Currency Substitution Process and Hyperinflationary Dynamics in Turkey: An Econometric Analysis

Yıl 2022, , 861 - 883, 27.12.2022

K. Batu Tunay

https://doi.org/10.17065/huniibf.1038597

Öz

After a long period of price stability, Turkey has started to experience inflationary pressures again. Due to the increasing inflation rates after 2017, the currency substitution process accelerated. The exchange rate shocks experienced in the recent period has accelerated the flight from the national currency, and the demands of economic units for both foreign currency and consumption have increased. These developments led to the questioning of the possibility of increasing inflationary pressures to evolve into hyperinflation. In this context, the aim of the study is to econometrically analyze the hyperinflationary dynamics in Turkey. The model developed by Moosa (2000) to analyze the German hyperinflation in the 1920s was adapted for Turkey. The parameter estimates obtained for Turkey were compared with those of the original model and it was determined that the value measurement and storage functions of the national currency weakened. It has also been observed that the change in money supply has a strong effect on exchange rates. These findings show that the effectiveness of monetary policies has decreased and the inflationary process may become stronger.

Anahtar Kelimeler

Currency substitution, hyperinflation, currency shocks, state-space models

TÜRKİYE’DE PARA İKAMESİ SÜRECİ VE HİPERENFLASYONİST DİNAMİKLER: EKONOMETRİK BİR ANALİZ

Öz

Türkiye uzun bir fiyat istikrarı sürecinin ardından yeniden enflasyonist baskılar yaşamaya başlamıştır. 2017 sonrasında giderek artan enflasyon oranları nedeniyle para ikamesi süreci hız kazanmıştır. Son dönemde yaşanan kur şokları ulusal paradan kaçışı artırmış, ekonomik birimlerin hem yabancı paraya hem de tüketime yönelik talepleri yükselmiştir. Söz konusu gelişmeler, güçlenen enflasyonist baskıların bir hiperenflasyona evrilme olasılığının sorgulanmasına yol açmıştır. Bu bağlamda çalışmanın amacı, Türkiye’de hiperenflasyonist dinamiklerin ekonometrik olarak analiz edilmesidir. Moosa’nın (2000) 1920’lerdeki Alman hiperenflasyonunu analiz etmek için geliştirdiği model Türkiye’ye uyarlanmıştır. Türkiye için yapılan parametre tahminleri, orijinal modelinkilerle karşılaştırılmış ve ulusal paranın değer ölçme ve saklama işlevlerinin zayıfladığı belirlenmiştir. Para arzındaki değişimin kurlar üzerinde güçlü bir etkisi olduğu da görülmüştür. Bu bulgular, para politikalarının etkinliğinin düştüğünü ve enflasyonist sürecin daha da şiddetlenebileceğini göstermektedir.

Anahtar Kelimeler

Para ikamesi, hiperenflasyon, kur şokları, durum-uzay modelleri

Kaynakça

• Arce, O. J. (2009). Speculative hyperinflations and currency substitution. Journal of Economic Dynamics & Control, 33, 1808-1823. https://doi.org/10.1016/j.jedc.2009.03.007
• Cagan, P. (1956). The monetary dynamics of hyperinflation. Studies in the Quantity Theory of Money, Ed. M. Friedman, Chicago: University of Chicago Press, 25-117.
• Calvo, G. A., & Vegh, C.A. (1993). Currency cubstitution in high inflation countries. IMF, Finance & Development, March, 34-37. https://doi.org/10.5089/9781451953077.022
• Chang, S. S. (2006). Inflation and dollarization in a dual-currency dearch-theoretic model. Economic Letters, 92, 353-359. https://doi.org/10.1016/j.econlet.2006.03.017
• Christiano, L. J. (1981). Rational expectations, hyperinflation, and the demand for Money. Federal Reserve Bank of Minneapolis, Research Department Working Paper, No. 163, November.
• Frenkel, J.A. (1976). A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. Scandinavian Journal of Economics, 78, 200–224. https://doi.org/10.2307/3439924
• Garcia, M. P. P. (1996). Avoiding some costs of inflation and crawling toward hyperinflation: The case of the Brazilian domestic currency substitute. Journal of Development Economics, 51, 139-159. https://doi.org/10.1016/S0304-3878(96)00429-4
• Goodfriend, M. (1979). An alternate method of estimating the Cagan money demand function in hyperinflation under rational expectations. Federal Reserve Bank of Richmond Working Papers, No. 79-5, September.
• Harvey, A.C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge. https://doi.org/10.1017/CBO9781107049994 Lebre de Freitas, M. (2004). The dynamics of inflation and currency substitution in a small open economy. Journal of International Money and Finance, 23, 133-142. https://doi.org/10.1016/j.jimonfin.2003.10.003
• Moosa, I. A. (2000). A structural time series test of the monetary model of exchange rates under the German hyperinflation. Journal of International Financial Markets, 10, 213-223. https://doi.org/10.1016/S1042-4431(99)00033-5
• Obstfeld, M., & Rogoff, K. (1983). Speculative hyperinflations in maximizing models: Can we rule them out? Journal of Political Economy, 91, 675-687. https://doi.org/10.1086/261171
• Obstfeld, M., & Rogoff, K. (2020). Revisiting speculative hyperinflations in monetary models. Review of Economic Dynamics, 40, 1-11. https://doi.org/10.1016/j.red.2020.08.004
• Pesaran, M.H., Shin Y., & Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
• Sargent, T. J. (1977). The demand for money during hyperinflations under rational expectations: I. International Economic Review, 18(1), 59-82. https://doi.org/10.2307/2525769
• Sargent, T. J., & Wallace, N. (1973). Rational expectations and the dynamics of hyperinflation. International Economic Review, 14, 328-350. https://doi.org/10.2307/2525924
• Sturzenegger, F. (1992). Hyperinflation with currency substitution: Introducing an indexed currency. NBER Working Paper Series, No. 4184, October. https://doi.org/10.3386/w4184
• Tunay, K. B. (2001). Hiperenflasyon ve hiperenflasyon sürecinde para ikamesi: Teori, politika ve uygulama. İstanbul, Beta Yayınevi.