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FORECASTING THE FOREIGN EXCHANGE MARKET PRESSURE INDEX IN THE TURKISH ECONOMY: INSTRUMENTAL VARIABLES APPROACH

Yıl 2023, Cilt: 24 Sayı: 2, 539 - 558, 10.07.2023
https://doi.org/10.31671/doujournal.1194795

Öz

The aim of the current study was to analyze how much of the pressure in the foreign exchange market in Turkey is eliminated by the Central Bank, depending on the monetary policies implemented. On the basis of this analysis, the value changes of the US dollar against the Turkish Lira were observed and the Exchange Market Pressure (EMP) index was calculated in the local market. Based on Weymark's (1997) open economy model, the empirical results obtained from the Two-Stage Least Squares (2SLS) method were obtained using the autoregressive model to find the expectation values of the variables. The time span of the observed data to estimate the relevant parameters of the variables used in the model covers the period from the first quarter of 1998 to the second quarter of 2020. The findings showed that although the EMP index had high values and the Turkish Lira weakened during the local economic crisis of 2001, the index values fell as a result of the monetary measures implemented in place afterward. This process, which continued until the third quarter of 2018, is observed to have started to rise again in the DPB index due to the exchange rate crisis. The findings highlight the pressures exerted on the Turkish Lira by the policies implemented in the recent past and appeal to a wide audience, from politicians to economists, about how monetary policies should be in the future.

Kaynakça

  • Aizenman, J. ve Binici M. (2016). Exchange market pressure in OECD and emerging economies: domestic vs. external factors and capital flows in the old and new normal, Journal of International Money and Finance, 66, 65-87.
  • Akçoraoğlu, A. (2000). An analysis of exchange market pressure and monetary policy: evidence from Turkey, G.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(4), 61-74.
  • Bielecki, S. (2005). Exchange market pressure and domestic credit evidence from Poland, The Poznan University of Economics Review, 5(1), 20-36.
  • Bautista, G., C.C. Bautista (2005). Monetary policy and exchange market pressure: The case of Philippines. Journal of Macroeconomics, 27, 153-168.
  • Dayı, F. ve Akdemir, E. (2016). Döviz piyasası baskısı modellerinin yapay sinir ağı ile mukayesesi: Türkiye uygulaması, Akademik Araştırmalar ve Çalışmalar Dergisi, 8 (15), 151-168.
  • Eichengreen, B., Rose, A.K., ve Wyplosz, C. (1996). Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic Policy, vol. 10, 1996, 251-312.
  • Girton, L. ve Roper, D. (1977). A monetary model of exchange market pressure applied to the postwar Canadian experience, The American Economic Review, 537-548.
  • Göksu, G., Kadıoğlu, E., Küçükkocaoğlu, G., ve Board, C. M. (2015). Predicting crises in Turkey using an exchange market pressure model and four-way decomposition analysis of gross capital flows, International Business Research, 8(11), 26.
  • Greene, W. (2003). Econometric Analysis. New York: Prentice Hall.
  • Hall, S.G, A. Kenjagaliev, P.A. Swamy, G.S. Tavlas (2013). Measuring currency pressures: The case of Japanese yen, the Chinese yuan and the U.K. pound. Journal of Japanese International Economics, 29, 1-20.
  • IMF (2007). World Economic Outlook. No: 2007/002. Washington DC.
  • IMF (2021). Annual report on exchange arrangements and exchange restrictions. Washington DC.
  • Iwata, S., ve Tanner, E. (2007). Pick your poison: the exchange rate regime and capital account volatility in emerging markets, Czech Journal of Economics and Finance (Finance a uver), 57(7-8), 363-381.
  • Jeisman, S. (2005). Exchange market pressure in Australia. Quarterly Journal of Business and Economics, 44, 13-27.
  • Kaya, E. ve Köksal, Y. (2018). Döviz piyasası baskısı ve menkul kıymet piyasaları etkileşimi: BIST 100 üzerine bir inceleme, Journal of Economics & Administrative Sciences/Afyon Kocatepe Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 20(2), 21-35.
  • Klaassen, F. ve Jager, H. (2011). Definition-consistent measurement of exchange market pressure, Journal of International Money and Finance, 30(1), 74-95.
  • Kumah, F.Y. (2007). A markow-switching approach to measuring exchange market pressure, IMF Working Papers, WP/07/242.
  • Örüç, E. (2019). Weymark modeli döviz piyasası baskısı endeksi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 53, 261-284.
  • Pentecost, E.J., Van Hooydonk, C., Van Poeck, A. (2001). Measuring and Estimating Exchange Market Pressure in the EU. Journal of International Money and Finance, vol. 20, 401-418.
  • Siklar, I., ve Akca, A. (2020). Exchange market pressure and monetary policy: The Turkish case. Ekonomika, 99(1), 110-130.
  • Soe, T., M. Kakinaka (2018). Inflation targeting and exchange market pressure in developing countries: Some international evidence. Finance Research Letters, 24, 263-272.
  • Uğurlu, E. ve Aksoy, E. E. (2017). 2008 Krizi Döneminde Türkiye'de Döviz Piyasası Baskısının İncelenmesi: Mevsimsel Eşbütünleşme Analizi, Finans Politik & Ekonomik Yorumlar, 54(633), 9-26.
  • Vanneste, J., Van Poeck, A., Veiner, M. (2005). Exchange rate regimes and exchange market pressure in accession countries. Working paper 2004012. University of Antwerp, Department of Economics.
  • Weymark, D. N. (1995). Estimating exchange market pressure and the degree of exchange market intervention for Canada, Journal of International Economics, 39(3-4), 273-295.
  • Weymark, D. N. (1997). Measuring exchange market pressure and intervention in interdependent economies: A two country model, Review of International Economics, 5(1), 72-82.
  • Weymark, D. N.; (1998), “A general approach to measuring exchange market pressure”, Oxford Economic Papers, 50 (1), 106-12.

TÜRK EKONOMİSİNDE DÖVİZ PİYASASI BASKISI ENDEKSİNİN TAHMİNİ: ARAÇ DEĞİŞKENLER YÖNTEMİ YAKLAŞIMI

Yıl 2023, Cilt: 24 Sayı: 2, 539 - 558, 10.07.2023
https://doi.org/10.31671/doujournal.1194795

Öz

Bu çalışmanın amacı, uygulanan para politikalarına bağlı olarak, Türkiye’deki döviz piyasasında oluşan baskının ne kadarının Merkez Bankası tarafından giderildiğini analiz etmektir. Bu analizin temelinde, döviz kuru piyasasındaki gerilimler Döviz Piyasası Baskısı (DPB) endeksi ile hesaplanmaktadır. Weymark’ın (1997) dışa açık ekonomi modeli temeline oturtulan çalışmada, değişkenlerin beklenti değerlerini bulmak için otoregresif model kullanıp, İki Aşamalı En Küçük Kareler (2SLS) yönteminden elde edilen ampirik sonuçlara ulaşılmaktadır. Modelde kullanılan değişkenlerin ilgili parametrelerini tahmin etmek için gözlemlenen verilerin zaman aralığı, 1998 yılının birinci çeyreğinden 2020 yılının ikinci çeyreğine kadar olan dilimi kapsamaktadır. Sonuçlara göre, 2001 yerel ekonomik krizi sırasında DPB endeksi yüksek değerler verip, Türk lirası döviz birimlerine karşı değer kaybı yaşarken, kriz sonrasında uygulanan para politikaları neticesinde endeks değerleri düşmüştür. 2018 senesi üçüncü çeyreğine kadar devam eden bu süreç, yaşanan döviz kuru krizi nedeniyle DPB endeksinde tekrar yükselişe geçildiği gözlemlenmektedir. Sonuçlar, yakın geçmişte uygulanan politikaların Türk lirası üzerinde oluşturduğu baskıları gözler önüne serip, para politikalarının gelecekte nasıl olması gerektiği konusunda, politikacılardan ekonomistlere kadar geniş bir kitleye hitap etmektedir.

Kaynakça

  • Aizenman, J. ve Binici M. (2016). Exchange market pressure in OECD and emerging economies: domestic vs. external factors and capital flows in the old and new normal, Journal of International Money and Finance, 66, 65-87.
  • Akçoraoğlu, A. (2000). An analysis of exchange market pressure and monetary policy: evidence from Turkey, G.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 2(4), 61-74.
  • Bielecki, S. (2005). Exchange market pressure and domestic credit evidence from Poland, The Poznan University of Economics Review, 5(1), 20-36.
  • Bautista, G., C.C. Bautista (2005). Monetary policy and exchange market pressure: The case of Philippines. Journal of Macroeconomics, 27, 153-168.
  • Dayı, F. ve Akdemir, E. (2016). Döviz piyasası baskısı modellerinin yapay sinir ağı ile mukayesesi: Türkiye uygulaması, Akademik Araştırmalar ve Çalışmalar Dergisi, 8 (15), 151-168.
  • Eichengreen, B., Rose, A.K., ve Wyplosz, C. (1996). Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks. Economic Policy, vol. 10, 1996, 251-312.
  • Girton, L. ve Roper, D. (1977). A monetary model of exchange market pressure applied to the postwar Canadian experience, The American Economic Review, 537-548.
  • Göksu, G., Kadıoğlu, E., Küçükkocaoğlu, G., ve Board, C. M. (2015). Predicting crises in Turkey using an exchange market pressure model and four-way decomposition analysis of gross capital flows, International Business Research, 8(11), 26.
  • Greene, W. (2003). Econometric Analysis. New York: Prentice Hall.
  • Hall, S.G, A. Kenjagaliev, P.A. Swamy, G.S. Tavlas (2013). Measuring currency pressures: The case of Japanese yen, the Chinese yuan and the U.K. pound. Journal of Japanese International Economics, 29, 1-20.
  • IMF (2007). World Economic Outlook. No: 2007/002. Washington DC.
  • IMF (2021). Annual report on exchange arrangements and exchange restrictions. Washington DC.
  • Iwata, S., ve Tanner, E. (2007). Pick your poison: the exchange rate regime and capital account volatility in emerging markets, Czech Journal of Economics and Finance (Finance a uver), 57(7-8), 363-381.
  • Jeisman, S. (2005). Exchange market pressure in Australia. Quarterly Journal of Business and Economics, 44, 13-27.
  • Kaya, E. ve Köksal, Y. (2018). Döviz piyasası baskısı ve menkul kıymet piyasaları etkileşimi: BIST 100 üzerine bir inceleme, Journal of Economics & Administrative Sciences/Afyon Kocatepe Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 20(2), 21-35.
  • Klaassen, F. ve Jager, H. (2011). Definition-consistent measurement of exchange market pressure, Journal of International Money and Finance, 30(1), 74-95.
  • Kumah, F.Y. (2007). A markow-switching approach to measuring exchange market pressure, IMF Working Papers, WP/07/242.
  • Örüç, E. (2019). Weymark modeli döviz piyasası baskısı endeksi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 53, 261-284.
  • Pentecost, E.J., Van Hooydonk, C., Van Poeck, A. (2001). Measuring and Estimating Exchange Market Pressure in the EU. Journal of International Money and Finance, vol. 20, 401-418.
  • Siklar, I., ve Akca, A. (2020). Exchange market pressure and monetary policy: The Turkish case. Ekonomika, 99(1), 110-130.
  • Soe, T., M. Kakinaka (2018). Inflation targeting and exchange market pressure in developing countries: Some international evidence. Finance Research Letters, 24, 263-272.
  • Uğurlu, E. ve Aksoy, E. E. (2017). 2008 Krizi Döneminde Türkiye'de Döviz Piyasası Baskısının İncelenmesi: Mevsimsel Eşbütünleşme Analizi, Finans Politik & Ekonomik Yorumlar, 54(633), 9-26.
  • Vanneste, J., Van Poeck, A., Veiner, M. (2005). Exchange rate regimes and exchange market pressure in accession countries. Working paper 2004012. University of Antwerp, Department of Economics.
  • Weymark, D. N. (1995). Estimating exchange market pressure and the degree of exchange market intervention for Canada, Journal of International Economics, 39(3-4), 273-295.
  • Weymark, D. N. (1997). Measuring exchange market pressure and intervention in interdependent economies: A two country model, Review of International Economics, 5(1), 72-82.
  • Weymark, D. N.; (1998), “A general approach to measuring exchange market pressure”, Oxford Economic Papers, 50 (1), 106-12.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Araştırma Makalesi
Yazarlar

Bekir Aşık 0000-0002-2221-016X

Mert Gül

Yayımlanma Tarihi 10 Temmuz 2023
Gönderilme Tarihi 26 Ekim 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 24 Sayı: 2

Kaynak Göster

APA Aşık, B., & Gül, M. (2023). TÜRK EKONOMİSİNDE DÖVİZ PİYASASI BASKISI ENDEKSİNİN TAHMİNİ: ARAÇ DEĞİŞKENLER YÖNTEMİ YAKLAŞIMI. Doğuş Üniversitesi Dergisi, 24(2), 539-558. https://doi.org/10.31671/doujournal.1194795