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THE EFFECTS OF THE BUDGET DEFICITS ON THE REAL EXCHANGE RATE: AN APPLICATION FOR TURKISH ECONOMY

Yıl 2014, , 13 - 30, 01.09.2014
https://doi.org/10.17130/ijmeb.2014.10.23.681

Öz

In this study, the effects of public financial discipline on real exchange rate, which is one of the basic indicators of external economic balance has been examined. The results of the bound tests conducted for Turkish economy between January, 1994 and December, 2012 show that inflation and increase in budget deficit lead to a rise in real exchange rate. The tests also reveal a highly significant relationship between general price rates and real exchange rates

Kaynakça

  • Abell, J. D. (1990). The role of the budget deficit during the rise in the dollar exchange rate from 1979-1985. Southern Economic Journal, 57(1), 66-74.
  • Agenor, P., McDermott C. J., & Üçer, M. (1997). Fiscal imbalances, capital inflows, and the real exchange rate: the case of Turkey. European Economic Review, 41(3), 819-825.
  • Annicchiarico, B., Marini, G. & Piersanti, G. (2011). Budget deficits and exchange-rate crises. International Economic Journal, 25(2), 285–303.
  • Asteriou, D., & Hall, S. G. (2007). Applied econometrics, New York: Palgrave Macmillan,.
  • Busse, M., & Hefeker, C. (2007). Political risk, ınstitutions and foreign direct ınvestment. European Journal of Political Economy, 23(2), 397-415.
  • Canzoneri, M. B., Cumby, R. E., & Diba, B. T. (2001). Fiscal discipline and exchange rate systems. The Economic Journal, 111(October), 667-690.
  • Carrera, C. M., & Rodrigo, V. (2012). Fiscal sustainability: the impact of real exchange rate shocks on debt valuation, interest rates and gdp growth. World Development, 40(9), 1762-1783.
  • Devereux, M. B. (1995). Anticipated budget deficits and the real exchange rate. The Canadian Journal of Economics, Special Issue: Essays in International Economics in Honour of Douglas Purvis, 28, 207- 220
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Dornbusch, R. (1984). External debt, budget deficits and disequilibrium exchange rates. NBER Working Paper Series, Working Paper No. 1336
  • Dökmen, G. & Aysu, A. (2010). Hükümet istikrarının doğrudan yabancı yatırımlar üzerindeki etkisi: gelişmekte olan ülkelere ilişkin ampirik bir çalışma. Journal of Yasar University, 18(5), 3028-3037.
  • Drine, I. & Rault, C. (2001). Long-Run determinants of real exchange rate: new evidence based on panel data unit root and cointegration tests for mena countries. Money, Macro and Finance Conference (MMF), http://www.mafhoum.com/press3/97E14.pdf, Erişim Tarihi: 12.06.2013.
  • Edwards, S. (1989). Real exchange rates, devaluation, and adjustment: exchange rate policy in developing countries. Cambridge, MA: MIT press.
  • Enders, Z., Müller, G. J. & Scholl A. (2011). How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States. Journal of International Economics. 83(1), 53-69.
  • Enders, W. (1995). Applied econometric time series. New York: John Wiley&Sons, Inc.
  • Feldstein, M. (1986). The budget deficit and the dollar. in NBER Macroeconomics Annual - 1986, Stanley Fischer (edt.), Cambridge: MIT Press.
  • Gavin, M. & Perotti, R. (1997). Fiscal policy in Latin America. NBER Macroeconomics Annual, 12, 11-61.
  • Gülcan, Y. & Bilman, M. E. (2005). The effects of budget deficit reduction on exchange rate: evidence from Turkey. Dokuz Eylül University DP Series, 05/07.
  • Hakkio, C.S. (1996). The effects of budget deficit reduction on the exchange rate. Economic Review, 3rd Quarter. Federal Reserve Bank of Kansas City, 21-38.
  • Hutchison, M. M. & Throop, A. W. (1985). U.S. budget deficit and the real value of the dollar. The Federal Reserve Bank of San Francisco’s Economic Review, 4, 26-43.
  • IMF (1996). Fiscal challenges facing industrial countries. World Economic Outlook, 44-62, http://www.allbusiness.com/government/ 558940-1.html, Erişim Tarihi: 10.05.2012.
  • Khan, M. S. & Lizondo, J. S., (1987). Devaluation, fiscal deficits, and the real exchange rate. The World Bank Economic Review, 1(2), 357-374.
  • Kim, S. & Roubini, N. (2008). Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the US. Journal of International Economics, 74(2), 362-383.
  • Lee, J. & Strazicich, M. C. (2001). Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), 535-558.
  • Lee, J. & Strazicich, M. C. (2003). Minimum lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • MacKinnon, J. G. (2010). Critical values for cointegration tests. Queen’s Economics Department Working Paper, 1227.
  • Monacelli, T. & Perotti, R. (2010). Fiscal policy, the real exchange rate and traded goods. The Economic Journal, 120(544), 437-461.
  • Nakibullah, A. (1993). Comovements of budget deficits, exchange rates, and outputs of traded and non-traded goods. Economic Inquiry, 31(2), 298-313.
  • Ng, S., & Perron, P. (1995). Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag. Journal of the American Statistical Association, 90, 268–281.
  • Pesaran, B. & Pesaran M. H. (2010). Time series econometrics using Microfit 5.0: a user’s manual. Oxford University Press, Inc.
  • Pesaran, M. H. & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. http://www.econ.cam.ac.uk /faculty/pesaran/ardl.pdf, Erişim Tarihi: 11.08.2010.
  • 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.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.
  • Sachs, J. D. & Wyplosz, C. (1984). Real exchange rate effects of fiscal policy. NBER Working Paper Series, 1255.
  • Sims, C. A. (1994). A simple model for the study of the determination of the price level and the interaction of monetary and fiscal policy. Economic Theory, 4, 381-399.
  • Tornell, A. & Velasco, A. (1995). Fiscal policy and the choice of exchange rate regime. European Economic Review, 39(3-4), 759-770.
  • Woodford, M. (2001). Fiscal requirements for price stability. Journal of Money, Credit and Banking, 33(3), 669-728.

BÜTÇE AÇIKLARININ REEL DÖVİZ KURU ÜZERİNDEKİ ETKİLERİ: TÜRK EKONOMİSİ ÜZERİNE BİR UYGULAMA

Yıl 2014, , 13 - 30, 01.09.2014
https://doi.org/10.17130/ijmeb.2014.10.23.681

Öz

Bu çalışmada kamu malî disiplininin dış ekonomik dengenin temel göstergelerinden olan reel döviz kuru üzerindeki etkileri incelenmektedir. Türk ekonomisinde 1994:01-2012:12 dönemi için ARDL sınır testi kullanılarak yapılan analizlerin sonuçları, enflasyonun ve bütçe açıklarındaki artışın reel döviz kurunun yükselmesine neden olduğunu göstermektedir. Ayrıca analizler sonucunda fiyatlar genel seviyesinin reel döviz kurunu yüksek seviyede etkilediği bulgusuna ulaşılmıştır.

Kaynakça

  • Abell, J. D. (1990). The role of the budget deficit during the rise in the dollar exchange rate from 1979-1985. Southern Economic Journal, 57(1), 66-74.
  • Agenor, P., McDermott C. J., & Üçer, M. (1997). Fiscal imbalances, capital inflows, and the real exchange rate: the case of Turkey. European Economic Review, 41(3), 819-825.
  • Annicchiarico, B., Marini, G. & Piersanti, G. (2011). Budget deficits and exchange-rate crises. International Economic Journal, 25(2), 285–303.
  • Asteriou, D., & Hall, S. G. (2007). Applied econometrics, New York: Palgrave Macmillan,.
  • Busse, M., & Hefeker, C. (2007). Political risk, ınstitutions and foreign direct ınvestment. European Journal of Political Economy, 23(2), 397-415.
  • Canzoneri, M. B., Cumby, R. E., & Diba, B. T. (2001). Fiscal discipline and exchange rate systems. The Economic Journal, 111(October), 667-690.
  • Carrera, C. M., & Rodrigo, V. (2012). Fiscal sustainability: the impact of real exchange rate shocks on debt valuation, interest rates and gdp growth. World Development, 40(9), 1762-1783.
  • Devereux, M. B. (1995). Anticipated budget deficits and the real exchange rate. The Canadian Journal of Economics, Special Issue: Essays in International Economics in Honour of Douglas Purvis, 28, 207- 220
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
  • Dornbusch, R. (1984). External debt, budget deficits and disequilibrium exchange rates. NBER Working Paper Series, Working Paper No. 1336
  • Dökmen, G. & Aysu, A. (2010). Hükümet istikrarının doğrudan yabancı yatırımlar üzerindeki etkisi: gelişmekte olan ülkelere ilişkin ampirik bir çalışma. Journal of Yasar University, 18(5), 3028-3037.
  • Drine, I. & Rault, C. (2001). Long-Run determinants of real exchange rate: new evidence based on panel data unit root and cointegration tests for mena countries. Money, Macro and Finance Conference (MMF), http://www.mafhoum.com/press3/97E14.pdf, Erişim Tarihi: 12.06.2013.
  • Edwards, S. (1989). Real exchange rates, devaluation, and adjustment: exchange rate policy in developing countries. Cambridge, MA: MIT press.
  • Enders, Z., Müller, G. J. & Scholl A. (2011). How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States. Journal of International Economics. 83(1), 53-69.
  • Enders, W. (1995). Applied econometric time series. New York: John Wiley&Sons, Inc.
  • Feldstein, M. (1986). The budget deficit and the dollar. in NBER Macroeconomics Annual - 1986, Stanley Fischer (edt.), Cambridge: MIT Press.
  • Gavin, M. & Perotti, R. (1997). Fiscal policy in Latin America. NBER Macroeconomics Annual, 12, 11-61.
  • Gülcan, Y. & Bilman, M. E. (2005). The effects of budget deficit reduction on exchange rate: evidence from Turkey. Dokuz Eylül University DP Series, 05/07.
  • Hakkio, C.S. (1996). The effects of budget deficit reduction on the exchange rate. Economic Review, 3rd Quarter. Federal Reserve Bank of Kansas City, 21-38.
  • Hutchison, M. M. & Throop, A. W. (1985). U.S. budget deficit and the real value of the dollar. The Federal Reserve Bank of San Francisco’s Economic Review, 4, 26-43.
  • IMF (1996). Fiscal challenges facing industrial countries. World Economic Outlook, 44-62, http://www.allbusiness.com/government/ 558940-1.html, Erişim Tarihi: 10.05.2012.
  • Khan, M. S. & Lizondo, J. S., (1987). Devaluation, fiscal deficits, and the real exchange rate. The World Bank Economic Review, 1(2), 357-374.
  • Kim, S. & Roubini, N. (2008). Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the US. Journal of International Economics, 74(2), 362-383.
  • Lee, J. & Strazicich, M. C. (2001). Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), 535-558.
  • Lee, J. & Strazicich, M. C. (2003). Minimum lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • MacKinnon, J. G. (2010). Critical values for cointegration tests. Queen’s Economics Department Working Paper, 1227.
  • Monacelli, T. & Perotti, R. (2010). Fiscal policy, the real exchange rate and traded goods. The Economic Journal, 120(544), 437-461.
  • Nakibullah, A. (1993). Comovements of budget deficits, exchange rates, and outputs of traded and non-traded goods. Economic Inquiry, 31(2), 298-313.
  • Ng, S., & Perron, P. (1995). Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag. Journal of the American Statistical Association, 90, 268–281.
  • Pesaran, B. & Pesaran M. H. (2010). Time series econometrics using Microfit 5.0: a user’s manual. Oxford University Press, Inc.
  • Pesaran, M. H. & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. http://www.econ.cam.ac.uk /faculty/pesaran/ardl.pdf, Erişim Tarihi: 11.08.2010.
  • 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.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.
  • Sachs, J. D. & Wyplosz, C. (1984). Real exchange rate effects of fiscal policy. NBER Working Paper Series, 1255.
  • Sims, C. A. (1994). A simple model for the study of the determination of the price level and the interaction of monetary and fiscal policy. Economic Theory, 4, 381-399.
  • Tornell, A. & Velasco, A. (1995). Fiscal policy and the choice of exchange rate regime. European Economic Review, 39(3-4), 759-770.
  • Woodford, M. (2001). Fiscal requirements for price stability. Journal of Money, Credit and Banking, 33(3), 669-728.
Toplam 38 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

M. Fatih İlgün Bu kişi benim

Cüneyt Dumrul Bu kişi benim

Ahmet Aysu Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2014
Yayımlandığı Sayı Yıl 2014

Kaynak Göster

APA İlgün, M. F., Dumrul, C., & Aysu, A. (2014). BÜTÇE AÇIKLARININ REEL DÖVİZ KURU ÜZERİNDEKİ ETKİLERİ: TÜRK EKONOMİSİ ÜZERİNE BİR UYGULAMA. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 10(23), 13-30. https://doi.org/10.17130/ijmeb.2014.10.23.681