Türkiye’de Küresel Finansal Kriz Sonrası Nakit İkamesinin Seyri: Markov Rejim Değişim Modelleri

Öz

Çalışmanın amacı, Türkiye’de Küresel Finansal Kriz sonrası nakit ikamesinin itici güçlerini araştırmaktır. Teorik arka plana uygun olarak belirlenen modeller, 2010:01-2023:02 dönemine ait döviz kuru beklentileri, enflasyon oranı ve yerli-yabancı faiz oranı farkı değişkenlerine ek olarak, Kur Korumalı Mevduat (KKM) dönemine ilişkin bir kukla değişkeni de içermektedir. Markov rejim değişim regresyon yöntemi aracılığıyla iki rejimli iki farklı model tahmin edilmiştir. Bu modellerden elde edilen bulgulara göre, döviz kuru beklentileri, nakit ikamesinin en önemli belirleyicisidir. Döviz kuru beklentileri ile nakit ikamesi pozitif ilişkidir. Faiz farkındaki azalmalar, nakit ikamesinde bir artış yaratırken faiz farkındaki artışların nakit ikamesi kararları üzerinde anlamlı bir etkisi yoktur. Bunun yanında, enflasyon oranlarının ise nakit ikamesi üzerinde anlamlı bir etkisinin olmadığına ulaşılmıştır. Buna karşılık, nakit ikamesi, bir önceki döneme ilişkin nakit ikamesi kararlarından büyük ölçüde etkilenmektedir. Son olarak, KKM uygulamasının nakit ikamesinde anlamlı ve oldukça yüksek bir oranda bir azalma sağladığı tespit edilmiştir. Ancak nakit ikamesiyle mücadelede, KKM gibi yüksek maliyetli politikalardan ziyade, kredibilitesi yüksek, tutarlı ve güçlü politikaların tercih edilmesinin daha uygun olacağı düşünülmektedir.

Anahtar Kelimeler

• Nakit İkamesi
• Döviz Kuru Beklentileri
• Kur Korumalı Mevduat
• Markov Rejim Değişim Modelleri

The Course of Currency Substitution after the Global Financial Crisis in Turkey: Markov Regime Switching Models

Abstract

The study aims to investigate the driving forces of currency substitution after the Global Financial Crisis in Turkey. The models determined in accordance with the theoretical background also include a dummy variable for the Foreign Exchange Protected Deposit (FXPD) period in addition to the exchange rate expectations, inflation rate and domestic-foreign interest rate difference for the period 2010:01-2023:02. Two different models with two regimes are estimated by the Markov regime-switching regression method. According to the findings obtained from these models, exchange rate expectations are the most important determinant of currency substitution. Exchange rate expectations and currency substitution are positively related. Decreases in interest rate differential cause an increase in currency substitution, while increases in interest rate difference do not have a significant effect on currency substitution decisions. In addition, it has found that inflation rates do not have a significant effect on currency substitution. Nonetheless, currency substitution is heavily influenced by currency substitution decisions for the previous period. Lastly, it has been determined that the FXPD provides a significant and quite high decrease in currency substitution. However, it is thought that it would be more appropriate to prefer policies with high credibility, consistent and strength rather than high-cost policies such as FXPD in the fight against currency substitution.

Keywords

• Currency Substitution
• Exchange Rate Expectations
• Foreign Exchange Protected Deposit
• Markov Regime-Switching Models

Kaynakça

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