Rethinking the Exchange Rate Volatility-Economic Growth Relationship: A Panel Data Approach

Öz

In this study we wanted to find out the effect of volatility, which is accepted as a measure of exchange rate uncertainty in the literature, on economic growth. Data for the period between 2002 and 2019 for 28 countries, with the distinction of developed and developing countries, were included in the study. The GARCH modeling was used for the volatility series of the countries and the analysis was carried out with the panel corrected standard errors (PCSE) estimator, which takes into account the cross-sectional dependence problem that frequently occurs in panel data analysis studies. The findings of the study showed that the negative effect of exchange rate volatility on economic growth in developing countries is very high compared to developed countries. In addition, it has been determined that while the contribution of human capital to economic growth is negative in developing countries, this effect is positive in developed countries. Another point supported by the findings in the study is that the volatility of the exchange rate more than the level of the exchange rate has a negative effect on economic growth. Considering the production structures of developing countries, it is suggested that production strategies based on intense energy and raw material imports should be in line with the findings, and attention should be paid to this issue with the help of policies aimed at reducing foreign dependency.

Anahtar Kelimeler

• Exchange Rate Volatility
• Uncertainty
• Economic Growth
• PCSE Method

Döviz Kuru Oynaklığı ve Ekonomik Büyüme İlişkisine Yeniden Bakış

Öz

Bu çalışmada literatürde döviz kurundaki belirsizliğin ölçüsü olarak kabul edilen oynaklığın ekonomik büyüme üzerindeki etkisi araştırılmıştır. Gelişmiş ve gelişmekte olan ülkeler ayrımıyla 28 ülke için 2002 – 2019 dönemi verileri araştırmaya dahil edilmiştir. Ülkelerin oynaklık serileri için GARCH modellemesinden faydalanılmış ve panel veri analizi çalışmalarında sıklıkla ortaya çıkan yatay kesit bağlanım sorununu dikkate alan panel düzeltilmiş standart hatalar (PCSE) tahmincisi ile analiz gerçekleştirilmiştir. Çalışmadan elde edilen bulgular gelişmekte olan ülkelerde döviz kuru oynaklığının ekonomik büyüme üzerindeki negatif etkisinin gelişmiş ülkelere kıyasla çok yüksek olduğunu göstermiştir. Ayrıca gelişmekte olan ülkelerde beşerî sermayenin ekonomik büyüme katkısı negatif iken gelişmiş ülkelerde bu etkinin pozitif olduğu tespit edilmiştir. Çalışmada bulgularla desteklenen bir diğer husus döviz kurunun seviyesinden daha fazla kurun volatilitesinin ekonomik büyüme üzerinde negatif etki yaptığıdır. Gelişmekte olan ülkelerin üretim yapıları dikkate alındığında yoğun enerji ve hammadde ithalatına bağlı üretim stratejilerinin bulgulara paralel olması, dışa bağımlılığın azaltılmasına yönelik politikalara yardımıyla bu hususa dikkatin verilmesi gerektirebileceği önerilmektedir.

Anahtar Kelimeler

• Döviz Kuru Volatilitesi
• Belirsizlik
• Ekonomik Büyüme
• PCSE Yöntemi

Kaynakça

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