Türkiye'de Belirsizliklerin Döviz Kuru Üzerindeki Etkileri: Markov Rejim Değişim Modelleri

Yıl 2025, Cilt: 10 Sayı: 27, 538 - 550, 29.06.2025

Ayşegül Şahin

https://doi.org/10.25204/iktisad.1615461

Öz

Bu çalışma, ekonomik politika belirsizliği (EPU) ve dünya belirsizlik endeksinin (WUI) Türkiye’de döviz kuru üzerindeki etkilerini incelemektedir. 2008Q1-2024Q3 dönemine ait çeyreklik veriler kullanılarak, döviz kuru dinamiklerini açıklamak amacıyla Markov rejim değişim modeli uygulanmıştır. Çalışmada, EPU ve WUI’nin döviz kuru üzerindeki farklı dönemlerdeki etkileri değerlendirilmiş, faiz oranları ve döviz kurunun gecikmeli değerleri gibi kontrol değişkenleri eklenmiştir. Analizler, döviz kurundaki dalgalanmaların EPU ve WUI ile anlamlı bir ilişkiye sahip olduğunu ortaya koymuştur. Bulgular, döviz kurunun artış eğilimi gösterdiği dönemlerde (Rejim 0) hem EPU hem de WUI’nin döviz kuru üzerinde pozitif ve güçlü bir etkiye sahip olduğunu göstermektedir. Özellikle WUI, küresel belirsizliklerin etkilerini daha belirgin hale getirerek döviz kurunda volatilite yaratmaktadır. Öte yandan, daha stabil dönemlerde (Rejim 1) bu belirsizlik göstergelerinin etkisi zayıflamakta, piyasa koşulları daha dirençli bir yapı sergilemektedir. Sonuç olarak, belirsizliklerin döviz kuru üzerindeki etkileri, yerel ve küresel ekonomik kırılganlıklarla ilişkilendirilmiş ve politika yapıcılara ekonomik belirsizliklerin etkilerini yönetmede rehberlik edebilecek önemli bulgular sunulmuştur.

Anahtar Kelimeler

Ekonomik politika belirsizliği , Dünya belirsizlik endeksi , Döviz kuru , Markov rejim değişim modeli

The Effects of Uncertainties on Exchange Rates in Türkiye: Markov Regime Switching Models

Öz

This study examines the effects of economic policy uncertainty (EPU) and the world uncertainty index (WUI) on the exchange rate in Türkiye. Using quarterly data for 2008Q1-2024Q3, the Markov regime-switching model is applied to explain exchange rate dynamics. The study evaluates the effects of EPU and WUI on exchange rates in different periods, and control variables such as interest rates and lagged exchange rate values are added. The analysis reveals that exchange rate fluctuations are significantly related to EPU and WUI. The findings show that both EPU and WUI positively and strongly affect the exchange rates when the exchange rate shows an increasing trend (Regime 0). In particular, WUI creates volatility in exchange rates by making the effects of global uncertainties more apparent. On the other hand, in more stable periods (Regime 1), the effect of these uncertainty indicators weakens, and market conditions exhibit a more resilient structure. As a result, the effects of uncertainties on exchange rates are associated with local and global economic vulnerabilities, and significant findings that can guide policymakers in managing the effects of economic uncertainties are presented.

Anahtar Kelimeler

Economic policy uncertainty , World uncertainty index , Exchange rate , Markov regime-switching model.

Kaynakça

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