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Para Politikasi ve Döviz Kuru Dinamikleri:Türk Lirasinda Siçrama Etkisi Geçerli Mi?

Year 2020, Volume: 29 Issue: 2, 271 - 289, 30.10.2020
https://doi.org/10.26650/siyasal.2020.29.2.0002

Abstract

Bu çalışma, para politikasındaki dışsal şokları tanımlamayı ve yapısal VAR (SVAR) modeli olarak adlandırılan yapısal kısıtlar içeren bir VAR modeli kullanarak, bu şokların Türkiye ekonomisindeki döviz kuru üzerindeki etkisini araştırmayı amaçlamaktadır. Çalışmada kullanılan ampirik model, döviz kurunun belirlenmesinde parasal yaklaşım çerçevesinde geliştirilmiştir ve Ocak 2003 ile Ekim 2019 arasındaki döneme ilişkin aylık veriler kullanılarak tahmin edilmiştir. Türkiye için yapılan geçmiş çalışmaların aksine, bu çalışma yabancı değişkenleri temsil etmek için ABD verileri yerine Avrupa Birliği verilerini kullanmaktadır. SVAR modelinin tahmini sonucu elde edilen etki-tepki ve varyans ayrıştırması fonksiyonları, analiz sürecinde Türkiye ekonomisinde güçlü ve neredeyse eşanlı bir döviz kuru sıçrama etkisinin varlığını doğrular niteliktedir.

Supporting Institution

Yazarlar bu çalışma için finansal destek almadığını beyan etmiştir.

References

  • Alp, A. (2000). Finansın uluslararasılaşması. İstanbul: Yapı Kredi Yayınları.
  • Backus, D. (1984). Empirical models of the exchange rate: Separating the wheat from the chaff. The Canadian Journal of Economics/Revue Canadienne D'Economique, 17(4), 824‒846.
  • Bahmani-Oskooee, M., & Kara, O. (2000). Exchange rate overshooting in Turkey. Economics Letters, 68, 89‒93.
  • Barnet, W. A., Bhadury, S. S., & Ghosh, T. (2016). An SVAR approach to evaluation of monetary policy in India: Solution to the exchange rate puzzles in an open economy. Open Economies Review, 27, 871‒893.
  • Bhadury, S. S., & Taniya, G. (2015). Reassessing exchange rate overshooting in a monetary framework. Working Paper Indira Gandhi Institute of Development Research (IGIDR).
  • Bjornland, H. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79, 64‒77.
  • Bordo, M., & Eichengreen, B. (2013). Bretton Woods and the great inflation. In The Great Inflation: The Rebirth of Modern Central Banking (pp. 449-489). University of Chicago Press.
  • Capistrán C., Chiquiar, D., & Hernández J. R. (2017). Identifying Dornbusch's exchange rate overshooting with structural VECs: Evidence from Mexico. Working Papers 2017-11, Banco de México.
  • CBRT. (2019a). Türkiye Cumhuriyet Merkez Bankası Enflasyon Raporu III.
  • CBRT. (2019b). Türkiye Cumhuriyet Merkez Bankası Enflasyon Raporu IV.
  • Christiano, L. J., Eichenbaum, M., & Evans, C., (1999). Monetary policy shocks: What have we learned and to what end? in Woodfoord, M., and Taylor, J. (Eds) Handbook of Monetary economics, (pp.65-148), North-Holland.
  • Cushman, D. O., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. The Journal of Monetary Economics, 39, 433‒448.
  • Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84, 1161–1175.
  • Dornbusch, R. (1980). Exchange rate risk and the macroeconomics of exchange rate determination. NBER Working Paper No. 493.
  • Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960‒971.
  • Driskill, R. A. (1981). Exchange rate dynamics: an empirical investigation. Journal of Political Economy, 89, 357-371.
  • Duasa, J. (2009). Impact of exchange rate shock on prices of imports and exports. International Economic Studies. 34(1), 59‒68.
  • Eichenbaum, M., & Evans, C. L. (1995). Some empirical evidence on the effects of monetary policy shocks on exchange rates. Quarterly Journal of Economics, 110, 975‒ 1010.
  • Faust, J., & Rogers, J. H. (2003). Monetary policy’s role in exchange rate behavior. Journal of Monetary Economics, 50, 1403‒1424.
  • Flood, R. P., & Taylor, M. P. (1996). Exchange rate economics: What is wrong with the conventional macro approach? In: J.A. Frankel, G. Galli, G. & A. Giovannini (Eds.), Micro structure of foreign exchange markets Chicago, IL: University of Chicago Press.
  • Frankel, J. (1979). On the mark: A theory of floating exchange rates based on real interest differentials. American Economic Review, 69, 610‒622.
  • Frenkel, J. (1976). A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence. The Scandinavian Journal of Economics, 78(2), 200‒224.
  • Gali, J. (1992). How well does the IS-LM model fit postwar US data? The Quarterly Journal of Economics, 107(2), 709-738.
  • Garcia-Herrero, A., Vial, J., Escrivá, J. L., & Nuno, G. (2008). “After Bretton Woods II”,BBVA Working Paper No:0803.
  • Grilli, V., & Roubini, R. (1996) Liquidity models in open economies: Theory and empirical evidence. European Economic Review, 40, 847‒859.
  • Güneş, S., & Karul, Ç. (2016) The Exchange rate overshooting in Turkey. Pamukkale Journal of Euroasian Socieconomic Studies, 3(1), 27‒35.
  • Haghighat, A., & Shojaei, T. (2014). Exchange rate overshooting in Iran. Academic Journal of Research in Economics and Management, 2(3), 38‒43.
  • Iwami, T. (1995). The Bretton Woods system as a gold exchange standard. In Japan in the International Financial System (pp. 1-35). Palgrave Macmillan, London.
  • Kartal, M. T., Depren, S. K., & Depren, Ö. (2018). Türkiye’de döviz kurlarini etkileyen makroekonomik göstergelerin belirlenmesi: Mars yöntemi ile bir inceleme. MANAS Journal of Social Studies, 7(1), 209‒229.
  • Kim, S. (2005). Monetary policy, foreign exchange policy, and delayed overshooting. Journal of Money, Credit and Banking, 37, 775‒782.
  • Kim, S., (2013). VAR models for macroeconomic policy analysis. in N. Hashimzade and M.A. Thornton (Eds) Handbook of Research Methods and Applications in Empirical Macroeconomics, (pp. 555-574), Edgar Elgar Publishing.
  • Kim, S., & Lim, L. (2018). Effects of monetary policy shocks on exchange rate in small open economies. Journal of Macroeconomics, 56, 324‒339.
  • Kim, S. H., Moon, S., & Velasco, C. (2017). Delayed overshooting: Is it an 80s puzzle? Journal of Political Economy, 125, 1570‒1598.
  • Kim, S., & Roubini, N. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45, 561‒586.
  • Krugman, P. R., Obstfeld, M., & Melitz, M. J. (2012). “International Economics: Theory and Policy”, Pearson Education.
  • Lütkepohl, H. (2007). General-to-specific or specific-to-general modelling? An opinion on current econometric terminology Journal of Econometrics Volume 136, Issue 1, January 2007, Pages 319-324.
  • Nieh, C., & Wang, Y. (2005). ARDL approach to the exchange rate overshooting in Taiwan. Review of Quantative Finance and Accounting, 25, 55‒71.
  • Pratomo, W. A. (2005). Exchange rate of Indonesia: Does Rupiah overshoot?. MPRA Paper No. 7381.
  • Rogoff, K. (2002). Dornbusch’s overshooting model after twenty-five years. Unpublished paper. Washington, DC: IMF Working Paper.
  • Scholl, A., & Uhlig, H. (2008). New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates. Journal of International Economics, 76, 1‒13.
  • Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1‒48.
  • Sims, C.A. (1992). Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review, 36, 975‒011.
  • Şıklar, İ., Kocaman, M., & Kapkara, S. (2017). Exchange rate pass-through to domestic prices: The Turkish case (2002-2014). Business and Economic Research, 7(2), 202‒211.
  • TBB. (2019). Bankalarımız 2018. Türkiye Bankalar Birliği Yayın No 331.
  • Yanar, R. (2008). Gelişmekte olan ülkelerde döviz kuru rejimi tercihi ve makro ekonomik performans. Çukurova Üniversitesi, Sosyal Bilimler Enstitüsü, Yayımlanmamış Doktora Tezi.

Monetary Policy and Exchange Rate Dynamics: Does the Turkish Lira Overshoot?

Year 2020, Volume: 29 Issue: 2, 271 - 289, 30.10.2020
https://doi.org/10.26650/siyasal.2020.29.2.0002

Abstract

This study aims to identify exogenous shocks in monetary policy and to investigate the impact of these shocks on the exchange rate in the Turkish economy using a VAR model including structural restrictions, referred to as structural VAR (SVAR) model. The empirical model used in the study was developed based on the monetary approach to exchange rate determination and was estimated using monthly data for the period between January 2003 and October 2019. Contrary to past studies conducted for Turkey, this study uses European Union data instead of U.S. data to represent foreign variables. The impulse response functions and variance decompositions obtained as a result of the SVAR model confirm the existence of a strong and almost instant overshooting effect on the Turkish economy for the period in question.

References

  • Alp, A. (2000). Finansın uluslararasılaşması. İstanbul: Yapı Kredi Yayınları.
  • Backus, D. (1984). Empirical models of the exchange rate: Separating the wheat from the chaff. The Canadian Journal of Economics/Revue Canadienne D'Economique, 17(4), 824‒846.
  • Bahmani-Oskooee, M., & Kara, O. (2000). Exchange rate overshooting in Turkey. Economics Letters, 68, 89‒93.
  • Barnet, W. A., Bhadury, S. S., & Ghosh, T. (2016). An SVAR approach to evaluation of monetary policy in India: Solution to the exchange rate puzzles in an open economy. Open Economies Review, 27, 871‒893.
  • Bhadury, S. S., & Taniya, G. (2015). Reassessing exchange rate overshooting in a monetary framework. Working Paper Indira Gandhi Institute of Development Research (IGIDR).
  • Bjornland, H. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79, 64‒77.
  • Bordo, M., & Eichengreen, B. (2013). Bretton Woods and the great inflation. In The Great Inflation: The Rebirth of Modern Central Banking (pp. 449-489). University of Chicago Press.
  • Capistrán C., Chiquiar, D., & Hernández J. R. (2017). Identifying Dornbusch's exchange rate overshooting with structural VECs: Evidence from Mexico. Working Papers 2017-11, Banco de México.
  • CBRT. (2019a). Türkiye Cumhuriyet Merkez Bankası Enflasyon Raporu III.
  • CBRT. (2019b). Türkiye Cumhuriyet Merkez Bankası Enflasyon Raporu IV.
  • Christiano, L. J., Eichenbaum, M., & Evans, C., (1999). Monetary policy shocks: What have we learned and to what end? in Woodfoord, M., and Taylor, J. (Eds) Handbook of Monetary economics, (pp.65-148), North-Holland.
  • Cushman, D. O., & Zha, T. (1997). Identifying monetary policy in a small open economy under flexible exchange rates. The Journal of Monetary Economics, 39, 433‒448.
  • Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84, 1161–1175.
  • Dornbusch, R. (1980). Exchange rate risk and the macroeconomics of exchange rate determination. NBER Working Paper No. 493.
  • Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960‒971.
  • Driskill, R. A. (1981). Exchange rate dynamics: an empirical investigation. Journal of Political Economy, 89, 357-371.
  • Duasa, J. (2009). Impact of exchange rate shock on prices of imports and exports. International Economic Studies. 34(1), 59‒68.
  • Eichenbaum, M., & Evans, C. L. (1995). Some empirical evidence on the effects of monetary policy shocks on exchange rates. Quarterly Journal of Economics, 110, 975‒ 1010.
  • Faust, J., & Rogers, J. H. (2003). Monetary policy’s role in exchange rate behavior. Journal of Monetary Economics, 50, 1403‒1424.
  • Flood, R. P., & Taylor, M. P. (1996). Exchange rate economics: What is wrong with the conventional macro approach? In: J.A. Frankel, G. Galli, G. & A. Giovannini (Eds.), Micro structure of foreign exchange markets Chicago, IL: University of Chicago Press.
  • Frankel, J. (1979). On the mark: A theory of floating exchange rates based on real interest differentials. American Economic Review, 69, 610‒622.
  • Frenkel, J. (1976). A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence. The Scandinavian Journal of Economics, 78(2), 200‒224.
  • Gali, J. (1992). How well does the IS-LM model fit postwar US data? The Quarterly Journal of Economics, 107(2), 709-738.
  • Garcia-Herrero, A., Vial, J., Escrivá, J. L., & Nuno, G. (2008). “After Bretton Woods II”,BBVA Working Paper No:0803.
  • Grilli, V., & Roubini, R. (1996) Liquidity models in open economies: Theory and empirical evidence. European Economic Review, 40, 847‒859.
  • Güneş, S., & Karul, Ç. (2016) The Exchange rate overshooting in Turkey. Pamukkale Journal of Euroasian Socieconomic Studies, 3(1), 27‒35.
  • Haghighat, A., & Shojaei, T. (2014). Exchange rate overshooting in Iran. Academic Journal of Research in Economics and Management, 2(3), 38‒43.
  • Iwami, T. (1995). The Bretton Woods system as a gold exchange standard. In Japan in the International Financial System (pp. 1-35). Palgrave Macmillan, London.
  • Kartal, M. T., Depren, S. K., & Depren, Ö. (2018). Türkiye’de döviz kurlarini etkileyen makroekonomik göstergelerin belirlenmesi: Mars yöntemi ile bir inceleme. MANAS Journal of Social Studies, 7(1), 209‒229.
  • Kim, S. (2005). Monetary policy, foreign exchange policy, and delayed overshooting. Journal of Money, Credit and Banking, 37, 775‒782.
  • Kim, S., (2013). VAR models for macroeconomic policy analysis. in N. Hashimzade and M.A. Thornton (Eds) Handbook of Research Methods and Applications in Empirical Macroeconomics, (pp. 555-574), Edgar Elgar Publishing.
  • Kim, S., & Lim, L. (2018). Effects of monetary policy shocks on exchange rate in small open economies. Journal of Macroeconomics, 56, 324‒339.
  • Kim, S. H., Moon, S., & Velasco, C. (2017). Delayed overshooting: Is it an 80s puzzle? Journal of Political Economy, 125, 1570‒1598.
  • Kim, S., & Roubini, N. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach. Journal of Monetary Economics, 45, 561‒586.
  • Krugman, P. R., Obstfeld, M., & Melitz, M. J. (2012). “International Economics: Theory and Policy”, Pearson Education.
  • Lütkepohl, H. (2007). General-to-specific or specific-to-general modelling? An opinion on current econometric terminology Journal of Econometrics Volume 136, Issue 1, January 2007, Pages 319-324.
  • Nieh, C., & Wang, Y. (2005). ARDL approach to the exchange rate overshooting in Taiwan. Review of Quantative Finance and Accounting, 25, 55‒71.
  • Pratomo, W. A. (2005). Exchange rate of Indonesia: Does Rupiah overshoot?. MPRA Paper No. 7381.
  • Rogoff, K. (2002). Dornbusch’s overshooting model after twenty-five years. Unpublished paper. Washington, DC: IMF Working Paper.
  • Scholl, A., & Uhlig, H. (2008). New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates. Journal of International Economics, 76, 1‒13.
  • Sims, C. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1‒48.
  • Sims, C.A. (1992). Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review, 36, 975‒011.
  • Şıklar, İ., Kocaman, M., & Kapkara, S. (2017). Exchange rate pass-through to domestic prices: The Turkish case (2002-2014). Business and Economic Research, 7(2), 202‒211.
  • TBB. (2019). Bankalarımız 2018. Türkiye Bankalar Birliği Yayın No 331.
  • Yanar, R. (2008). Gelişmekte olan ülkelerde döviz kuru rejimi tercihi ve makro ekonomik performans. Çukurova Üniversitesi, Sosyal Bilimler Enstitüsü, Yayımlanmamış Doktora Tezi.
There are 45 citations in total.

Details

Primary Language English
Subjects Political Science
Journal Section Articles
Authors

Bilge Kağan Özdemir 0000-0002-8716-9305

İlyas Şıklar This is me 0000-0003-3181-2522

Publication Date October 30, 2020
Submission Date January 14, 2020
Published in Issue Year 2020 Volume: 29 Issue: 2

Cite

APA Özdemir, B. K., & Şıklar, İ. (2020). Monetary Policy and Exchange Rate Dynamics: Does the Turkish Lira Overshoot?. Siyasal: Journal of Political Sciences, 29(2), 271-289. https://doi.org/10.26650/siyasal.2020.29.2.0002