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

Year 2022, , 313 - 331, 28.04.2022
https://doi.org/10.17233/sosyoekonomi.2022.02.17

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.

References

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  • Aktaş, C. (2010), “Türkiye’de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki İlişkinin VAR Tekniğiyle Analizi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 123-140.
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  • Altın, H. & C. Süslü (2017), “Türkiye İçin Döviz Kuru, İhracat ve İthalat Arasındaki Nedensellik İlişkisinin İncelenmesi”, Aksaray Üniversitesi İİBF Dergisi, 9(2), 105-112.
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  • Aslan, Ç. et al. (2021), “The impact of real exchange rate on international trade: Evidence from panel structural VAR model”, The Journal of International Trade & Economic Development, 30(6), 829-842.
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  • Doğru, T. et al. (2019), “The Balance of Trade And Exchange Rates: Theory And Contemporary Evidence From Tourism”, Tourism Management, 74, 12-23.
  • Dongfack, L.P.S. & H. Ouyang (2019), “The Impact of Real Exchange Rate Depreciation on Cameroon’s Trade Balance”, Journal of Economic Integration, 34(1), 189-213.
  • Enders, W. & J. Lee (2012), “The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Ersungur, Ş.M. vd. (2017), “Türkiye’de GSYH ve Döviz Kuru Hareketlerinin Cari Denge Üzerindeki Etkisi: Var Analizi Yaklaşımı”, Atatürk Üniversitesi İİB Dergisi, 31(3), 451-461.
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  • Hacker, R.S. & A. Hatemi-J (2004), “The Effect of Exchange rate Changes on Trade Balances in the Short and Long run”, Economics of Transition, 12(4), 777-799.
  • Harberger, A.C. (1950), “Currency Depreciation, Income and the Balance of Trade”, Journal of Political Economy, 58, 47-60.
  • Hunegnaw, F.B. & S. Kim (2017), “Foreign exchange rate and trade balance dynamics in East African Countries”, The Journal of International Trade & Economic Development, 26(8), 979-999.
  • Husted, S. & M. Melvin (1990), International Economics, Harper and Row Publishers, New York.
  • Iqbal, J. et al. (2021), “Asymmetric cointegration, Non‐linear ARDL, and the J‐curve: A bilateral analysis of Pakistan and its trading partners”, International Journal of Finance & Economics, 26(2), 2263-2278.
  • Iyke, B.N. & S.Y. Ho (2017), “The Real Exchange Rate, The Ghanaian Trade Balance, and The J-Curve”, Journal of African Business, 18(3), 380-392.
  • Karaş, G. & E. Karaş (2017), “Reel Efektif Döviz Kuru, İhracat ve İthalat Arasındaki İlişki: Türkiye Özelinde Ekonometrik Bir Değerlendirme”, Uşak Üniversitesi Sosyal Bilimler Dergisi, (10), 27-46.
  • Kızıltan, A. & O. Ciğerlioğlu (2008), “Türkiye’de Reel Döviz Kuru Değişmelerinin İhracat ve İthalata Etkisi”, EKEV Akademi Dergisi, 36, 49-50.
  • Kwiatkowski, D. et al. (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?”, Journal of Econometrics, (54), 1-3.
  • Lal, A.K. & T.C. Lowinger (2002), “The J-curve: Evidence from East Asia”, Journal of Economic Integration, 17(2), 397-415.
  • Laursen, S. & L.A. Metzler (1950), “Flexible Exchange Rate and the Theory of Employment”, The Review of Economics and Statistics, 32(4), 281-299.
  • Lerner, A.P. (1944), The Economics of Control: Principles of Welfare Economics, The Macmillan Company, New York.
  • Marshall, A. (1923), Money, Credit and Commerce, Macmillan: London.
  • Meade, E.E. (1988), “Exchange Rates, Adjustment, and the J-Curve”, Federal Reserve Bulletin, 74(10), 633-644.
  • Metzler, L. (1948), “The Theory of International Trade”, in: H.S. Ellis (ed.), A Survey of Contemporary Economics, The American Economic Association, Homewood, IL.
  • Onafowora, O. (2003), “Exchange Rate and Trade Balance in East Asia: Is There a J-Curve”, Economics Bulletin, 5(18), 1-13.
  • Onakoya, A.B. et al. (2019), “Exchange Rate and Trade Balance: The Case For J-Curve Effect in Nigeria”, KIU Journal of Social Sciences, 4(4), 47-63.
  • Parasız, İ. (2004), Türkiye Ekonomisi, Ezgi Kitabevi Yayınları: Bursa.
  • Peker, O. (2008), “Reel Döviz Kurunun Ticaret Dengesi Üzerindeki Etkileri: Türkiye Örneği”, Atatürk Üniversitesi İİB Dergisi, 22(2), 33-43.
  • Ramzan, I. (2021), “US-Turkey commodity trade and J-curve phenomenon: Evidence from 23 industries”, JOEEP: Journal of Emerging Economies and Policy, 6(2), 15-23.
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  • Sen, P. & S.J. Turnovsky (1989), “Deterioration of the Terms of Trade and the Capital Accumulation: A Re-examination of the Laursen-Metzler Effect”, Journal of International Economics, 26, 227-250.
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The Relationship between Exchange Rate and Trade Balance in Turkish Economy: New Evidence from Fourier Cointegration Analysis

Year 2022, , 313 - 331, 28.04.2022
https://doi.org/10.17233/sosyoekonomi.2022.02.17

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.

References

  • Akbostancı, E. (2004), “Dynamics of The Trade Balance: The Turkish J-Curve”, Emerging Markets Finance and Trade, 40(5), 57-73.
  • Aktaş, C. (2010), “Türkiye’de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki İlişkinin VAR Tekniğiyle Analizi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 6(11), 123-140.
  • Alexander, S.S. (1959), “Effects of a Devaluation: A Synthesis of Elasticities and Absorption Approaches”, American Economic Review, 49, 23-42.
  • Altın, H. & C. Süslü (2017), “Türkiye İçin Döviz Kuru, İhracat ve İthalat Arasındaki Nedensellik İlişkisinin İncelenmesi”, Aksaray Üniversitesi İİBF Dergisi, 9(2), 105-112.
  • Anoke, C.I. et al. (2016), “Effect of Exchange Rate Depreciation on Trade Balance in Nigeria”, IOSR Journal of Humanities and Social Science (IOSR-JHSS), 21(3), 72-81.
  • Arize, A.C. (1994), “Cointegration Test of A Long-Run Relation Between The Real Effective Exchange Rate and The Trade Balance”, International Economic Journal, 8(3), 1-9.
  • Aslan, Ç. et al. (2021), “The impact of real exchange rate on international trade: Evidence from panel structural VAR model”, The Journal of International Trade & Economic Development, 30(6), 829-842.
  • Aydın, M.F. et al. (2004), “Export Supply and Import Demand Models for the Turkish Economy”, The Central Bank of the Republic of Turkey Research Department Working Paper, No.04/09.
  • Backus, D. et al. (1994), “Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?”, The American Review, 84(1), 84-103.
  • Badinger, H. & A.F. de Clairfontaine (2019), “Trade Balance Dynamics And Exchange Rates: in Search of the J‐Curve Using A Structural Gravity Approach”, Review of International Economics, 27(4), 1268-1293.
  • Bahmani-Oskoeee, M. & F. Niroomand (1998), “Long-Run Price Elasticities And The Marshall-Lerner Condition Revisited”, Economics Letters, 61, 101-109.
  • Bahmani-Oskooee, M. & H. Karamelikli (2021), “The Turkey-US commodity trade and the asymmetric J-curve”, Economic Change and Restructuring, 54(4), 943-973.
  • Bahmani-Oskooee, M. & J. Alse (1994), “Short-Run Versus Long-Run Effects of Devaluation: Error-Correction Modeling and Cointegration”, Eastern Economic Journal, 20(4), 453-464.
  • Bahmani-Oskooee, M. & N. Durmaz (2020), “Asymmetric cointegration and the J-curve: evidence from commodity trade between Turkey and EU”, Empirica, 47(4), 757-792.
  • Bahmani-Oskooee, M. & R. Nouira (2021), “US-Italy commodity trade and the J-curve: new evidence from asymmetry analysis”, International Economics and Economic Policy, 18(1), 73-103.
  • Bahmani-Oskooee, M. (1985), “Devaluation and the J-curve: Some Evidence From LDCs”, The Review of Economics and Statistics, 67(3), 500-504.
  • Barışık, S. & E. Demircioğlu (2006), “Türkiye’de Döviz Kuru Rejimi, Konvertibilite, İhracat-İthalat İlişkisi (1980-2001)”, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 2(3), 71-84.
  • Becker, R. et al. (2006), “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Bickerdike, C.F. (1920), “The Instability of Foreign Exchanges”, The Economic Journal, 30(117), 118-122.
  • Boratav, K. (2016), Türkiye İktisat Tarihi 1908-2009, 22. Baskı, İmge: Ankara.
  • Brada, J.C. et al. (1997), “The Exchange Rate and The Balance of Trade: The Turkish Experience”, The Journal of Development Studies, 33(5), 675- 692.
  • Ceyhan, T. & S. Gürsoy (2021), “The J-Curve Hypothesis: An Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 12(3), 1169-1181.
  • Demir, N. & M. Kula (2008), “Türkiye Ekonomisinin Sektörler Aras Bağlantılarnda İhracat-İthalat İlişkileri”, Uluslararası Ekonomi ve Dış Ticaret Politikaları, 3(1), 85-116.
  • Doğanlar, M. vd. (2004), “Uluslararası Ticaret ve Türkiye’nin İhracat Fonksiyonu”, Manas Üniversitesi S.B.E Dergisi, 7, 83-109.
  • Doğru, T. et al. (2019), “The Balance of Trade And Exchange Rates: Theory And Contemporary Evidence From Tourism”, Tourism Management, 74, 12-23.
  • Dongfack, L.P.S. & H. Ouyang (2019), “The Impact of Real Exchange Rate Depreciation on Cameroon’s Trade Balance”, Journal of Economic Integration, 34(1), 189-213.
  • Enders, W. & J. Lee (2012), “The Flexible Fourier Form and Dickey-Fuller Type Unit Root Tests”, Economics Letters, 117(1), 196-199.
  • Ersungur, Ş.M. vd. (2017), “Türkiye’de GSYH ve Döviz Kuru Hareketlerinin Cari Denge Üzerindeki Etkisi: Var Analizi Yaklaşımı”, Atatürk Üniversitesi İİB Dergisi, 31(3), 451-461.
  • Gül, E. & A. Ekinci (2015), “Türkiye’de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki Nedensellik İlişkisi: 1990-2006”, DPÜ Sosyal Bilimler Dergisi, (16), 165-189.
  • Güler, A. (2021), “Reel döviz kuru şoklarının ihracat ve dış ticaret dengesi üzerindeki asimetrik etkileri: Türkiye için NARDL Yaklaşımından Kanıtlar”, MANAS Sosyal Araştırmalar Dergisi, 10(2), 950-970.
  • Hacker, R.S. & A. Hatemi-J (2004), “The Effect of Exchange rate Changes on Trade Balances in the Short and Long run”, Economics of Transition, 12(4), 777-799.
  • Harberger, A.C. (1950), “Currency Depreciation, Income and the Balance of Trade”, Journal of Political Economy, 58, 47-60.
  • Hunegnaw, F.B. & S. Kim (2017), “Foreign exchange rate and trade balance dynamics in East African Countries”, The Journal of International Trade & Economic Development, 26(8), 979-999.
  • Husted, S. & M. Melvin (1990), International Economics, Harper and Row Publishers, New York.
  • Iqbal, J. et al. (2021), “Asymmetric cointegration, Non‐linear ARDL, and the J‐curve: A bilateral analysis of Pakistan and its trading partners”, International Journal of Finance & Economics, 26(2), 2263-2278.
  • Iyke, B.N. & S.Y. Ho (2017), “The Real Exchange Rate, The Ghanaian Trade Balance, and The J-Curve”, Journal of African Business, 18(3), 380-392.
  • Karaş, G. & E. Karaş (2017), “Reel Efektif Döviz Kuru, İhracat ve İthalat Arasındaki İlişki: Türkiye Özelinde Ekonometrik Bir Değerlendirme”, Uşak Üniversitesi Sosyal Bilimler Dergisi, (10), 27-46.
  • Kızıltan, A. & O. Ciğerlioğlu (2008), “Türkiye’de Reel Döviz Kuru Değişmelerinin İhracat ve İthalata Etkisi”, EKEV Akademi Dergisi, 36, 49-50.
  • Kwiatkowski, D. et al. (1992), “Testing The Null Hypothesis of Stationarity Against the Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root?”, Journal of Econometrics, (54), 1-3.
  • Lal, A.K. & T.C. Lowinger (2002), “The J-curve: Evidence from East Asia”, Journal of Economic Integration, 17(2), 397-415.
  • Laursen, S. & L.A. Metzler (1950), “Flexible Exchange Rate and the Theory of Employment”, The Review of Economics and Statistics, 32(4), 281-299.
  • Lerner, A.P. (1944), The Economics of Control: Principles of Welfare Economics, The Macmillan Company, New York.
  • Marshall, A. (1923), Money, Credit and Commerce, Macmillan: London.
  • Meade, E.E. (1988), “Exchange Rates, Adjustment, and the J-Curve”, Federal Reserve Bulletin, 74(10), 633-644.
  • Metzler, L. (1948), “The Theory of International Trade”, in: H.S. Ellis (ed.), A Survey of Contemporary Economics, The American Economic Association, Homewood, IL.
  • Onafowora, O. (2003), “Exchange Rate and Trade Balance in East Asia: Is There a J-Curve”, Economics Bulletin, 5(18), 1-13.
  • Onakoya, A.B. et al. (2019), “Exchange Rate and Trade Balance: The Case For J-Curve Effect in Nigeria”, KIU Journal of Social Sciences, 4(4), 47-63.
  • Parasız, İ. (2004), Türkiye Ekonomisi, Ezgi Kitabevi Yayınları: Bursa.
  • Peker, O. (2008), “Reel Döviz Kurunun Ticaret Dengesi Üzerindeki Etkileri: Türkiye Örneği”, Atatürk Üniversitesi İİB Dergisi, 22(2), 33-43.
  • Ramzan, I. (2021), “US-Turkey commodity trade and J-curve phenomenon: Evidence from 23 industries”, JOEEP: Journal of Emerging Economies and Policy, 6(2), 15-23.
  • Rashidin, M.S. et al. (2017), “The Influence of Balance of Payments and Balance of Trade on Exchange Rate in Developing Countries of Asia: A Case study of Bangladesh, Pakistan and India”, Sonargaon University Journal, 1(2), 124-135.
  • Robinson, J. (1947), Essays in the Theory of Employment, Basil Blackwell, Oxford.
  • Rose, A.K. (1990), “Exchange Rates and the Trade Balance: Some Evidence From Developing Countries”, Economics Letters, 34 (3), 271-275.
  • Sen, P. & S.J. Turnovsky (1989), “Deterioration of the Terms of Trade and the Capital Accumulation: A Re-examination of the Laursen-Metzler Effect”, Journal of International Economics, 26, 227-250.
  • Shin, Y. (1994), “A Residual-Based Test of the Null of Cointegration against the Alternative of No Cointegration”, Econometric Theory, 10(1), 91-115.
  • Sivri, U. & C. Usta (2001), “Reel Döviz Kuru, İhracat ve İthalat Arasındaki İlişki”, UÜ İİBF Dergisi, 19(4), 1-9.
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There are 70 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Faruk Mike 0000-0002-9194-1679

Gürçem Özaytürk 0000-0001-5321-9784

Oktay Kızılkaya 0000-0002-3412-5616

Publication Date April 28, 2022
Submission Date September 9, 2020
Published in Issue Year 2022

Cite

APA Mike, F., Özaytürk, G., & Kızılkaya, O. (2022). Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular. Sosyoekonomi, 30(52), 313-331. https://doi.org/10.17233/sosyoekonomi.2022.02.17
AMA Mike F, Özaytürk G, Kızılkaya O. Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular. Sosyoekonomi. April 2022;30(52):313-331. doi:10.17233/sosyoekonomi.2022.02.17
Chicago Mike, Faruk, Gürçem Özaytürk, and Oktay Kızılkaya. “Türkiye Ekonomisinde Döviz Kuru Ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular”. Sosyoekonomi 30, no. 52 (April 2022): 313-31. https://doi.org/10.17233/sosyoekonomi.2022.02.17.
EndNote Mike F, Özaytürk G, Kızılkaya O (April 1, 2022) Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular. Sosyoekonomi 30 52 313–331.
IEEE F. Mike, G. Özaytürk, and O. Kızılkaya, “Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular”, Sosyoekonomi, vol. 30, no. 52, pp. 313–331, 2022, doi: 10.17233/sosyoekonomi.2022.02.17.
ISNAD Mike, Faruk et al. “Türkiye Ekonomisinde Döviz Kuru Ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular”. Sosyoekonomi 30/52 (April 2022), 313-331. https://doi.org/10.17233/sosyoekonomi.2022.02.17.
JAMA Mike F, Özaytürk G, Kızılkaya O. Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular. Sosyoekonomi. 2022;30:313–331.
MLA Mike, Faruk et al. “Türkiye Ekonomisinde Döviz Kuru Ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular”. Sosyoekonomi, vol. 30, no. 52, 2022, pp. 313-31, doi:10.17233/sosyoekonomi.2022.02.17.
Vancouver Mike F, Özaytürk G, Kızılkaya O. Türkiye Ekonomisinde Döviz Kuru ve Dış Ticaret Dengesi İlişkisi: Fourier Eşbütünleşme Testinden Yeni Bulgular. Sosyoekonomi. 2022;30(52):313-31.