THE IMPACT OF EXCHANGE RATE VOLATILITY ON EXPORT FLOWS IN DEVELOPING COUNTRIES

Year 2019, Issue: 23, 79 - 94, 09.04.2019

Oğuz Tumturk

https://doi.org/10.18092/ulikidince.469174

Abstract

This article investigates the long run impacts of exchange rate
volatilities on export volumes in six developing countries, Turkey, Indonesia,
Brazil, Mexico, Poland, and Chile. The exchange rate volatility is estimated by
both ARCH/GARCH and moving sample standard deviation-based volatility proxies.
Error correction representation of the long run export model reveals that there
is not cointegration relationship for Brazil, Indonesia, and Chile while the
results support the cointegration relationship for Turkey, Mexico, and
Poland.  Second, world income is major
determinant driving export volumes in Turkey, Mexico, and Poland. Third, there
is a significant negative relationship between exchange rate level and export
volumes in Turkey and Mexico in line with theory. Finally, the measure of
exchange rate volatility carries a significant negative coefficient in the case
of Poland but a significant positive coefficient in the case of Turkey. 

Keywords

Real exchange rate, exchange rate volatility, export, long run equilibrium

THE IMPACT OF EXCHANGE RATE VOLATILITY ON EXPORT FLOWS IN DEVELOPING COUNTRIES

Abstract

.Bu çalışma döviz kuru oynaklığının
ihracat akımları üzerindeki uzun dönem etkisini Türkiye, Endonezya, Brezilya,
Meksika, Polonya ve Şili gelişmekte olan ülkeleri özelinde incelemektedir.
Döviz kuru oynaklığı, hem ARCH/GARCH modeli hem de hareketli standart sapmalar
bazlı ölçümlerle elde edilmiştir. Hata düzeltme modeli sonuçları Brezilya,
Endonezya ve Şili özelinde bir eşbütünleşme ilşkisinin varlığını tespit
edemezken diğer ülkelerde eşbütünleşme ilişkisi bulunmuştur. İkinci olarak, dış
dünya gelir düzeyi Türkiye, Meksika ve Polonya’da ihracat akımlarını etkileyen
en etkili değişkendir. Üçüncü olarak, Türkiye ve Meksika’da teorik beklentilere
uygun şekilde reel döviz kuru düzeyi ile ihracat akımları arasında anlamlı
negatif ilişkiler bulunmuştur. Son olarak ise, döviz kuru oynaklığı Polonya’da
ihracat akımlarını olumsuz etkilerken, Türkiye’de ihracat üzerinde anlamlı
pozitif ilişkiler üretmektedir.

Keywords

Reel Döviz Kuru, döviz kuru oynaklığı, ihracat, uzun dönem denge

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