INTERACTIONS BETWEEN SHORT, LONG-TERM INTEREST RATES AND REAL EXCHANGE RATE WITHIN SVAR FRAMEWORK

Yıl 2018, , 1 - 16, 31.01.2018

Kaya Tokmakçıoğlu , Oğuzhan Özçelebi

https://doi.org/10.18354/esam.340725

Öz

After the 2008-2009 financial crisis, national
and international spillover effects of FED's monetary policies have become the
subject of many scientific studies. In this study, the relationship between US
overnight Interbank rates, 10-year US and UK bond rates and the US real
exchange rate was examined using the Blanchard-Quah type structured VAR (SVAR)
model. The finding that the contractionary monetary policy in the US will lead
to appreciation of the real exchange rate has also been supported by the variance
decomposition analysis which is in line with the Mundell-Fleming model. Another
result of the study is that the contractionary monetary policy in the US will
increase confidence in the US economy and lead to significant capital inflows.
The study also indicated that changes in the US monetary policy would have
impact on the central bank and money market in the UK. Our SVAR model highlights
the role of short-term interest rates of the US to mitigate fluctuations in
money, good and foreign exchange markets.

Anahtar Kelimeler

SVAR, real exchange rate, bond yield

YAPISAL VAR MODELİ ÇERÇEVESİNDE KISA VE UZUN VADELİ FAİZ ORANLARI İLE REEL DÖVİZ KURU ARASINDAKİ ETKİLEŞİM

Öz

2008-2009
finansal krizinden sonra FED’in uyguladığı para politikalarının ulusal ve
uluslararası ölçekteki yayılma etkisi birçok bilimsel çalışmanın konusu haline
gelmiştir. Bu çalışmada, ABD gecelik Interbank borçlanma faizleri, 10-yıllık
ABD ve İngiltere tahvil faizi ve ABD reel döviz kuru arasındaki ilişkiler Blanchard-Quah
tipi yapısal VAR (SVAR) modeliyle incelenmiştir. ABD’deki daraltıcı para
politikasının reel döviz kurunun değer kazanmasına neden olacağı bulgusuna
ulaşılmış, Mundell-Fleming modeli doğrultusundaki ilgili sonuç varyans
ayrıştırması analiziyle de desteklenmiştir. Çalışmanın bir diğer bulgusu ise
ABD’de uygulanacak daraltıcı para politikasının ABD ekonomisine yönelik güveni
arttıracağı ve kayda değer sermaye girişlerine neden olacağıdır. Çalışma
sonuçları ayrıca ABD’deki para politikasındaki değişikliklerin İngiltere merkez
bankası ve para piyasası üzerinde yansıma bulacağına işaret etmiştir. SVAR
modelimiz, para, mal ve döviz piyasasındaki dalgalanmaların hafifletilmesinde
ABD’deki kısa vadeli faizlerin rolünün altını çizmiştir.

Anahtar Kelimeler

Yapısal VAR, reel döviz kuru, tahvil faizi

Kaynakça

• Aftab, M., Ahmad, R., Ismail, I. (2017). Examining the uncovered equity parity in the emerging financial markets. Research in International Business and Finance, http://dx.doi.org/10.1016/j.ribaf.2017.07.154.
• Ames, M., Bagnarosa, G., Peters, G.W. (2017). Violations of uncovered interest rate parity and international exchange rate dependences. Journal of International Money and Finance, 73(Mayıs), s. 162-187.
• Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions & Money, 22(5), s. 1091-1109.
• Balvers, R.J., Klein, A.F. (2014). Currency risk premia and uncovered interest parity in the International CAPM. Journal of International Money and Finance, 41, s. 214-230.
• Bekaert, G., Wei, M., Xing, Y. (2007). Uncovered interest rate parity and the term structure. Journal of International Money and Finance, 26(6), s. 1038-1069.
• Beyaert, A., Solanes, J.G., Castejón, J.J.P. (2007). Uncovered interest parity with switching regimes. Economic Modelling, 24(2), s. 189-202.
• Bjørnland, H.C. (2008). Monetary Policy and Exchange Rate Interactions in a Small Open Economy. The Scandinavian Journal of Economics, 110(1), s. 197-221.
• Bjørnland, H.C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79(1), s. 64-77.
• Bhatti, R.H. (2014). The existence of uncovered interest parity in the CIS countries. Economic Modelling, 40(Haziran), s. 227-241.
• Brooks, C. (2008). Introductory Econometrics for Finance. New York: Cambridge University Press.
• Boschen, J.F., Smith, K.J. (2016). The uncovered interest rate parity anomaly and trading activity by non-dealer financial firms. International Review of Economics and Finance, 45(Eylül), s. 333–342.
• Breitung, J., Brüggemann, R., Lütkepohl, H. (2004). Structural Vector Autoregressive Modeling and Impulse Responses. H. Lütkepohl & M. Krätzig (Ed.), Applied Time Series Econometrics içinde (s. 159-196). New York: Cambridge University Press.
• Chaboud, A.P., Wright, J.H. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), s. 349-362.
• Chinn, M.D., Meredith, G. (2004). Monetary Policy and Long-Horizon Uncovered Interest Parity. IMF Staff Papers, 51(3), s. 409–430.
• Cuestas, J.C., Filipozzi, F., Staehr, K. (2015). Do foreign exchange forecasters believe in Uncovered Interest Parity? Economics Letters, 133, s. 92-95.
• Dimitriou, D., Kenourgios, D., Simos, T. (2017). Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets. Economic Modelling, 66(Kasım), s. 112-120.
• Fleming, J.M. (1962). Domestic Financial Policies under Fixed and under Floating Exchange Rates. IMF Staff Papers, 9(3), s. 369–380.
• Ismailov, A., Rossi, B. (2017). Uncertainty and deviations from uncovered interest rate parity. Journal of International Money and Finance, http://dx.doi.org/10.1016/j.jimonfin.2017.07.012.
• JMulTi (Time Series Analysis with Java) Econometric Software Help System. (2008). Version 4.23.
• Lee, B.J. (2013). Uncovered interest parity puzzle: Asymmetric responses. International Review of Economics and Finance, 27(Haziran), s. 238-249.
• Lothian, J.R. (2016). Uncovered interest parity: The long and the short of it. Journal of Empirical Finance, 36(Mart), s. 1-7.
• Lubik, T.A., Schorfheide, F. (2007). Do central banks respond to exchange rate movements? A structural investigation. Journal of Monetary Economics, 54(4), s. 1069-1087.
• Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Berlin: Springer.
• Lütkepohl, H. (2007). Univariate Time Series Analysis. H. Lütkepohl & M. Krätzig (Ed.), Applied Time Series Econometrics içinde (s. 8-85). New York: Cambridge University Press.
• Marins, J.T.M., Vicente, J.V.M. (2017). Do the central bank actions reduce interest rate volatility? Economic Modelling, 65(Eylül), s. 129-137.
• Moore, M.J., Roche, M.J. (2012). When does uncovered interest parity hold? Journal of International Money and Finance, 31(4), s. 865-879.
• Mundell, R. (1968). International Economics. New York: Macmillan.
• Pantula, S.G. (1989). Testing for Unit Roots in Time Series Data. Econometric Theory, 5(2), s. 256-271.
• Park, C., Park, S. (2017). Can monetary policy cause the uncovered interest parity puzzle? Japan and the World Economy, 41, s. 34-44.
• Tang, K.B. (2011). The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries. Economic Modelling, 28(1-2), s. 568-573.
• Zettelmeyer, J. (2004). The impact of monetary policy on the exchange rate: evidence from three small open economies. Journal of Monetary Economics, 51(3), s. 635-652.