2008 Krizi Döneminde Türkiye’de Döviz Piyasası Baskısının İncelenmesi: Mevsimsel Eşbütünleşme Analizi

Öz

Ülkeleri etkileyen sistematik risk faktörleri büyük öneme sahip olup özellikle kriz dönemlerinde daha da öncelikli hale gelmektedir. Sistematik risk faktörlerinden birisi de kur riski olup döviz piyasası baskısı (DPB) bu riskin bir göstergesi olarak alınmaktadır. Bu çalışmada, 2008 küresel kriz döneminde Türkiye’de DPB ve DBP üzerinde etkili olan değişkenler arasında mevsimsel eştümleşmenin olup olmadığı 2004-2012 dönemi için araştırılmıştır. Çalışmada cari açık, gösterge tahvil faiz oranı, toplam yükümlülükler ve VIX endeksi ile DPB arasındaki ilişki incelenmiştir. Uygulamanın ilk aşamasında, aylık veriler için geliştirilen HEGY sınaması kullanılarak serilerdeki mevsimsel birim kökün varlığı incelenmiştir. Değişkenlerin durağanlık düzeyleri belirlendikten sonra değişkenler arasındaki uzun dönemli ilişki mevsimsel eştümleşme modeli kurularak incelenmiştir. Elde edilen bulgular serilerin mevsimsel birim kök içerdiği ve eşbütünleşik olduğu yönündedir. Tüm modellerde eştümleşme sonucu veren ±5 /6 frekansına göre bağımsız değişkenler ile DPB arasında pozitif ilişki saptanmıştır

Anahtar Kelimeler

• Döviz piyasası baskısı,kriz,HEGY sınaması,mevsimsel birim kök,mevsimsel eştümleşme

Investigating Exchange Market Pressure in Turkey in the 2008 Crisis Period: Seasonal Cointegration Analysis

Öz

Systematic risk factors are very important for economies and their impact becomes significant especially in a crisis period. One of the systematic risk factors is exchange rate risk and exchange market pressure (EMP) is taken as an indicator of exchange rate risk. In this study, we have analysed the existence of the seasonal cointegration between EMP and the variables effecting EMP in Turkey for the 2008 global crisis period . We have investigated the relationship between EMP, current account deficit, benchmark bond interest rate, total liabilities and the VIX index. In the first step of the empirical application the HEGY test adapted for monthly data, is used to determine the existence of seasonal unit root in the variables. After the determination of stationarity of the variables, a long run relationship between the variables is investigated using seasonal cointegration model. The results show that the variables have seasonal unit root and they are seasonally cointegrated. In the model which has all components at ±5 /6, we have found that all variables have a positive relationship with EMP

Anahtar Kelimeler

• Exchange market pressure,crisis,HEGY test,seasonal unit root,seasonal cointegration

Kaynakça

1. AIZENMAN, Joshua ve HUTCHISON, Michael.; (2010), “Ex- change Market Pressure and Absorption By International Re- serves: Emerging Markets and Fear of Reserve Loss During
2. The 2008-09 Crisis”, NBER Working Paper Series.
3. AIZENMAN, Joshua, LEE, Jaewuu ve SUSHKO, Vladyslav.; “From The Great Moderation to The Global Crisis: Exchange Market Pressure in The 2000S”, NBER Working Paper Series, Number: 16447.
4. AKGÜL, Işıl., (1997) .; “Mevsimsel Birim Kök Testleri ve Bir Uygulama”, M.Ü. İstatistik ve Ekonometri Uygulama ve Araştırma Merkezi, İstanbul.
5. ALTINAY, Galip; (2010) .; “Aylık Elektrik Talebinin Mevsimsel
6. Model ile Orta Dönem Öngörüsü”, Enerji, Piyasa ve Düzen- leme, 1(1), ss.1-23. AYVAZ, Özlem; (2006) .; “Mevsimsel Birim Kök Testi”, Atatürk
7. Üniversitesi İİBF Dergisi, 20(1), ss.71-87. BEAULIEU, J. Joseph ve MIRON, Jeffry A.; (1993), “ Seasonal
8. Unit Roots in Aggregate Us Data”, Journal of Econometrics, , ss.305–328. BEAULIEU, J. Joseph ve MIRON, Jeffry A.; (1991), “The Sea- sonal Cycle in U.S. Manufacturing. Economics Letters”, 37, ss.115–118.

9. BURDEKIN, Richard C.K., and BURKETT Paul.; (1990), “A
10. Re-Examination of the Monetary Model of Exchange Market Pressure: Canada, 1963-1988,” The Review of Economics and Statistics, 72(4), ss. 677-681.
11. CAMINERO, Emilio ve DÍAZ-EMPARANZA, Ignacio.; (1997)
12. “Estimation and Testing of Cointegration Relationships with Strongly Seasonal Monthly Data”, KYBERNETIKA, 33 (6), ss.607-631. CANOVA, Fabio ve HANSEN, Bruce E.; (1995), “Are Seasonal
13. Patterns Constant Over Time? A Test for Seasonal Stability”, Journal of Business and Economic Statistics, 13, ss.237–252. CONNOLLY, Michael ve DA SİLVEİRA Jose Dantas.; (1979)
14. “Exchange Market Pressure in Postwar Brazil: An Asslication of The Girton-Roper Monetary Model”, The American Economic Review, 69(3), ss.448-454. ÇAĞLAYAN, Ebru.;(2003), “Yaşam Boyu Sürekli Gelir Hipotez- inde Mevsimsellik”, Marmara Üniversitesi İİBF Dergisi, 18 (1), ss.409-422.
15. DARNE, Oliver.; (2004), “Seasonal Cointegration for Monthly
16. Data”, Economics Letters, 82, ss.349–356. DAYI, Faruk ve AKDEMİR, Erdem.; (2016), “Döviz Piyasası
17. Baskısı Modellerinin Yapay Sinir Ağı İle Mukayesesi:Türkiye Uygulaması”, Akademik Araştırmalar ve Çalışmalar Dergisi, (15), ss151-168. DEMİR, Fatih ve MERT, Mehmet.; (2015), “Türkiye Sanayi
18. Üretim Endeksi’nde Mevsimsel Birim Kökün Araştırılması”, Yönetim ve Ekonomi Dergisi, 22(2), ss.415-431. DICKEY, David .A., HASZA, David .P.ve FULLER, Wayne A.; (1984), “Testing for Unit Roots in Seasonal Times Series” Jour- nal of the American Statistical Association, 79, ss.355-367.
19. DİNLER, Zeynel; (2000), İktisada Giriş, 6. Baskı, İstanbul.
20. ENGLE, Robert. F., GRANGER, C. W. J., HYLLEBERG, S. ve LEE, H. S.; (1993), “Seasonal Cointegration: The Japanese
21. Consumption Function” Journal of Econometrics, 55, ss.275- ENGLE, Robert F.ve GRANGER, Clive (1987); “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, ss.251-76.
22. ENGLE, Robert F. ve YOO, SAMB, Byung.; (1987); “Forecast- ing and Testing in Co-Integrated Systems” Journal of Econo- metrics, 35, ss.143–159.
23. ERTEM, Okan.; (2011), Küresel Finansal Dalgalanmaların
24. Gelişmekte Olan Ülke Döviz Rezervleri ve Kurları Üzerine Et- kisi, Türkiye Cumhuriyeti Merkez Bankası, Uzmanlık Yeterlilik Tezi. FERİDUN, Mete.; (2009), “Determinants of Exchange Market
25. Pressure in Turkey: An Econometric Investigation” Emerging Markets Finance and Trade, 45(2), ss.65-81. FRANSES, Philip H.; (1991), “Seasonality, Nonstationarity and Forecasting of Monthly Time Series” International Journal of Forecasting, 7, ss.199- 208.
26. GIRTON, Lance ve ROPER, Don.; (1977), “ A Monetary Model of Exchange Market Pressure Asslied to the Postwar Canadian
27. Experience”, American Economic Review, 67, ss.537-548. GRANGER, C. W. J. ve NEWBOLD, Paul.; (1974), “Spurious
28. Regressions in Econometrics”, Journal of Econometrics, 2, ss.111- 120. GÜREL, Sinem P. ve TİRYAKİOĞLU, Murad.; (2012), “Sea- sonal Unit Root: An Asslication to Turkish Industrial Produc- tion (4), ss.77-89.
29. HASZA, David P. ve FULLER, Wayne A.; (1982), “Testing for Nonstationary Parameter Specifications in Seasonal Time Se- ries Models”, Annuals of Statistics, 10, ss.1209–1216.
30. HYLLEBERG, S., ENGLE, R. F., GRANGER, C. W. J., ve YOO, SAMB, Byung.; (1990), “Seasonal Integration and Cointegra- tion”, Journal of Econometrics, 44, ss.215-238.
31. KIM, Inchul; (1985) “Exchange Market Pressure in Korea: An
32. Asslication of the Girton-Roper Monetary Model”, Journal of Money, Credit and Banking, 17(2), ss.258-263. INDURUWAGE, D., TILAKARATNE, C. D. ve RAJAPAKSHA, S.R.M.S.P.; (2016), “ Forecasting Black Tea Auction Prices by
33. Capturing Common Seasonal Patterns”, Sri Lankan Journal of Asslied Statistics, 16(3), ss.195-214. JOHANSEN, Soren ve SHAUMBURG, Ernst.; (1999), “Likeli- hood Analysis of Seasonal Cointegration”, Journal of Econo- metrics, 88, ss.301–339.
34. KAMALAY, Ahmet ve ERBİL, Neşe.; (2000), “A VAR Analysis of Exchange Market Pressure: A Case Study For The MENA
35. Region”, University of Maryland College Park and George Washington University Working Paper:2025.
36. KAMİNSKY, Graciela ve REİNHART, Carmen.; (1999), “The
37. Twin Crisis: The Causes of Banking And Balance of Payment Problem”, American Economic Review, 89(3), ss.473-500. KIZILGÖL, Özlem A.; (2011), “Mevsimsel Eşbütünleşme Testi
38. Türkiye’nin Makroekonomik Verileriyle Bir Uygulama”, Atatürk Üniversitesi İİBF Dergisi, 25(2), ss.13-25. KUNST, Robert. M.; (1997); “Testing for Cyclical Non-Sta- tionarity in Autoregressive Processes”, Journal of Time Series Analysis, 18, ss.325- 330.
39. LEE, Hahn S.; (1992), “Maximum Likelihood Inference on Coin- tegration and Seasonal Cointegration” Journal of Economet- rics, 54 (1-2), ss.1-47.
40. MERT, Mehmet ve DEMİR, Fatih.; (2014), “Mevsimsel Eşbütünleşme ve Mevsimsel Hata Düzeltme Modeli: İthalat- İhracat Verileri Üzerine Bir Uygulama”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(4), ss.11-24.
41. NELSON, Charles R. ve PLOSSER, Charles I.; (1982), “ Trends and Random Walks in Macroeconomic Time Series”, Journal of
42. Monetary Economics, 10, ss.139–162. OSBORN, Denise R., CHUİ, A. P. L., Smith, Jeremy P., ve Birchenhall, C. R.; (1988), “Seasonality and The Order of In- tegration for Consumption”, Oxford Bulletin of Economics and Statistics, 50, ss.361–377.
43. OSBORN, Denise R.; (1990), “A Survey of Seasonality in UK
44. Macro Economic Variables”, International Journal of Forecast- ing, 6, ss.327–336. PARLAKTUNA, İnci.; (2005), “Exchange Pressure in Turkey 2004: An Asslication of the Girton-Roper Monetary Mod- el”, International Econonmic Journal, 19(1), ss.51-62.
45. POECK,A. Van, VANNESTE, Jacquest, ve VEINER Maret; (2007) .; “Exchange Rate Regimes and Exchange Market
46. Pressure in the New EU Member States.” Journal of Common Market Studies, 45(2): ss. 459–485. PONS, Gabriel.; (2006), “Testing Monthly Seasonal Unit Roots with Monthly and Quarterly Information”, Journal of Time Se- ries Analysis, 27(2), ss.191-209.
47. RODRIGUES Paulo M. M. ve DENISE Osborn R.; (1999) “Per- formance of Seasonal Unit Root Tests for Monthly Data”, Jour- nal of Asslied Statistics, 26(8), ss.985-1004.
48. RONDEROS, Nicolas.; (2015), Seasonal Unit Root Test in: ADD-INS, E. (ed.).
49. ROPER, E. Don ve TURNOVSKY, J. Stephen.; (1980)“Op- timal Exchange Market Intervention in A Simple Stochastic
50. Macro Model”, The Canadian Journal of Economics, 13(2), ss.296-309. SANSO, A., SURINADI, J. ve ARTİS, M.; (1997), “A Two-Step
51. Procedure for The Estimation and Testing of Seasonal Cointe- gration in Monthly Data”, Unpublished Manuscript, Department of Econometric, University of Barcelona. SPOLANDER, Mikko.; (1999), “Measuring Exchange Market
52. Pressure and Central Bank Intervention”, Bank of Findland Studies, E:17. TEKİN, Keziban ve AKDİ, Yılmaz.; (2014),“Mevsimsel Birim
53. Kök Testleri: Türkiye Sanayi Üretim Endeksi Üzerine Bir Uygu- lama” Gazi Üniversitesi Sosyal Bilimler Dergisi, 1(1), ss.20-37. TÜRE, Hasan ve AKDİ, Yılmaz.; (2005), “Mevsimsel Kointegra- syon: Türkiye Verilerine Bir Uygulama”. VII. Ulusal Ekonometri ve İstatistik Sempozyumu, İstanbul.
54. VAN, Poech A., VANNESTE, Jaques. ve VEINER, Maret.; (2007),“Exchange Rate Regimes and Exchange Market Pres- sure in The New EU Member States”, Journal of Common Mar- ket Studies, 45(2), ss.459-485.
55. YAMAK, Rahmi ve SİVRİ, Uğur.; (1998), “Türk Sanayi Üreti- minde Mevsimsellik” İktisat, İşletme ve Finans Dergisi, 13(147), ss.33-41.
56. YORGANCILAR, Fatma Nur ve SOYDAL, Haldun.; (2016), “
57. Analysis of Exchange Market Pressure Index With the Selected Data: Case of Turkey”, Journal of Social Science, 3(6), ss.409