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Abstract

Whether exchange rate volatility has a negative impact on the volume of exports has been debated since abandonment of fixed exchange rate regime. The effects of the exchange rate volatility on Turkey’s exports to Euro Zone are investigated in this study for the period 2000Q1-2012Q2 with panel data analysis. Furthermore these effects are investigated for different frequency band via discrete wavelet transform of the original series. The empirical results suggest that exchange rate volatility has no negative impact on exports of Turkey to Euro Area in the short run, whereas in the long run negative effects may emerge.

Keywords

• Exchange rate volatility, exports, discrete wavelet transform

Döviz Kuru Volatilitesinin Türkiye’nin Euro Bölgesi İhracatına Etkisi: Kesikli Dalgacık Dönüşümü ile Panel Veri Analizi

Öz

Döviz kuru volatilitesinin ihracat hacmini olumsuz etkileyip etkilemediği sabit döviz kuru uygulamalarının son bulmasından bu yana tartışılan bir konudur. Bu çalışmada döviz kuru volatilitesinin Türkiye’nin Euro Bölgesi ülkeleri ile olan ihracatı üzerindeki etkileri 2000Q1-2012Q2 dönemi için panel veri analizi kullanılarak araştırılmıştır. Çalışmada veriler üzerine kesikli dalgacık dönüşümü uygulanarak bu etkinin farklı zaman frekanslarındaki durumu da incelenmiştir. Elde edilen bulgular döviz kuru volatilitesinin Türkiye’nin Euro Bölgesi ülkeleri ile olan ihracatına kısa dönemde olumsuz bir etkisi olmadığı, ancak uzun vadede ihracat üzerinde olumsuz etkilere sahip olabileceği yönündedir

Anahtar Kelimeler

• Döviz kuru volatilitesi, ihracat, kesikli dalgacık dönüşümü

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