Exchange Rate Bubble Formation in Türkiye: Revealing the Dance Between Reality and Speculation with Empirical Evidence from the Sequential ADF Tests

Öz

This study investigates speculative bubble formations in Türkiye's foreign exchange market from February 2001 to September 2024, utilizing the GSADF and BSADF methods. Through empirical analysis, the study identifies three significant bubble periods—May 2018 to October 2018, September 2020 to November 2020, and November 2021 to March 2022—each shaped by unique economic and geopolitical pressures. In the context of these findings, while some fluctuations in the exchange rate align with fundamental economic indicators, a segment of volatility remains unexplained, indicating the presence of speculative bubbles. This unexplained volatility suggests that traditional indicators alone are insufficient to account for currency valuations, underscoring the need for policy approaches that consider both macroeconomic fundamentals and speculative influences. Notably, the rapid surge in the exchange rate observed in late 2021, culminating in a peak in December, was followed by a dramatic decline precipitated by the announcement of the exchange rate-protected deposit account by economic authorities. This sequence of events highlights the significant impact of policy interventions on speculative activities, as evidenced by the empirical analysis indicating that the exchange rate bubble, which peaked during this period, began to deflate rapidly thereafter, ultimately dissipating entirely by March 2023. The findings emphasize the critical importance of sustainable, structural economic reforms in stabilizing exchange rates, advocating for long-term policies that address root causes of volatility rather than relying solely on short-term interventions.

Anahtar Kelimeler

• Türkiye Economy
• Exchange Rate
• Exchange Crisis
• Bubbles
• GSADF
• BSADF

Kaynakça

1. Afşar, M., Afşar, A., & Doğan, E. (2019). Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (54), 447–460. https://doi.org/10.18070/erciyesiibd.461888
2. Akdeniz, C., Çatık, A. N., & Ballı, E. (2022). Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time‐varying pass‐through coefficients. South African Journal of Economics, 90(3), 301–328. https://doi.org/10.1111/saje.12327
3. Bettendorf, T., & Chen, W. (2013). Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters, 120(2), 350–353. https://doi.org/10.1016/j.econlet.2013.04.039
4. Chan, H. L., Lee, S. K., & Woo, K.-Y. (2003). An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations. International Review of Economics & Finance, 12(3), 327–344. https://doi.org/10.1016/S1059-0560(02)00108-9
5. Chang, V., Newman, R., Walters, R. J., & Wills, G. B. (2016). Review of economic bubbles. International Journal of Information Management, 36(4), 497–506. https://doi.org/10.1016/j.ijinfomgt.2016.02.007
6. Deviren, B., Kocakaplan, Y., Keskin, M., Balcılar, M., Özdemir, Z. A., & Ersoy, E. (2014). Analysis of bubbles and crashes in the TRY/USD, TRY/EUR, TRY/JPY and TRY/CHF exchange rate within the scope of econophysics. Physica A: Statistical Mechanics and Its Applications, 410, 414–420. https://doi.org/10.1016/j.physa.2014.05.029
7. Elwood, S. K., Ahmed, E., & Rosser, J. B. (1999). State-space estimation of rational bubbles in the Yen/Deutsche Mark exchange rate. Weltwirtschaftliches Archiv, 135(2), 317–331. https://doi.org/10.1007/BF02707258
8. Euronews (2018). ABD'nin yaptırım kararı sonrası Dolar/TL kuru ne oldu. Retrieved 05 January 2025, from https://tr.euronews.com/business/2018/08/01/abd-yaptirimlari-soylentisiyle-dolar-tl-kuru-rekor-kirdi

9. Euronews (2019). Trump: Erdoğan ile ilişkilerim iyi ama Suriye'de kimsenin tarafını tutmuyorum. Retrieved 05 January 2025, from https://tr.euronews.com/2019/10/08/trump-erdogan-ile-iliskilerim-iyi-ama-suriye-de-kimsenin-tarafini-tutmuyorumfbclid=IwZXh0bgNhZW0CMTAAAR1XNCxTT3VZmZ_UbxlSgPMSLdMiRRmoJFIN7sSKF0umKYCtlNJi9rBwf6g_aem_1FS5A3YwZ7RxI2dxjtfGYQ
10. Euronews (2019). Kürtler Türkiye'nin doğal düşmanı, yüz yıllardır savaşıyorlar. Retrieved 05 January 2025, from https://www.facebook.com/watch/?v=493016321252074
11. Girdzijauskas, S., Štreimikienė, D., Čepinskis, J., Moskaliova, V., Jurkonytė, E., & Mackevičius, R. (2009). Formatıon of economıc bubbles: Causes and possıble preventıons. Technological and Economic Development of Economy, 15(2), 267–280. https://doi.org/10.3846/1392-8619.2009.15.267-280
12. Gök, R. (2021). Identification of multiple bubbles in Turkish financial markets: Evidence from GSADF approach. M U Iktisadi ve Idari Bilimler Dergisi, 3(2), 231–252. https://doi.org/10.14780/muiibd.1051781
13. Gülcan, N., Boyacıoğlu, N., & Özdemir Höl, A. (2021). Finansal piyasalardaki spekülatif balonların araştırılması: Döviz piyasası örneği. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 176–187. https://doi.org/10.21076/vizyoner.729647
14. Helmi, M. H., Çatık, A. N., & Akdeniz, C. (2023). The impact of central bank digital currency news on the stock and cryptocurrency markets: Evidence from the TVP-VAR model. Research in International Business and Finance, 65, 101968. https://doi.org/10.1016/j.ribaf.2023.101968
15. Hu, Y., & Oxley, L. (2017). Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling, 64, 419–442. https://doi.org/10.1016/j.econmod.2017.02.022
16. İlhan, A., Akdeniz, C., & Özdemir, M. (2022). Analyzing exchange market pressure dynamics with Markov Regime Switching: The case of Turkey. Organizations and Markets in Emerging Economies, 13(1), 238–259. https://doi.org/10.15388/omee.2022.13.78
17. İlhan, A., Akdeniz, C., & Özdemir, M. (2023). Time-Varying exchange rate pass-through to domestic prices: Evidence from Turkey. 26(3), 162–182.
18. International Monetary Fund - IMF. (2024). IMF Database. Retrieved 28 September 2024, from http://data.imf.org/
19. Investing.com. Türkiye CDS 5 Yıllık USD (TRGV5YUSAC=R). Retrieved 05 January 2025, from https://tr.investing.com/rates-bonds/turkey-cds-5-year-usd
20. Jiang, C., Wang, Y., Chang, T., & Su, C.-W. (2015). Are there bubbles in Chinese RMB–dollar exchange rate? Evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120–6135. https://doi.org/10.1080/00036846.2015.1064080
21. Kindleberger, C. P. (1991). Bubbles. In N. P. Eatwell J., Milgate M. (Ed.), The World of Economics (pp. 20–22). London: Palgrave Macmillan UK. https://doi.org/10.1007/978-1-349-21315-3_3
22. Korkmaz, Ö. (2018). The relationship between Bitcoin, gold and foreign exchange retruns: The case of Turkey. Turkish Economic Review, 5(December 2018).
23. Korkmaz, Ö., Erer, D., & Erer, E. (2016). Alternatif yatırım araçlarında ortaya çıkan balonlar Türkiye hisse senedi piyasasını etkiliyor mu? BİST 100 üzerine bir uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 10(2), 29–61.
24. Maldonado, Wilfredo L., Tourinho, O. A. F., & Abreu, J. A. B. M. de. (2018). Cointegrated periodically collapsing bubbles in the exchange rate of “BRICS”. Emerging Markets Finance and Trade, 54(1), 54–70. https://doi.org/10.1080/1540496X.2016.1229179
25. Maldonado, Wilfredo L., Tourinho, O. A. F., & Valli, M. (2012). Exchange rate bubbles: Fundamental value estimation and rational expectations test. Journal of International Money and Finance, 31(5), 1033–1059. https://doi.org/10.1016/j.jimonfin.2011.12.009
26. Maldonado, Wilfredo Leiva, Ribeiro, J., & Tourinho, O. A. F. (2021). Testing four types of bubbles in BRICS exchange rates. Emerging Markets Finance and Trade, 57(4), 1103–1123. https://doi.org/10.1080/1540496X.2019.1603542
27. Norden, S. Van. (1996). Regime switching as a test for exchange rate bubbles. Journal of Applied Econometrics, 11(3), 219–251.
28. Özdemir, O. (2021). Testing explosive bubble for Eurozone exchange rate in the COVID- 19 outbreak: Evidence from recursive right-tailed tests. Journal of Sustainable Economics and Management Studies, 1(1), 32–45. Özdemir, O. (2022). Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic. Ekonomika, 101(1), 142–161. https://doi.org/10.15388/Ekon.2022.101.1.8
29. Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132
30. Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? International Economic Review, 52(1), 201–226. https://doi.org/10.1111/j.1468-2354.2010.00625.x
31. Rasekhi, S., Elmi, Z. M., & Shahrazi, M. (2016). Price bubbles spillover among asset markets: Evidence from Iran. Iranian Economic Review, 20(4). https://doi.org/10.22059/ier.2016.59609
32. Smith, M. H., & Smith, G. (2006). Bubble, bubble, where’s the housing bubble? Brookings Papers on Economic Activity, 2006(1), 1–67. https://doi.org/10.1353/eca.2006.0019
33. The Central Bank of the Republic of Türkiye. (2024). EVDS Data Central. Retrieved 28 September 2024, from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
34. Türkiye Cumhuriyet Merkez Bankası. (2020). Aralık Ayı Fiyat Gelişmeleri. Retrieved 28 September 2024, from https://tcmb.gov.tr/wps/wcm/connect/634f29b3-17ab-41f8-ac52-8ae7f9c0c5ff/afiyataralik19.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-634f29b3-17ab-41f8-ac52-8ae7f9c0c5ff-mZVFPIm
35. United Nations - UN. (2024). UN Comtrade Database. Retrieved 28 September 2024, from https://comtradeplus.un.org/
36. Ural, M. (2021). Analyzing multiple bubbles in the USDKZT exchange rate using the GSADF test. Eurasian Research Journal, 3(2), 7–18. https://doi.org/10.53277/2519-2442-2021.2-01
37. World Bank. (2024). World Development Indicators Database. Retrieved 28 September 2024, from https://databank.worldbank.org/source/world-development-indicators
38. Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? Evidence from an alternative test. Journal of International Money and Finance, 14(1), 27–46. https://doi.org/10.1016/0261-5606(94)00002-I
39. Yildirim, H., Akdag, S., & Alola, A. A. (2022). Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey. Journal of Economics, Finance and Administrative Science, 27(54), 247–261. https://doi.org/10.1108/JEFAS-04-2021-0025