Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular

Year 2022, , 313 - 331, 28.04.2022

Faruk Mike , Gürçem Özaytürk , Oktay Kızılkaya

https://doi.org/10.17233/sosyoekonomi.2022.02.17

Cited By: 1

Abstract

Bu çalışma, Türkiye ekonomisindeki döviz kuru değişimlerinin dış ticaret dengesi üzerindeki kısa ve uzun dönemli etkilerini 1998:1-2019:3 çeyreklik gözlemler doğrultusunda incelemeyi amaçlamaktadır. Seriler arasında eşbütünleşme ilişkisinin varlığını araştırmak amacıyla Fourier KPSS eşbütünleşme testi uygulanmıştır. Eşbütünleşme analizi sonuçları Türkiye için uzun dönemde dış ticaret dengesi ile reel efektif döviz kuru, ulusal gelir ve yabancı gelir arasında eşbütünleşme ilişkisinin varlığına işaret etmektedir. Elde edilen bulgular, reel efektif döviz kuru ve yabancı gelir düzeyinin dış ticaret dengesi üzerinde pozitif ve istatistiksel olarak anlamlı, buna karşın ulusal gelir düzeyinin ise negatif ve istatistiksel olarak anlamlı katsayılara sahip olduğunu ortaya koymaktadır. Son olarak çalışmada kısa dönem etkileri araştırmak amacıyla Hata Düzeltme Modeli oluşturulmuştur. Kısa dönem tahmin sonuçları, uzun dönem bulgularına benzer şekilde, reel efektif döviz kuru ve yabancı gelir düzeyi için pozitif, ulusal gelir düzeyi için ise pozitif ve istatistiksel olarak anlamlı bulgulara işaret etmektedir.

Keywords

Döviz Kuru, Dış Ticaret, Fourier Eşbütünleşme, Türkiye

The Relationship between Exchange Rate and Trade Balance in Turkish Economy: New Evidence from Fourier Cointegration Analysis

Abstract

This study aims to analyse the short and long-run effects of exchange rate changes on the trade balance in the Turkish economy by using the quarterly observations for the period from 1998:1 to 2019:3. Fourier KPSS cointegration analysis was applied to investigate the existence of a cointegration relationship between the series. The cointegration test results reveal a long-run relationship between trade balance and real effective exchange rate, national income, and foreign income in Turkey. The findings show that the real effective exchange rate and the foreign income level have positive and statistically significant effects on the trade balance in Turkey. In contrast, the national income level negatively and statistically significantly impacts the trade balance. Finally, Error Correction Model (ECM) was applied to investigate short-run effects between the series in the study. Like the long-run findings, the short-run test results also show positive outcomes for real effective exchange rate and foreign income, whereas negative effects for foreign income.

Keywords

Exchange Rate, Foreign Trade, Fourier Cointegration, Turkey

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