Ekonomide Yaşanan Şokların Reel ve Nominal Döviz Kurları Üzerindeki Etkilerinin SVAR Yöntemiyle Araştırılması: Türkiye Örneği (1994-2025)

Yıl 2025, Cilt: 7 Sayı: 2, 1 - 31, 29.12.2025

Mesut Fenkli , Burcu Gediz Oral

https://doi.org/10.70506/eisrcdergi.1777622

Öz

Ekonomi literatüründe reel ve nominal şokların kısa veya uzun dönemde reel ve nominal döviz kurları üzerinde etkilerinin devam ettiğini kanıtlayan pek çok çalışma bulunmaktadır. Bundan dolayı reel ve nominal şokların son yıllarda Türkiye’de döviz kurlarında yaşanan yükselişlerde etkisinin olup olmadığı araştırmaya değer görülmüştür. Bunun için tüketici fiyat endeksi bazlı reel döviz kuru, üretici fiyat endeksi bazlı reel döviz kuru ve nominal döviz kuru olarak Amerikan Doları (USD) için ulaşılan en eski tarih olan 01/01/1994 yılı ve 01/06/2025 yılına kadar aylık 379 gözlemden (frekans) elde edilen üç ayrı zaman serisi oluşturulmuştur. Sonrasında tüketici fiyat endeksi bazlı reel döviz kuru ve nominal döviz kurunun içsel değişkenler olarak yer aldığı birinci SVAR model ve üretici fiyat bazlı reel döviz kuru ile nominal döviz kurunun içsel değişkenler olarak yer aldığı ikinci SVAR modeli tahmin edilmiştir. Her iki tahmin modeli gerekli varsayımları sağlayarak ve diagnostik testleri geçerek kabul edilmiştir. Kabul edilen model sonuçlarına göre her iki model için uzun dönemde reel şokların reel ve nominal döviz kurları üzerinde olan etkisinin kalıcı olduğuna ve nominal şokların ise uzun dönemde reel ve nominal döviz kurları üzerinde kayda değer bir etki göstermediği yönünde karar verilmiştir.

Anahtar Kelimeler

Döviz Kurları , Reel ve Nominal Şoklar , SVAR , Türkiye

Investigation of Real and Nominal Exchange Rates in Turkiye Under Economic Shocks Using the SVAR Method

Öz

Many studies in the economic literature prove that real and nominal shocks affect real and nominal exchange rates in the short or long term. Therefore, it was considered worthwhile to investigate whether real and nominal shocks had affected the rise in exchange rates in Turkiye in recent years. To this end, three separate time series were created using monthly observations from 01/01/1994 (the earliest available date for the US dollar) to 01/06/2025, based on the consumer price index-based real exchange rate, the producer price index-based real exchange rate, and the nominal exchange rate. The first SVAR model included the consumer price index-based real exchange rate and the nominal exchange rate as endogenous variables, while the second SVAR model included the producer price index-based real exchange rate and the nominal exchange rate as endogenous variables. Both models were accepted after meeting the necessary assumptions and passing diagnostic tests. Based on the results of these models, it was concluded that real shocks have a permanent effect on real and nominal exchange rates in the long term, whereas nominal shocks do not significantly affect real and nominal exchange rates in the long term.

Anahtar Kelimeler

Exchange Rate , Real and Nominal Shocks , SVAR , Turkiye

Kaynakça

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