Trade Balance, Real Exchange Rate and Trade Policy Uncertainty in Türkiye: Evidence from the SVAR Approach

Yıl 2024, , 63 - 75, 26.06.2024

Fatma Ünlü

https://doi.org/10.26650/ekoist.2024.40.1354907

Öz

In recent years, the trade wars, the global economic crisis and protectionist policies have created a climate of trade policy uncertainty in the world economy. The increased uncertainty had important impacts on economic variables, in particular on foreign trade and exchange rates. As a result, the attention of researchers and policy makers has been focused on this area. Also, it is a well-known fact that uncertainties have a greater impact on developing countries with economies that are more vulnerable to shocks and risks. From all of these facts, the aim of this study is to investigate the relationships between exchange rate, trade balance and trade policy uncertainty by using structural VAR (SVAR) analysis for the 1960:Q1-2020:Q4 period in Türkiye. The results show that there exists a significant relationship between trade policy uncertainty, the trade balance and the exchange rate in the long term. The response of trade policy uncertainty to shocks to the trade balance and to the exchange rate is statistically significant and negative. The response of the exchange rate to trade balance shocks is statistically significant and positive. An increase in the trade balance increases the exchange rate and reduces trade policy uncertainty.

Anahtar Kelimeler

Trade, exchange rate, trade policy uncertainty, structural VAR

Kaynakça

• Ahir, H., Bloom, N., & Furceri, D. (2020). 60 years of uncertainty: Our new index provides novel insights into an amorphous concept. Finance & Development, March 2020, 58-60. google scholar
• Akbostanci, E. (2004). Dynamics of the trade balance: The Turkish J-curve. Emerging Markets Finance & Trade, 40(5), 57-73. google scholar
• Albayrak, Ş. G., & Korkmaz, H. S. (2019). Turkish J-curve: Trade balance and real exchange rate relation. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (Prof. Dr. Fuat Sezgin Özel Sayısı), 348-359. google scholar
• Alege, P. O., & Osabuohien, E. S. (2015). Trade-exchange rate nexus in sub-Saharan African countries: Evidence from panel cointegration analysis. Foreign Trade Review, 50 (3), 151-167. google scholar
• Alessandria, G., & Choi, H. (2021). The dynamics of the U.S. trade balance and real exchange rate: The J curve and trade costs. Journal of International Economics, 132, 103511. google scholar
• Amusa, H., & Fadiran, D. (2019). The J-curve phenomenon: Evidence from commodity trade between South Africa and the United States. Economic Research Southern Africa (ERSA) Working Paper No. 777. google scholar
• Ari, A., Cergibozan, R., & Cevik, E. (2019). J-curve in Turkish bilateral trade: A nonlinear approach. The International Trade Journal, 33 (1), 31-53. google scholar
• Arruda, E. F., Castelar, P. U. C., & Martins, G. (2019). The J-curve and the Marshall-Lerner condition: Evidence for net exports in the Southern region of Brazil. Planejamento E Pottticas Publicas. 52, 17-48. google scholar
• Arthur, B., Afenya, M. S., Asiedu, M., & Aduku, R. (2022). The bilateral J-curve between Ghana and her key trading partners. Cogent Economics & Finance, 10 (1), 2048484. google scholar
• Arthur, B., Afenya, M. S., Asiedu, M., & Aduku, R. (2022). The bilateral J-curve between Ghana and her key trading partners, Cogent Economics & Finance, 10 (1), 2048484. google scholar
• Ay, A., & Özşahin, Ş. (2007). J eğrisi hipotezinin testi: Türkiye ekonomisinde reel döviz kuru ve dış ticaret dengesi ilişkisi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, XXVI (1), 1-23. google scholar
• Backus, D. K., Kehoe, P. J., & Kydland, F. E. (1994). Dynamics of the trade balance and the terms of trade: The J-Curve?. The American Economic Review, 84(1), 84-103. google scholar
• Baek, J., & Yoon, J. H. (2023). Shocks of crude oil prices and world trade policy uncertainty: How much do they matter for China’s trade balance with its three largest partners?. Economic Analysis and Policy, 78, 914-921. google scholar
• Bahmani-Oskooee, M. (1985). Devaluation and the J-curve: some evidence from LDCs. The Review of Economics and Statistics, 67, 500-504. google scholar
• Bahmani-Oskooee, M., & Arize, A.C. (2019). U.S.-Africa trade balance and the J-curve: An asymmetry analysis. The International Trade Journal, 33(4), 322-343. google scholar
• Bahmani-Oskooee, M., & Karamelikli, H. (2021). The Turkey-US commodity trade and the asymmetric J-curve. Economic Change and Restructuring, 54, 943-973. google scholar
• Bahmani-Oskooee, M., & Kutan, A.M. (2009). The J-curve in the emerging economies of eastern Europe. Applied Economics, 41, 2523-2532. google scholar
• Bahmani-Oskooee, M., Harvey, H., & Halicioglu, F. (2021). Does the real exchange rate play any role in the trade between Mexico and Canada? An asymmetric analysis. Economic Analysis and Policy, 70, 1-21. google scholar
• Baker, S., Bloom, N., & Davis, S. (2019). The extraordinary rise in trade policy uncertainty. 17 September 2019. 1-8. https://voxeu.org/article/extraordinary-rise-trade-policy-uncertainty. google scholar
• Bao, X., Deng, J., Sun, H., & Sun, J. (2022). Trade policy uncertainty and foreign direct investment: Evidence from China’s WTO accession. Journal of International Money and Finance, 125, 102642. google scholar
• Bartsch, Z. (2019). Economic policy uncertainty and dollar-pound exchange rate return volatility. Journal of International Money and Finance, 98, 102067. google scholar
• Bernanke, B. S. (1986). Alternative explanations of money-income correlation. Carnegie-Rochester Conference Series on Public Policy, 25, 49-100. google scholar
• Bhat, S. A., & Bhat, J. A. (2021). Impact of exchange rate changes on the trade balance of India: An asymmetric nonlinear cointegration approach. Foreign Trade Review, 56 (1), 71-88. google scholar
• Borojo, D. G., Yushi, J., & Miao, M. (2022) The impacts of economic policy uncertainty on trade flow. Emerging Markets Finance and Trade, 58(8), 2258-2272. google scholar
• Brada, J. C., Kutan, A. M., & Zhou, S. (1997). The exchange rate and the balance of trade: The Turkish experience, The Journal of Development Studies, 33(5), 675-692. google scholar
• Burggraf, T., Fendel, R., & Huynh, T. L. D. (2020). Political news and stock prices: Evidence from trump’s trade war. Applied Economics Letters, 27(18), 1485-1488. google scholar
• Caldara, D., Iacoviello, M., Molligo, P., Prestipino, A., & Raffo, A. (2019). Does trade policy uncertainty affect global economic activity?. FEDS Notes. Washington: Board of Governors of the Federal Reserve System, September 4, 2019, https://doi.org/10.17016/2380-7172.2445. google scholar
• CBRT. (2023). Electronic Data Delivery System. https://evds2.tcmb.gov.tr/ (Accessed 15 January 2022). google scholar
• Çekin, S. E., & Nuroğlu, E. (2020). Ticaret savaşlarının uluslararası ticaret ve reel ekonomiye etkisi. UİİİD-IJEAS, 27, 73-90. google scholar
• Ceyhan, T., & Gürsoy, S. (2021). The J-curve hypothesis: An analysis for Turkey. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 12(3), 1169-1181. google scholar
• Chen, J., Huang, Y., Ren, X., & Qu, J. (2022). Time-varying spillovers between trade policy uncertainty and precious metal markets: Evidence from China-US trade conflict. Resources Policy, 76, 102577. google scholar
• Cooley, T. F., & Leroy, S. F. (1985). A theoretical macroeconometrics: A critique. Journal of Monetary Economics, 16(3), 283-308. google scholar
• Crowley, M., Meng, N., & Song, H. (2018). Tariff scares: Trade policy uncertainty and foreign market entry by Chinese firms. Journal of International Economics, 114, 96-115. google scholar
• Demirtaş, G. (2014). Türkiye ve Almanya arasındaki dış ticaret dengesinin sınır testi yaklaşımıyla incelenmesi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 43, 83-106. google scholar
• Durusoy, Ö. T., & Tokatlıoğlu, İ. (1997). Devalüasyon ve J-eğrisi. Ekonomik Yaklaşım, 8(24-25), 65-79. google scholar
• Enders, W. (2010). Applied econometric time series. Wiley, UK. google scholar
• Facchini, G., Liu, M. Y., Mayda, A. M., & Zhou, M. (2019). China’s “Great Migration”: The impact of the reduction in trade policy uncertainty. Journal of International Economics, 120, 126-144. google scholar
• Federal Reserve Economic (FRED). (2023). Trade Policy Uncertainty Index. https://fred.stlouisfed.org/series/EPUTRADE. (Accessed 15 January 2022). google scholar
• Furceri, D., Hannan, S.A., Ostry, J.D., & Rose, A.K. (2020). Are tariffs bad for growth? Yes, say five decades of data from 150 countries. Journal of Policy Modelling. 42, 850-859. google scholar
• Göçer, İ., & Elmas, B. (2013). Genişletilmiş Marshall-Lerner koşulu çerçevesinde reel döviz kuru değişimlerinin Türkiye’nin dış ticaret performansına etkileri: Çoklu yapısal kırılmalı zaman serisi analizi. BDDK Bankacılık ve Finansal Piyasalar, 7(1), 137-157. google scholar
• Gulen, H., & Ion, M. (2016). Policy uncertainty and corporate investment. The Review of Financial Studies, 29, 523-564. google scholar
• Güneş, S., Gürel, S. P., & Cambazoğlu, B. (2013). Dış ticaret hadleri, dünya petrol fiyatları ve döviz kuru ilişkisi, yapısal VAR analizi: Türkiye örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 9 (20), 1-17. google scholar
• Halicioglu, F. (2008). The J-curve dynamics of Turkey: an application of ARDL model. Applied Economics, 40(18). 2423-2429. google scholar
• Handley, K. (2014). Exporting under trade policy uncertainty: Theory and evidence. Journal of International Economics, 94(1), 50-66. google scholar
• Handley, K., & Limao, N. (2015). Trade and investment under policy uncertainty: Theory and firm evidence. American Economic Journal: Economic Policy, 7, 189-222. google scholar
• Handley, K., & Limao, N. (2017). Policy uncertainty, trade, and welfare: Theory and evidence for China and the United States. The American Economic Review, 107(9), 2731-2783. google scholar
• He, F., Lucey, B., & Wang, Z. (2021). Trade policy uncertainty and its impact on the stock market-evidence from China-US trade conflict. Finance Research Letters, 40, 101753. google scholar
• Hlatshwayo, S., & Saxegaard, M. M. (2016). The consequences of policy uncertainty: Disconnects and dilutions in the South African real effective exchange rate-export relationship. International Monetary Fund. Working Paper No. 2016/113. google scholar
• Hsing, H.M. (2005). Re-examination of J-curve effect for Japan, Korea and Taiwan. Japan and the World Economy, 17, 43-58. google scholar
• Huynh, L.T.D., Nasie, M. A., & Nguyen, D. K. (2023). Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty. The Quarterly Review of Economics and Finance, 87, 191-199. google scholar
• Imbruno, M. (2019). Importing under trade policy uncertainty: Evidence from China. Journal of Comparative Economics, 47, 806-26. google scholar
• Iqbal, J., Nosheen, M., Panezai, G. R., & Salahuddin. (2021). Asymmetric cointegration, Non-linear ARDL, and the J-curve: A bilateral analysis of Pakistan and its trading partners. The International Journal of Finance and Economics, 26, 2263-2278. google scholar
• Johnston, C.M.T., & Parajuli, R. (2017). What’s next in the U.S.-Canada softwood lumber dispute? An economic analysis of restrictive trade policy measures. Forest Policy and Economics, 85, 135-146. google scholar
• Karagöz, M., & Doğan, Ç. (2005). Döviz kuru ve dış ticaret ilişkisi: Türkiye örneği. Fırat Üniversitesi Sosyal Bilimler Dergisi, 15(2), 219-228. google scholar
• Kemeç, A., & Kösekahyaoğlu, L. (2015). J eğrisi analizi ve Türkiye üzerine bir uygulama. Uluslararası İktisadi ve İdari Bilimler Dergisi. 1 (2), 1-29. google scholar
• Kempa, B., & Khan, N.S. (2019). Global macroeconomic repercussions of US trade restrictions: evidence from a GVAR model. International Economic Journal, 33, 649-661. google scholar
• Khatoon, R., & Rahman, M. M. (2009). Assessing the existence of the J-curve effect in Bangladesh. The Bangladesh Development Studies, XXXII (2), 79-99. google scholar
• Kopuk, E., & Başer, M. K. (2020). Is J-curve hypothesis valid in the Turkey manufacturing industry? Bound test approach. International Conference on Economics. September 10-12, Eskisehir, Turkey. google scholar
• Lal, A.K., & Lowinger, T. C. (2002). Nominal effective exchange rate and trade balance adjustment in South Asia Countries. Journal of Asian Economics, 13, 371-383. google scholar
• Li, C., & Whalley, J. (2021). Trade protectionism and US manufacturing employment. Economic Modelling, 96, 353-361. google scholar
• Linde, J., & Pescatori, A. (2019). The macroeconomic effects of trade tariffs: revisiting the Lerner symmetry result. Journal of International Money and Finance, 95, 52-69. google scholar
• Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer, Berlin. google scholar
• Marshall, M. G., Gurr, T. D., & Jaggers, K. (2015). Polity IV Project: Political Regime Characteristics and Transitions,1800-2015. google scholar
• Mesagan, E. P., Alimi, O. Y., & Vo, X. V. (2022). The asymmetric effects of exchange rate on trade balance and output growth. The Journal of Economic Asymmetries, 26, e00272. google scholar
• Mwito, M. M., Mkenda, B. K., & Luvanda, E. (2021). The asymmetric J-curve phenomenon: Kenya versus her trading partners. Central Bank Review, 21, 25-34. google scholar
• Novy, D., & Taylor, A. M. (2020). Trade and uncertainty. The Review of Economics and Statistics, 102(4), 749-765. google scholar
• Ojaghlou, M., & Uğurlu, E. (2023). Is there a J-curve under COVID-19 effects. China Economic Journal, 16 (1), 44-62. google scholar
• Ongan, S. & Gocer, İ. (2020). The US-China trade war with increasing trade policy uncertainty. Journal of Chinese Economic and Foreign Trade Studies, Doi: 10.1108/JCEFTS-01-2020-0002. google scholar
• Osnago, A., Piermartini, R., & Rocha, N. (2015). Trade policy uncertainty as barrier to trade. WTO staff working paper, no. ERSD-2015-05. google scholar
• Geneva: World Trade Organization (WTO). https://doi.org/10.30875/6c9ef04c-en. google scholar
• Özçelik, O. (2022). Ekonomi ve dış ticaret politikalarındaki belirsizliğinin ABD-Çin dış ticaret dengesine etkileri: Fourier ADF ve genişletilmiş ARDL ile bir analiz. Fiscaoeconomia, 6 (3), 1071-1102. google scholar
• Parray, W. A., Bhat, J. A., Yasmin, E., & Bhat, S. A. (2023). Exchange rate changes and the J-curve effect: Asymmetric evidence from a panel of five emerging market economies. Foreign Trade Review, 1-20. google scholar
• Petrovic, P., & Gligoric, M. (2010). Exchange rate and trade balance: J-curve effect. Panoeconomicus, 1, 23-41. google scholar
• Pierce, J.R., & Schott, P.K. (2016). The surprisingly swift decline of US manufacturing employment. The American Economic Review, 106, 1632-1662. google scholar
• Rehman, H. U., & Afzal, M. (2004). The J curve phenomenon: An evidence from Pakistan. Pakistan Economic and Social Review, 41 (1-2), 45-58. google scholar
• Shapiro, M., & Watson, M. (1988). Sources of business cycle fluctuations. NBER Macroeconomic Annual, 3, 111-156. google scholar
• Shirvani, H., & Wilbratte, B. (1997). The relationship between the real exchange rate and the trade balance: An empirical reassessment, International Economic Journal, 11(1), 39-50. google scholar
• Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48, 1-48. google scholar
• Sims, C. A. (1986). Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 2-16. google scholar
• Sivrikaya, A., & Ongan, S. (2019). BREXIT and the J-curve hypothesis for the UK: A nonlinear ARDL approach. Sosyoekonomi, 27 (40), 229-239. google scholar
• Steinberg, J.B. (2019). Brexit and the macroeconomic impact of trade policy uncertainty. Journal of International Economics, 117, 175-195. google scholar
• Tam, P. S. (2018). Global trade flows and economic policy uncertainty. Applied Economics, 50, 3718-3734. google scholar
• Tian, J., Sim, N., Yan, W., & Li, Y. (2020). Trade uncertainty, income, and democracy. Economic Modelling, 90, 21-31. google scholar
• Truong, L. D., & Vo, D. V. (2023). The asymmetric effects of exchange rate on trade balance of Vietnam. Heliyon, 9, e14455. google scholar
• Tuncay, Ö., & Özkan, G. (2020). Gelişmekte olan ülkelerde reel döviz kurları ile dış ticaret ilişkisi. Sosyal, Beşerî ve İdari Bilimler Dergisi, 3 (11), 871-884. google scholar
• Vergil, H., & Erdoğan, S. (2009). Döviz kuru-ticaret dengesi ilişkisi: Türkiye örneği. ZKÜ Sosyal Bilimler Dergisi, 5 (9), 35-57. google scholar
• Wang, F. & Wu, M. (2023). How does trade policy uncertainty affect China’s economy and energy?. Journal of Environmental Management, 330, 117198. google scholar
• Yamak, R., & Korkmaz, A. (2005). Reel döviz kuru ve dış ticaret dengesi ilişkisi. Ekonometri ve İstatistik, 2, 11-29. google scholar
• Yaman-Songur, D. (2023). ABD ticaret belirsizliğinin Dolar-TL kuru üzerine etkisi. Üçüncü Sektör Sosyal Ekonomi Dergisi, 58(1), 231-243. google scholar
• Yu, M., Fan, J., Wang, H., & Wang, J. (2023). US trade policy uncertainty on Chinese agricultural imports and exports: An aggregate and product-level analysis. International Review of Economics and Finance, 84, 70-83. google scholar