THE IMPACT OF EXCHANGE RATE VOLATILITY ON TURKEY’S IMPORT FLOWS

Year 2020, Issue: 29, 195 - 208, 10.10.2020

Oğuz Tümtürk

https://doi.org/10.18092/ulikidince.707833

Abstract

This paper investigates the impact of exchange rate volatility on import volumes in Turkey by conducting autoregressive distributed lag bound testing approach and error correction representation. The volatilities of exchange rate is measured by Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. The results show that there is no statistically significant relationship between the exchange rate volatility and import volumes. In addition, an increase in real effective exchange rate reveals a significant positive impact on import volumes in line with theoretical expectations. Finally, an increase in national income produces positive effects on import as expected.

DÖVİZ KURU OYNAKLIĞININ TÜRKİYE’NİN İTHALAT AKIMLARI ÜZERİNE ETKİSİ

Abstract

Bu çalışma, Türkiye’deki döviz kuru oynaklığının ithalat akımları üzerindeki etkisini ARDL) sınır testi (bound test) ve hata düzeltme modeli kullanarak analiz etmektedir. Döviz kuru oynaklığı ise Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modeli ile ölçülmüştür. Çalışmada elde edilen bulgulara göre, döviz kuru oynaklığı ve ithalat değişkenleri arasında istatistiki olarak anlamlı bir ilişki bulunamamıştır. Ayrıca, teorik beklentilere uygun şekilde reel efektif döviz kurlarında bir artış ithalatı olumlu etkilemektedir. Son olarak ise, yine beklentilere uygun şekilde, Türkiye’nin milli gelirinde meydana gelecek bir artışın ithalat üzerindeki etkisi pozitif olmuştur.

Keywords

İthalat, Döviz Kuru Oynaklığı, Döviz

References

• Akaike, H. (1973). Information Theory and an Extension of the Maximum Likelihood Principle. Second International Symposium on Information Theory, Budapest: Academiai Kiado.
• Akhtar, M. A. and Spence Hilton, R. (1984). Effects of Exchange Rate Uncertainty on German and U.S. Trade. Federal Reserve Bank of New York Quarterly Review, Spring, 7-16
• Anderton, R. and Skudelny, F. (2001). Exchange Rate Volatility and Euro Area Imports. European Central Bank Working paper series, no:64
• Arize, C.A. (1998). The Effects of Exchange Rate Volatility on U.S. Imports: An Empirical Investigation.  International Economic Journal, 12(3), 31-40.
• Arize A.C., Osang, T. and Slottje, D. J. (2000). Exchange Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's. Journal of Business & Economic Statistics, 18(1), 10-17
• Arize, A. C. and Shwiff, S. S. (1998). Does Exchange-Rate Volatility Affect Import Flows in G-7 Countries? Evidence from Cointegration Models. Applied Economics, 30(10), 1269-1276.
• Bahmani-Oskooee, M. and Gelan, A. (2018). Exchange-rate Volatility and International Trade Performance: Evidence from 12 African Countries. Economic Analysis and Policy, 58, 14-21.
• Baillie, R.T. and Bollerslev, T. (1989). The Message in Daily Exchange Rates: A Conditional-Variance Tale. Journal of Business & Economic Statistics, 7(3), 297-305.
• Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307–32.
• Choudhry, T. and Hassan, S. S. (2015). Exchange Rate Volatility and UK Imports from Developing Countries: The Effect of the Global Financial Crisis. Journal of International Financial Markets Institutions and Money, 39, 89-101.
• Daly, K. (1997). Does Exchange Rate Volatility Impede the Volume of Japan's Bilateral Trade?. Japan and the World Economy, 10: 333–48
• Dominguez, K. M. (1998). Central Bank Intervention and Exchange Rate Volatility. Journal of International Money and Finance, 17(1), 161–190.
• Doroodian, K. (1999). Does Exchange Rate Volatility Deter International Trade in Developing Countries? Journal of Asian Economics, 10, 465–474.
• Engle, R.F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007.
• Engle, R. F. and Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251–276.
• Erdal, G., Erdal, H. and Esengün, K. (2012). The Effects of Exchange Rate Volatility on Trade: Evidence from Turkish Agricultural Trade. Applied Economics Letters, 19(3), 297-303.
• Gotur, P. (1985). Effects of Exchange Rate Volatility on Trade: Some Further Evidence. IMF Staff Papers, 32(3), 475-512.
• Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. and Ulan, M. (2010). Exchange-Rate Volatility and Export Performance: Do Emerging Market Economies Resemble Industrial Countries or Other Developing Countries? Economic Modelling, 27, 1514–1521.
• Hsieh, D. A. (1989). Modeling Heteroscedasticity in Daily Exchange Rates. Journal of Business and Economic Statistics, 7(3), 307–317.
• Huchet-Bourdon, M. and Korinek, J. (2011). To What Extent Do Exchange Rates And Their Volatility Affect Trade? OECD Trade Policy Papers, No. 119, OECD Publishing, Paris. http://dx.doi.org/10.1787/5kg3slm7b8hg-en
• Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12 (2-3), 231-254.
• Kılıç, E. ve Yıldırım, K. (2015). Sektörel Reel Döviz Kuru Oynaklığı Ithalat Hacmini Etkiler mi? Türkiye Üzerine Bir Uygulama. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 43, 192-199.
• Kroner, K.F. and Lastrapes, W.D. (1993). The Impact Of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH-In-Mean Model. Journal of International Money and Finance, 12, 298-318.
• Mandelbrot, B. B. (1963). The Variation of Certain Speculative Prices. Journal of Business, 36(4), 394–419.
• Mckenzie, M.D. (1998). The Impact of Exchange Rate Volatility on Australian Trade Flows. Journal of International Financial Markets, Institutions and Money, 8, 21-38.
• McKenzie, M.D. and Brooks, R.D. (1997). The Impact of Exchange Rate Volatility on German–US Trade Flows. Journal of International Financial Markets, Institutions and Money, 7, 73–87.
• Newey, W. K. and West K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703–708.
• Nicita, A. (2013). Exchange Rates, International Trade and Trade Policies. International Economics, 135–136, 47-61.
• Perée, E. and Steinherr, A. (1989). Exchange Rate Uncertainty and Foreign Trade. European Economic Review, 33, 1241–1264.
• Pesaran, M. H. and Shin, Y. (1998). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. In Econometrics and Economic Theory in the 20th Century. The Ragnar Frisch Centennial Symposium, ed. S. Strøm, chap. 11, 371–413. Cambridge: Cambridge University Press.
• Pesaran, M.H., Shin, Y. and Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289–326.
• Phillips, P. C. B. and Perron P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75: 335–346.
• Pozo, S. (1992). Conditional Exchange Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s. Review of Economics and Statistics, 74(2), 325-329.
• Rahmatsyah, T., Rajaguru, G. and Siregar, R.Y. (2002). Exchange-rate Volatility, Trade and “Fixing for Life” in Thailand. Japan and World Economy, 14, 445–470.
• Ramsey, J. B. (1969). Tests for Specification Errors in Classical Linear Least Squares Regression Analysis. Journal of the Royal Statistical Society, Series B., 31(2), 350–371.
• Sarı, A. (2010). Döviz Kuru Oynaklığının İthalata Etkileri: Türkiye Örneği. Ekonometri ve İstatistik, 11, 31–44.
• Sauer, C., and Bohara, A.K. (2001). Exchange Rate Volatility and Exports: Regional Differences between Developing and Industrialized Countries. Review of International Economics, 9 (1), 133–152.
• Schwarz, G.E. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6(2): 461–464
• Senadza, B. and Diaba, D.D. (2017). Effect of Exchange Rate Volatility on Trade in Sub-Saharan Africa. Journal of African Trade, 4(1-2), 20-36.
• Sendilmen B. and Celik, A. (2017). The Impact of Real Effective Exchange Rate Volatility on the Trade between the U.S. and Turkey: an ARDL approach, Journal of Yasar University, 12(46), 103-112.
• Shapiro, S. S. and Wilk M. B. (1965). An Analysis of Variance Test for Normality (Complete Samples). Biometrika, 52, 591–611.
• Sweidan, O. D. (2013). The Effect of Exchange Rate on Exports and Imports: The Case of Jordan. The International Trade Journal, 27(2,) 156-172.
• Wang, K.L. and Barrett, C.B. (2007). Estimating the Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics, 32(2), 225-255.
• Westerfield, J. (1977). An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes. Journal of International Economics, 7(2), 181-200.
• White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica. 48 (4): 817–838
• Wong, Y.S., Mun Ho, C. and Dollery, B. (2012). Impact of Exchange Rate Volatility on Import Flows: The Case of Malaysia and the United States. Applied Financial Economics, 22(24), 2027-2034.