmaktadır. Katsayıların etkisi de quantile'ler arttıkça azalmaktadır.

Keywords

Azerbaycan, Petrol Fiyatları, Küresel Faktörler, Quantile Regresyon, Reel Döviz Kuru

The Effect of Global and Local Factors in Azerbaijan Reel Exchange Rate: Evidence from Quantile Regression

Abstract

In this study, we analyze the effect of selected local and global factors on Azerbaijan's real exchange rate during the period of January 2013 to April 2021, using the quantile regression method that takes asymmetry into account. The results showed that all variables generally influence the real exchange rate at lower quantiles. Specifically, an increase in OILP and CPI leads to a decrease in RER at Q1-Q5 and Q1-Q2, respectively. Furthermore, an increase in RESV and GPR leads to a decrease in RER at Q1-Q2 and Q1, respectively. The effect of the coefficients also decreases as the quantiles increase.

Keywords

Real Exchange Rate, Azerbaijan, Oil Prices, Global Factors, Quantile Regression.

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