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DENGE DÖVİZ KURUNDAN SAPMA VE SAPMANIN EKONOMİK BÜYÜME ÜZERİNDEKİ ETKİSİ: FEER YAKLAŞIMI

Year 2018, Volume: 25 Issue: 2, 427 - 450, 14.08.2018
https://doi.org/10.18657/yonveek.378261

Abstract

Ülkelerin ticaret hacmi ve sermaye
akışkanlığının belirleyicilerinin başında şüphesiz ki nominal döviz kuru
gelmektedir. Paranın reel satın alma gücü ile ifade edilmesinde ise reel döviz
kuru kavramı kullanılmaktadır. Buna ek olarak ise, sadece gerçekleşen reel
döviz kuru ele alınarak yapılan değerlendirmeler yeterli olmamakla birlikte,
iktisadi dinamiklerin de dikkate alındığı denge döviz kuru hesaplanması da
gerekmektedir. Gerçekleşen reel döviz kuru ile denge döviz kuru arasındaki
sapma ekonomik açıdan orta ve uzun dönemde ekonomik büyüme ile ilgili bir bilgi
vermektedir. Bu bilgiler ışığında, reel döviz kuru ve denge düzeyinden sapmanın
ekonomik performans üzerindeki etkisinin analiz edilme ihtiyacı doğmaktadır.



Bu çalışmanın temel amacı, denge
döviz kuru çeşitleri ve denge döviz kuru hesaplamaları konusunda süregelen
tartışmalara yapısal kırılmalı panel testi yardımı ile yeni bir boyut
kazandırmaktır. Denge döviz kurundan sapmayı Türkiye ve BRICS ülkeleri 1995-2005
yılları için inceleyip sapmanın ekonomik performans üzerindeki etkisi
araştırılacaktır. Denge düzeyinin hesaplanmasında orta vade döviz kurunu ifade
eden Temel Denge Döviz Kurundan (FEER) yararlanılacaktır.

References

  • Alper, M. A, “ Sürdürülebilir Reel Döviz Kuru: Türkiye Örneği”, Ankara Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Ankara, (2010).
  • Altıner, Ali, (2015). Denge Döviz Kuru: Gelişmekte Olan Ülkeler Üzerine Bir Uygulama, Akdeniz Üniversitesi Sosyal Bilimler Enstitüsü (Basılmamış Doktora Tezi).
  • Bai, J.,Ng, S., 2004. A PANIC attack on unit roots and cointegration. Econometrica 72,1127–1177.
  • Barisone, G., Driver, R.L., S. Wren-Lewis, “Are Our FEERs Justified?”, Journal of International Money and Finance, No. 25, (2006), 741–759.
  • Borowski, D., & Couharde, C. (2003). The exchange rate macroeconomic balance approach: New methodology and results for the euro, the dollar, the yen and the pound sterling. Open economies review, 14(2), 169-190.
  • Boyes, W. ve Melvin, M. (2010), Macroeconomics 8th Edition, 119.
  • Breuer, J.,McNown, R., & Wallace, M. (2001). The Review Misleading Inferences from Panel Unit-Root Tests with and Illustraiton from Purchasing Power Parity. Review of International Economics, 9(3), 482-493.
  • Breusch, T., ve Pagan, A. (1980, Ocak). The Lagrange Multiplier Test andits Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239-253.
  • Bruegel.com, Ülkelerin Reel Döviz kurları, Erişim Tarihi: 13.13.2017. ttp://bruegel.org/2012/03/real-effective-exchange-rates-for-178-countries-a-new-database/
  • Clark, P.B., R. MacDonald, “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs”, International Monetary Fund, Working Paper No. 67, (1998).
  • Dollar, D. (1992). Outward-oriented developing economies really do grow more rapidly: evidence from 95 LDCs, 1976-1985. Economic development and cultural change, 40(3), 523-544.
  • Driver, R.L., Westaway, P.F., 2004. Concepts of equilibrium real exchange rates. Bank of England Working Paper No. 248. Dvornak, N., Kohler, M., & Menzies, G. (2005). Australia's Medium‐Run Exchange Rate: A Macroeconomic Balance Approach. Economic Record, 81(253), 101-112. Edwards, Sebastian, (1989), “Exchange Rtae Misalignment in Developing Countries”, World Bank Occasional Papers, No:4, ss: 3 – 21. Georgieva, G., (2012). Estimating the Behavioral Exchange Rate of Euro/Dolar Using a Monetary Model with Labour Productivity (Basılmamış Yüksek Lisans Tezi), Hanken School of Economics, Helsinki.
  • Jeong, S.-E., J. Mazier, J. Saadaoui, “Exchange Rate Misalignments at World and European Levels: A FEER Approach” E´conomie Internationale, No. 121, (2010), 25–58.
  • Kyriacou, G., Papageorghiou, M., “Assessing the Equilibrium Exchange Rate of the Cyprus Pound at the time of Euro Adoption”, Central Bank of Cyprus, Working Paper No. 6, (2010).
  • Lane, P. R.,&Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of international Economics, 73(2), 223-250.
  • MacDonald, R. (1999). Exchange rate behaviour: are fundamentals important?. The Economic Journal, 109(459), 673-691.
  • Metin, İ., ve Akcan, A. T.. The Effect of Globalization on Foreign Trade: Turkey Case, Journal of Current Researches on Business and Economics, 2017-(2), 257-268.
  • Nazlıoğlu, Ş., (2010), Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkileri: Gelişmiş Ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Yayınlanmamış Doktora Tezi, T.C. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü, Kayseri. Syf: 98.
  • Pedroni P. “Purchasing Power Parity Tests in Cointegrated Panels”. RevEcon Statistics 2001; 83: 727, e31.
  • Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric theory, 20(3), 597-625.
  • Pesaran, M. Hasem, Ullah, Aman, Yamagata, Takashi (2008), “ Abias-adjusted LM test of errorcross-section independence” Econometrics Journal(2008), volume 11, pp. 105-2-127.
  • Pesaran, M., (2004). “General DiagnosticTestsfor Cross SectionDependence in Panels”, Cambridge WorkingPapers in Economics 435, andCESifoWorkingPaper Series 1229.
  • Piscitelli, L., ve Westaway, P. (2003, July). FEER computation: a model based approach. In Applied Econometrics Association conference on exchange rates, Marseilles.
  • Razin, O., ve Collins, S. M. (1997). Real exchange rate misalignments and growth (No. w6174). National Bureau of Economic Research. Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic literature, 34(2), 647-668.
  • Roubini, N.,&Wachtel, P. (1997). Current Account Sustainability in Transition Economies'. Conference paper presented at 'Third Dubrovnik Conference on Transition Economies'. Dubrovnik, 25-7.
  • Rubaszek, M., Rawdanowicz, L. ”Economic Convergence and The Fundamental Equilibrium Exchange Rate in Central and Eastern Europa”, International Review of Financial Analysis, No: 18, (2009), 277-284.
  • Saadaoui, J. “Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?”, CEPN-CNRS Working Paper No. 07, (2012). Siregar, R., ve Rajan, R. (2006). Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature. School of Economics, University of Adelaide.
  • Taş, T., ve Uysal, D. (2013). Reel Döviz Kuru Sapması: Türkiye Örneği. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(1), 41-63. Westerlund, J. andEdgerton, D., (2007). “A panel bootstrap cointegration test”, Economics Letters, 97, s.185-190.
  • Williamson, J., (1985), The Exchange Rate System, Washington: Institute for International Economics.
  • Williamson, J., “Estimates of FEERs”, Estimating Equilibrium Exchange Rates, der. J. Williamson, Washington: Institute for International Economics, (1994).
Year 2018, Volume: 25 Issue: 2, 427 - 450, 14.08.2018
https://doi.org/10.18657/yonveek.378261

Abstract

References

  • Alper, M. A, “ Sürdürülebilir Reel Döviz Kuru: Türkiye Örneği”, Ankara Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Ankara, (2010).
  • Altıner, Ali, (2015). Denge Döviz Kuru: Gelişmekte Olan Ülkeler Üzerine Bir Uygulama, Akdeniz Üniversitesi Sosyal Bilimler Enstitüsü (Basılmamış Doktora Tezi).
  • Bai, J.,Ng, S., 2004. A PANIC attack on unit roots and cointegration. Econometrica 72,1127–1177.
  • Barisone, G., Driver, R.L., S. Wren-Lewis, “Are Our FEERs Justified?”, Journal of International Money and Finance, No. 25, (2006), 741–759.
  • Borowski, D., & Couharde, C. (2003). The exchange rate macroeconomic balance approach: New methodology and results for the euro, the dollar, the yen and the pound sterling. Open economies review, 14(2), 169-190.
  • Boyes, W. ve Melvin, M. (2010), Macroeconomics 8th Edition, 119.
  • Breuer, J.,McNown, R., & Wallace, M. (2001). The Review Misleading Inferences from Panel Unit-Root Tests with and Illustraiton from Purchasing Power Parity. Review of International Economics, 9(3), 482-493.
  • Breusch, T., ve Pagan, A. (1980, Ocak). The Lagrange Multiplier Test andits Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1), 239-253.
  • Bruegel.com, Ülkelerin Reel Döviz kurları, Erişim Tarihi: 13.13.2017. ttp://bruegel.org/2012/03/real-effective-exchange-rates-for-178-countries-a-new-database/
  • Clark, P.B., R. MacDonald, “Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs”, International Monetary Fund, Working Paper No. 67, (1998).
  • Dollar, D. (1992). Outward-oriented developing economies really do grow more rapidly: evidence from 95 LDCs, 1976-1985. Economic development and cultural change, 40(3), 523-544.
  • Driver, R.L., Westaway, P.F., 2004. Concepts of equilibrium real exchange rates. Bank of England Working Paper No. 248. Dvornak, N., Kohler, M., & Menzies, G. (2005). Australia's Medium‐Run Exchange Rate: A Macroeconomic Balance Approach. Economic Record, 81(253), 101-112. Edwards, Sebastian, (1989), “Exchange Rtae Misalignment in Developing Countries”, World Bank Occasional Papers, No:4, ss: 3 – 21. Georgieva, G., (2012). Estimating the Behavioral Exchange Rate of Euro/Dolar Using a Monetary Model with Labour Productivity (Basılmamış Yüksek Lisans Tezi), Hanken School of Economics, Helsinki.
  • Jeong, S.-E., J. Mazier, J. Saadaoui, “Exchange Rate Misalignments at World and European Levels: A FEER Approach” E´conomie Internationale, No. 121, (2010), 25–58.
  • Kyriacou, G., Papageorghiou, M., “Assessing the Equilibrium Exchange Rate of the Cyprus Pound at the time of Euro Adoption”, Central Bank of Cyprus, Working Paper No. 6, (2010).
  • Lane, P. R.,&Milesi-Ferretti, G. M. (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of international Economics, 73(2), 223-250.
  • MacDonald, R. (1999). Exchange rate behaviour: are fundamentals important?. The Economic Journal, 109(459), 673-691.
  • Metin, İ., ve Akcan, A. T.. The Effect of Globalization on Foreign Trade: Turkey Case, Journal of Current Researches on Business and Economics, 2017-(2), 257-268.
  • Nazlıoğlu, Ş., (2010), Makro İktisat Politikalarının Tarım Sektörü Üzerindeki Etkileri: Gelişmiş Ve Gelişmekte Olan Ülkeler İçin Bir Karşılaştırma, Yayınlanmamış Doktora Tezi, T.C. Erciyes Üniversitesi Sosyal Bilimler Enstitüsü, Kayseri. Syf: 98.
  • Pedroni P. “Purchasing Power Parity Tests in Cointegrated Panels”. RevEcon Statistics 2001; 83: 727, e31.
  • Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric theory, 20(3), 597-625.
  • Pesaran, M. Hasem, Ullah, Aman, Yamagata, Takashi (2008), “ Abias-adjusted LM test of errorcross-section independence” Econometrics Journal(2008), volume 11, pp. 105-2-127.
  • Pesaran, M., (2004). “General DiagnosticTestsfor Cross SectionDependence in Panels”, Cambridge WorkingPapers in Economics 435, andCESifoWorkingPaper Series 1229.
  • Piscitelli, L., ve Westaway, P. (2003, July). FEER computation: a model based approach. In Applied Econometrics Association conference on exchange rates, Marseilles.
  • Razin, O., ve Collins, S. M. (1997). Real exchange rate misalignments and growth (No. w6174). National Bureau of Economic Research. Rogoff, K. (1996). The purchasing power parity puzzle. Journal of Economic literature, 34(2), 647-668.
  • Roubini, N.,&Wachtel, P. (1997). Current Account Sustainability in Transition Economies'. Conference paper presented at 'Third Dubrovnik Conference on Transition Economies'. Dubrovnik, 25-7.
  • Rubaszek, M., Rawdanowicz, L. ”Economic Convergence and The Fundamental Equilibrium Exchange Rate in Central and Eastern Europa”, International Review of Financial Analysis, No: 18, (2009), 277-284.
  • Saadaoui, J. “Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?”, CEPN-CNRS Working Paper No. 07, (2012). Siregar, R., ve Rajan, R. (2006). Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature. School of Economics, University of Adelaide.
  • Taş, T., ve Uysal, D. (2013). Reel Döviz Kuru Sapması: Türkiye Örneği. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(1), 41-63. Westerlund, J. andEdgerton, D., (2007). “A panel bootstrap cointegration test”, Economics Letters, 97, s.185-190.
  • Williamson, J., (1985), The Exchange Rate System, Washington: Institute for International Economics.
  • Williamson, J., “Estimates of FEERs”, Estimating Equilibrium Exchange Rates, der. J. Williamson, Washington: Institute for International Economics, (1994).
There are 30 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Kubilay Çağrı Yılmaz

Volkan Alptelin

Publication Date August 14, 2018
Published in Issue Year 2018 Volume: 25 Issue: 2

Cite

APA Yılmaz, K. Ç., & Alptelin, V. (2018). DENGE DÖVİZ KURUNDAN SAPMA VE SAPMANIN EKONOMİK BÜYÜME ÜZERİNDEKİ ETKİSİ: FEER YAKLAŞIMI. Yönetim Ve Ekonomi Dergisi, 25(2), 427-450. https://doi.org/10.18657/yonveek.378261