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Speculative Dynamics of Exchange Rates in Turkey: A System Dynamics Approach

Year 2017, Volume: 3 Issue: 2, 103 - 120, 25.12.2017

Abstract



A country’s economy may undergo a
period of volatility due to domestic politics and challenging external
environments. Foreign exchange rate is one of the factors that may affect and
be affected by the economy of a nation significantly.
Motivated by the volatile US Dollar
exchange rate issue in Turkey, the impacts of speculation and manipulation on
the dynamics of foreign exchange rate in developing markets are examined in
this paper.
The study focuses on the structures generating the
unstable US Dollar exchange rate against Turkish Lira by using system dynamics
approach, based on relationships among inflation, interest rate, exchange rate
and monetary market. System dynamics is a convenient approach for this problem
because of the nonlinear, dynamic and complex structure of this problem. First,
a stable-market model is formulated by excluding any speculative and external
disturbances, in the base model. Then,
the effects of speculation among people, the existence
of manipulative investors and interest rate adjustment intervention by Central
Bank are included by extending the base model in each scenario.
Simulation
results reveal that coping with an economic crisis does not only depend on
monetary policies but also on the perception and behavior of people. P
olicies that focus on preventing
speculation/panic among individuals are therefore particularly important to
avoid unstable fluctuations in exchange rates in developing markets.

References

  • Al-Monitor. 2016, November 30. How the Turkish lira entered free fall. Retrieved March 18, 2017, from: http://www.al-monitor.com/pulse/originals/2016/11/turkey-how-government-contain-the-economic-crisis-blaze.html#ixzz4UGGBd3XN
  • Arslan, R. January 2014. Doların yükselmesi hangi riskleri barındırıyor? BBC Turkce. Retrieved from: http://www.bbc.com/turkce/ekonomi/2014/01/140124_dolar_turk_lirasi
  • Barlas, Y., 2002, "System Dynamics: Systemic Feedback Modeling for Policy Analysis." Knowledge for Sustainable Development - An Insight into the Encyclopedia of Life Support Systems, UNESCO-EOLSS Publishers, Paris, France; Oxford, UK, pg. 1131-1175.
  • Benmaran, M.L., Saaedi, A. 2014. Identification of speculative bubbles in Tehran stock exchange, a system dynamics approach. Indian J.Sci.Res. 5 (1): 271-283, 2014
  • Bigpara.com.(n.d.). Dolar Kuru Bu yılki Dolar Lira Alış Satış Kurları için Bigpara. Retrieved March 18, 2017, from: http://www.bigpara.com/doviz/dolar/buyil/
  • Bloomberg HT. 2016, October 20th. Merkez Bankası Rezervleri Arttı. Retrieved from: http://www.bloomberght.com/haberler/haber/1933175-merkez-bankasi-rezervleri-artti
  • Capital.com. 2001, August 1st .Yastık Altı Ekonomisi. Retrieved from: http://www.capital.com.tr/ekonomi/makro-ekonomi/yastik-alti-ekonomisi-haberdetay-2654
  • Çehreli, C., Dursun, İ., Barlas, Y. 2017. Modeling and Analysis of the Speculative Dynamics of Currency Exchange Rates: A Case Study from Turkey. Proceedings of 35th International Conference of System Dynamics Society.
  • Dwenger N., Pavlov O. 2008. Feedback analysis of speculation in a foreign currency market. Proceedings of International Conference of System Dynamics Society, Retrieved from: http://www.systemdynamics.org/conferences/2008/proceed/papers/PAVLO441.pdf
  • Eğilmez, M. 2017, Jan 31st. Faiz ve Kur İlişkisi. Retrieved from: http://www.mahfiegilmez.com/2017/01/faiz-ve-kur-iliskisi.html?m=1
  • European Central Bank. (n.d.). What is inflation? Retrieved March 18, 2017, from: https://www.ecb.europa.eu/ecb/educational/hicp/html/index.en.html
  • Finansgündem.com. 2016, December 3rd. Vatandaşın 150 Milyar Doları Var. Retrieved from:http://www.finansgundem.com/haber/vatandasin-150-milyar-dolari-var/1143654
  • Furman, J. and Stiglitz J. E. 1998. “Economic Crises: Evidence and Insights From East Asia” Brooking Papers on Economic Activity, No. 2, Brooking Institution, Washington D.C.
  • Fxcm.com. 2016, March 23rd. Impact Of Inflation And Interest Rates On Exchange Rate Trends. Retrieved from: https://www.fxcm.com/insights/exchange-rate-trends/
  • Internethaber.com. (n.d.). Dolar kuru 3.1140 lira olan tarihi zirvesini zorluyor! Retrieved from: http://www.internethaber.com/dolar-kuru-31140-lira-olan-tarihi-zirvesini-zorluyor-1726420h.htm
  • Investopedia. 2016. How are international exchange rates set? Retrieved from: http://www.investopedia.com/ask/answers/forex/how-forex-exchange-rates-set.asp
  • Klitgaard, T., Weir, L. 2004. Exchange Rate Changes and Net Positions of Speculators in the Futures Market. FRBNY Economic Policy Review / May 2004
  • Mill, J.S. 1848. Principles of Political Economy. The Project Gutenberg E-book. Release Date: September 27, 2009. Retrieved August 17, 2017 from: http://library.umac.mo/ebooks/b31139632.pdf
  • Mohammadi, H., Kazemi, R., Maghsoudloo, H., Mehregan, E., Mashayekhi, A.N. 2010. System Dynamic Approach for Analyzing Cyclic Mechanism in Land Market and Their Effect on House Market Fluctuations. Proceedings of the 29th International Conference of the System Dynamics Society, July 25- 29, Seoul (2010).
  • Pettinger, T. 2012. Inflation and Exchange Rates. Retrieved March 18, 2017 from: http://www.economicshelp.org/blog/1605/economics/higher-inflation-and-exchange-rates/
  • Salvatore, D. 1995. International Economics. Prentice Hall International Economics. Fifth Edition
  • Sterman, J. D. 2000. Business dynamics: systems thinking and modeling for a complex world. Boston :. Irwin/McGraw-Hill
  • TCMB Expectation Survey. 2016, December 15th. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/d1ee7b1d-41fc-40e6-9071-61685e7babba/BA-Rapor-Int.pdf?MOD=AJPERES&CACHEID=d1ee7b1d-41fc-40e6-9071- 61685e7babba
  • TCMB Foreign Currency Transaction Volume. 2016, January. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/fdbca103-e878-42c2-a15b-d99e134b115f/OCAK2016.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACEfdbca103-e878-42c2-a15b-d99e134b115f
  • TCMB Inflation Expectation. 2015. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/tcmb+tr/tcmb+tr/main+menu/para+politikasi/fiyat+istikrari/enflasyon+hedefleri
  • TCMB Interest Rates. 2016. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/tcmb+en/tcmb+en/main+page+site+area/cbrt+policy+rates/cbrt+interest+rates
  • TCMB Monthly Foreign Exchange Buying/Selling Amounts. 2016. Retrieved from: http://tcmb.gov.tr/wps/wcm/connect/4d0d011e-94ac-4027-b8d9-a2a94b20cd1c/Ayl%C4%B1k+D%C3%B6viz+Al%C4%B1m+Sat%C4%B1m+Tutarlar%C4%B1.pdf?MOD=AJPERES
  • Wikipedia. (n.d.) Economy of Turkey. Retrieved from: https://en.wikipedia.org/wiki/Economy_of_Turkey
  • World Bank. (n.d.). Turkey Overview. Retrieved from: http://www.worldbank.org/en/country/turkey/overview
  • Yıldırım A. 2016, July 29th. Yabancı Döviz aldı ama Türkiye’den çıkmadı. Retrieved from: http://www.businessht.com.tr/yorum/haber/1273628-yabanci-doviz-aldi-ama-turkiyeden-cikmadi
  • Yıldırım, A. 2016, December 12th. Kampanyaya Yabancıdan daha Fazla Destek Geldi. http://www.bloomberght.com/ht-yazarlar/abdurrahman-yildirim/1965375-kampanyaya-yabancidan-daha-fazla-destek-geldi

Speculative Dynamics of Exchange Rates in Turkey: A System Dynamics Approach

Year 2017, Volume: 3 Issue: 2, 103 - 120, 25.12.2017

Abstract

Bir ülkenin ekonomisi yerel politikalar ve zorlayıcı dış etmenler nedeniyle bir dalgalanma dönemine girebilir. Döviz kuru bir ulusun ekonomisini önemli ölçüde etkileyen ve ekonomiden aynı ölçüde etkilenen temel etmenlerden biridir. Bu çalışmada son zamanlardaki Amerikan Doları/Türk Lirası paritesindeki istikrarsız ve hızlı değişimden yola çıkılarak spekülasyon ve manipülasyonların gelişmekte olan ekonomilerdeki döviz kuru dinamikleri üzerindeki etkisi incelenmiştir. Amerikan dolarının Türk Lirası karşısındaki dalgalı ve dengesiz yapısı, enflasyon, faiz, kur değişimi ve para piyasası temel alınarak incelenmiştir. Bu bileşenler birbirlerini hem doğrudan hem de geri bildirim döngüleri ile dolaylı olarak etkiledikleri için yöntem olarak sistem dinamiği yaklaşımı seçilmiştir. Aynı zamanda problemin doğrusal olmayan, dinamik ve karmaşık yapısı sistem dinamiği yaklaşımını probleme uygun bir yöntem haline getirmektedir. Öncelikle temel benzetim koşumu olarak durağan bir piyasa modeli geliştirilmiş, böylelikle spekülasyon ve manipülasyon etkenlerinin yokluğundaki bir ekonominin davranışı çözümlenmiştir. Daha sonra bireyler arasındaki spekülasyon, piyasadaki manipülatörlerin varlığı ve merkez bankasının faiz müdahaleleri de eklenerek temel model yapısı farklı tasarılarla genişletilmiştir. Benzetim sonuçları incelendiğinde bir ülkenin ekonomik krizle mücadelesinde sadece para politikalarına dayalı çözüm önerilerinin yanı sıra, toplumdaki bireylerin algılarının ve beklentilerinin de istikrarlı bir ekonomiye ulaşma yolunda önemli bir etken olduğu sonucuna varılmıştır. Döviz piyasasındaki dalgalanmaları engellemek isteyen bir politika öncelikli olarak döviz piyasasında güven oluşturup bireyler arası spekülasyon ve paniği engellemeyi hedeflemelidir.

References

  • Al-Monitor. 2016, November 30. How the Turkish lira entered free fall. Retrieved March 18, 2017, from: http://www.al-monitor.com/pulse/originals/2016/11/turkey-how-government-contain-the-economic-crisis-blaze.html#ixzz4UGGBd3XN
  • Arslan, R. January 2014. Doların yükselmesi hangi riskleri barındırıyor? BBC Turkce. Retrieved from: http://www.bbc.com/turkce/ekonomi/2014/01/140124_dolar_turk_lirasi
  • Barlas, Y., 2002, "System Dynamics: Systemic Feedback Modeling for Policy Analysis." Knowledge for Sustainable Development - An Insight into the Encyclopedia of Life Support Systems, UNESCO-EOLSS Publishers, Paris, France; Oxford, UK, pg. 1131-1175.
  • Benmaran, M.L., Saaedi, A. 2014. Identification of speculative bubbles in Tehran stock exchange, a system dynamics approach. Indian J.Sci.Res. 5 (1): 271-283, 2014
  • Bigpara.com.(n.d.). Dolar Kuru Bu yılki Dolar Lira Alış Satış Kurları için Bigpara. Retrieved March 18, 2017, from: http://www.bigpara.com/doviz/dolar/buyil/
  • Bloomberg HT. 2016, October 20th. Merkez Bankası Rezervleri Arttı. Retrieved from: http://www.bloomberght.com/haberler/haber/1933175-merkez-bankasi-rezervleri-artti
  • Capital.com. 2001, August 1st .Yastık Altı Ekonomisi. Retrieved from: http://www.capital.com.tr/ekonomi/makro-ekonomi/yastik-alti-ekonomisi-haberdetay-2654
  • Çehreli, C., Dursun, İ., Barlas, Y. 2017. Modeling and Analysis of the Speculative Dynamics of Currency Exchange Rates: A Case Study from Turkey. Proceedings of 35th International Conference of System Dynamics Society.
  • Dwenger N., Pavlov O. 2008. Feedback analysis of speculation in a foreign currency market. Proceedings of International Conference of System Dynamics Society, Retrieved from: http://www.systemdynamics.org/conferences/2008/proceed/papers/PAVLO441.pdf
  • Eğilmez, M. 2017, Jan 31st. Faiz ve Kur İlişkisi. Retrieved from: http://www.mahfiegilmez.com/2017/01/faiz-ve-kur-iliskisi.html?m=1
  • European Central Bank. (n.d.). What is inflation? Retrieved March 18, 2017, from: https://www.ecb.europa.eu/ecb/educational/hicp/html/index.en.html
  • Finansgündem.com. 2016, December 3rd. Vatandaşın 150 Milyar Doları Var. Retrieved from:http://www.finansgundem.com/haber/vatandasin-150-milyar-dolari-var/1143654
  • Furman, J. and Stiglitz J. E. 1998. “Economic Crises: Evidence and Insights From East Asia” Brooking Papers on Economic Activity, No. 2, Brooking Institution, Washington D.C.
  • Fxcm.com. 2016, March 23rd. Impact Of Inflation And Interest Rates On Exchange Rate Trends. Retrieved from: https://www.fxcm.com/insights/exchange-rate-trends/
  • Internethaber.com. (n.d.). Dolar kuru 3.1140 lira olan tarihi zirvesini zorluyor! Retrieved from: http://www.internethaber.com/dolar-kuru-31140-lira-olan-tarihi-zirvesini-zorluyor-1726420h.htm
  • Investopedia. 2016. How are international exchange rates set? Retrieved from: http://www.investopedia.com/ask/answers/forex/how-forex-exchange-rates-set.asp
  • Klitgaard, T., Weir, L. 2004. Exchange Rate Changes and Net Positions of Speculators in the Futures Market. FRBNY Economic Policy Review / May 2004
  • Mill, J.S. 1848. Principles of Political Economy. The Project Gutenberg E-book. Release Date: September 27, 2009. Retrieved August 17, 2017 from: http://library.umac.mo/ebooks/b31139632.pdf
  • Mohammadi, H., Kazemi, R., Maghsoudloo, H., Mehregan, E., Mashayekhi, A.N. 2010. System Dynamic Approach for Analyzing Cyclic Mechanism in Land Market and Their Effect on House Market Fluctuations. Proceedings of the 29th International Conference of the System Dynamics Society, July 25- 29, Seoul (2010).
  • Pettinger, T. 2012. Inflation and Exchange Rates. Retrieved March 18, 2017 from: http://www.economicshelp.org/blog/1605/economics/higher-inflation-and-exchange-rates/
  • Salvatore, D. 1995. International Economics. Prentice Hall International Economics. Fifth Edition
  • Sterman, J. D. 2000. Business dynamics: systems thinking and modeling for a complex world. Boston :. Irwin/McGraw-Hill
  • TCMB Expectation Survey. 2016, December 15th. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/d1ee7b1d-41fc-40e6-9071-61685e7babba/BA-Rapor-Int.pdf?MOD=AJPERES&CACHEID=d1ee7b1d-41fc-40e6-9071- 61685e7babba
  • TCMB Foreign Currency Transaction Volume. 2016, January. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/fdbca103-e878-42c2-a15b-d99e134b115f/OCAK2016.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACEfdbca103-e878-42c2-a15b-d99e134b115f
  • TCMB Inflation Expectation. 2015. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/tcmb+tr/tcmb+tr/main+menu/para+politikasi/fiyat+istikrari/enflasyon+hedefleri
  • TCMB Interest Rates. 2016. Retrieved from: http://www.tcmb.gov.tr/wps/wcm/connect/tcmb+en/tcmb+en/main+page+site+area/cbrt+policy+rates/cbrt+interest+rates
  • TCMB Monthly Foreign Exchange Buying/Selling Amounts. 2016. Retrieved from: http://tcmb.gov.tr/wps/wcm/connect/4d0d011e-94ac-4027-b8d9-a2a94b20cd1c/Ayl%C4%B1k+D%C3%B6viz+Al%C4%B1m+Sat%C4%B1m+Tutarlar%C4%B1.pdf?MOD=AJPERES
  • Wikipedia. (n.d.) Economy of Turkey. Retrieved from: https://en.wikipedia.org/wiki/Economy_of_Turkey
  • World Bank. (n.d.). Turkey Overview. Retrieved from: http://www.worldbank.org/en/country/turkey/overview
  • Yıldırım A. 2016, July 29th. Yabancı Döviz aldı ama Türkiye’den çıkmadı. Retrieved from: http://www.businessht.com.tr/yorum/haber/1273628-yabanci-doviz-aldi-ama-turkiyeden-cikmadi
  • Yıldırım, A. 2016, December 12th. Kampanyaya Yabancıdan daha Fazla Destek Geldi. http://www.bloomberght.com/ht-yazarlar/abdurrahman-yildirim/1965375-kampanyaya-yabancidan-daha-fazla-destek-geldi
There are 31 citations in total.

Details

Journal Section Makaleler
Authors

İpek Dursun

Ceren Çehreli This is me

Yaman Barlas This is me

Publication Date December 25, 2017
Published in Issue Year 2017 Volume: 3 Issue: 2

Cite

APA Dursun, İ., Çehreli, C., & Barlas, Y. (2017). Speculative Dynamics of Exchange Rates in Turkey: A System Dynamics Approach. Yildiz Social Science Review, 3(2), 103-120.