EMPIRICAL INVESTIGATION OF TURKISH LIRA REAL EFFECTIVE EXCHANGE RATES IN NONLINEAR NATURE

Öz

In this paper, the tendency properties of Turkish real effective exchange rate with an inaction band are examined in nonlinear nature. The general SETAR (3) model is used. This is a convenient way of presenting the inactivity band caused by the transfer costs and other factors. In this modelling, the stationarity is defined globally which is allow to unit root in the corridor regime but the outers regimes must be a mean reverting process. The data are used de-meaned and de-trended form. For de-meaned data, we execute both the linearity and the stationarity tests. For de-trended data, only the linearity test is executed. According to our empirical results, the statistical evidence is poor for the validity of PPP in even nonlinear nature. The null of unit root is not rejected for the CPI based reel effective exchange rate and it is rejected only 5% significance level for PPI based one. However, take into account possibility of the existence of trend component, Turkish real effective exchange rates are well characterized by nonlinear process with inactivity band and a tendency property. While these findings support the transaction costs hypothesis, they do not strongly support the validity of the PPP hypothesis.

Anahtar Kelimeler

• Nonlinear adjustment
• Purchasing power parity
• Transaction cost
• SETAR

TÜRK LİRASI REEL EFEKTİF DÖVIZ KURLARININ DOĞRUSAL OLMAYAN YAPIDA AMPİRİK İNCELEMESİ

Öz

Bu çalışmada, Türk lirası reel efektif döviz kurlarının doğrusal olmayan nitelikteki eğilim özellikleri genel SETAR (3) model kullanılarak incelenmiştir. SETAR (3) model, transfer maliyetleri ve diğer faktörlerin neden olduğu hareketsizlik bandını göstermenin uygun bir yoludur. Bu modellemede, durağanlık global olarak tanımlanmaktadır. Global durağan süreçte koridor rejim birim kök sürecine sahip olabilirken, dış rejimler ortalamaya yönelen bir sürece sahip olması gerekmektedir. Analiz, ortalamadan ve eğilimden arındırılmış veriler için ayrı ayrı gerçekleştirilmiştir. Ortalamadan arındırılmış veriler için, hem doğrusallık hem de durağanlık testleri uygulanmıştır. Eğilimden arındırılmış veriler için ise yalnızca doğrusallık testi gerçekleştirilmiştir. Analiz sonuçlarına göre, CPI bazlı reel efektif döviz kuru için birim kök boş hipotezi reddedilememişken ve ÜFE bazlı olan için sadece% 5 anlamlılık seviyesinde ret edilebilmiştir. Buna göre doğrusal olmayan yapıda bile PPP'nin geçerliliği için istatistiksel kanıtlar zayıftır. Bununla birlikte trend bileşeninin var olma olasılığını hesaba katıldığında, Türk lirası reel efektif döviz kurları bir hareketsizlik bandının çevresinde yakınsama özelliğine sahip olduğuna yönelik güçlü istatistikler kanıtlar bulunmaktadır. Bu sonuçlar işlem maliyeti hipotezini desteklemekte iken satın alma gücü paritesi hipotezini güçlü bir şekilde desteklememektedir

Anahtar Kelimeler

• Doğrusal olmayan ayarlama
• Satın alma gücü paritesi
• İşlem maliyetleri
• SETAR

Kaynakça

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