Döviz Piyasası Baskısının Belirleyicileri Üzerine Asimetrik Bir İnceleme

Yıl 2022, Cilt: 7 Sayı: 1, 35 - 53, 15.04.2022

Ahmet Ekrem Kaya

Öz

Bu çalışmada Türkiye’de Döviz Piyasası Baskısı’nın belirleyicilerini incelenmektedir. ARDL
sınır testi sonuçları Döviz Piyasası Baskısı (DPB) ile Bankacılık Sektörü Kırılganlığı (BFR),
M2/Uluslararası Rezervler (RES) ve Reel Döviz Kuru (RER) arasında eşbütünleşme ilişkisi
olduğunu ortaya koymaktadır. NARDL bulguları da bu sonucu desteklemektedir. NARDL
sonuçları ayrıca en güçlü eşbütünleşme ilişkisinin DPB ile RES arasında olduğunu göstermektedir.
Bununla birlikte yalnızca uzun vadede BFR’ye gelen şokların DPB üzerinde
anlamlı etkilere yol açtığı tespit edilmektedir. Diğer taraftan kısa vadede RES’e gelen pozitif
(negatif) şokların DPB’yi artırdığı (azalttığı), RER’deki düşüşün DPB’yi azalttığı görülmektedir.
Son olarak tüm değişkenlerden Döviz Piyasası Baskısı’na dönük güçlü asimetrik nedensellikler
tespit edilmektedir.

Anahtar Kelimeler

Döviz Piyasası Baskısı, ARDL-NARDL, Asimetrik Nedensellik

An Asymetric Analysis on the Determinants of Exchange Market Pressure: The Case of Turkey

Öz

This study examines the determinants of Exchange Market Pressure in Turkey. ARDL
bounds test results reveal that there is a cointegration relationship between Exchange Market
Pressure (DPB) and Banking Sector Fragility (BFR), M2/International Reserves (RES),
Real Exchange Rate (RER). NARDL consequences support this outcome, as well. NARDL
results also show that the strongest cointegration relationship is between DPB and RES. In
addition, only long-term shocks to BFR have significant effects on DPB. Beside, in the short
term positive (negative) shocks to RES increase (decrease) DPB, and fall in RER decreases
DPB. Finally, strong asymmetric causality from all variables towards Exchange Market
Pressure is determined.

Anahtar Kelimeler

ARDL-NARDL, Exchange Market Pressure, Asymmetric Causality

Kaynakça

• Amerika Birleşik Devletleri, St. Louis FED: https://fred.stlouisfed.org/
• Ari, A. (2012), "Early warning systems for currency crises: The Turkish case", Economic Systems, 36(3), 391-410.
• Ari, A. ve Cergibozan, R. (2016), "The Twin Crises: Determinants of Banking and Currency Crises in the Turkish Economy", Emerging Markets Finance and Trade, 52(1), 123-135.
• Athanasenas, A.; Katrakilidis, C.; Trachanas E. (2014), "Government spending and revenues in the Greek economy: evidence from nonlinear cointegration", Empirica, 41(2), 365-376.
• Cergibozan, R. (2015), "Türkiye'deki Para Krizlerinin Belirleyicileri: Ekonometrik Bir Yaklaşım", Doktora Tezi, Galatasaray Üniversitesi.
• Çepni, E. ve Köse, N. (2006), "Assessing the Currency Crises in Turkey ", Central Bank Review, 6(1), 37-64.
• Darvas, Z. (2012a), "Real Effective Exchange Rates for 178 Countries: A New Database", Bruegel Working Papers, 2012/06. (https://www.bruegel.org/publications/datasets/realeffective-exchange-rates-for-178-countries-a-new-database/)
• Eichengreen, B.; Rose, A. K.; Wyplosz, C.; Dumas, B.; Weber, A. (1995), "Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks", Economic Policy, 10(21), 249-312.
• Engle, R. F. ve Granger, C. W. J. (1987), "Co-Integration and Error Correction: Representation, Estimation, and Testing", Econometrica, 55(2), 251-276.
• Ersoy, I. (2013), "The Role of Private Capital Inflows and The Exchange Market Pressure on Real Exchange Rate Appreciation: The Case of Turkey", South African Journal of Economics, 81(1), 35-51.
• Ertem, O. (2011), "Küresel Finansal Dalgalanmaların Gelişmekte Olan Ülke Döviz Rezervleri ve Kurları Üzerine Etkisi", Uzmanlık Yeterlilik Tezi, Türkiye Cumhuriyet Merkez Bankası.
• Feridun, M. (2008), "Currency Crises in Emerging Markets: The Case of Post-Liberalization Turkey", The Developing Economies, 46(4), 386-427.
• Feridun, M. (2009), "Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation", Emerging Markets Finance and Trade, 45(2), 65-81.
• Feridun, M. (2010), "Capital Reversals and Exchange Market Pressure: Evidence from the Autoregressive Distributed Lag (ARDL) Bounds Tests", Economic Research-Ekonomska Istraživanja, 23(4), 11-21.
• Girton, L. ve Roper, D. (1977), "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience", The American Economic Review, 67(4), 537-548.
• Hatemi-J, A. (2012), "Asymmetric causality tests with an application", Empirical Economics, (43)1, 447-456.
• Johansen, S. (1988), "Statistical analysis of cointegration vectors", Journal of Economic Dynamics and Control, 12(2-3), 231-254.
• Johansen, S. ve Juselius, K. (1990), "Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, 52(2), 169 -210. Kaminsky, G.; Lizondo, S.; Reinhart, C. M. (1998), “Leading Indicators of Currency Crises”. IMF Staff Papers, 45(1).
• Karabulut, G.; Bilgin, M. H.; Danisoglu, A. C. (2010), "Determinants of Currency Crises in Turkey: Some Empirical Evidence", Emerging Markets Finance and Trade, Vol. 46, No. sup1: 51-58.
• Katircioglu, S. T. ve Feridun, M. (2011), "Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey", Applied Economics Letters, 18(3), 295-300.
• Kaya, V. ve Yılmaz, Ö. (2006), "Para Krizleri Öngörüsünde Sinyal Yaklaşımı: Türkiye Örneği, 1990-2002", Ankara Üniversitesi SBF Dergisi, 61(2), 129-155.
• Kibritçioğlu, B.; Köse, B.; Uğur, G. (1998), "A Leading Indicators Approach to the Predictability of Currency Crises: The Case of Turkey", Hazine Dergisi, 12, 79-105.
• Kibritçioğlu, A. (2003), "Monitoring Banking Sector Fragility", Arab Bank Review, 5(2), 51-66.
• Kyin, T. S. ve Chin, L. (2017), "Exchange Market Pressure and Monetary Policies", Global Conference on Business and Economic Research, UPM, Malaysia, August 14-15.
• Mariano, R. S.; Gultekin, B. N.; Ozmucur, S.; Shabbir, T.; Alper, C. E. (2004), "Prediction of currency crises: Case of Turkey", Review of Middle East Economics and Finance, 2(2), 87-107.
• Ozkan, F. G. (2005), "Currency and Financial Crises in Turkey 2000 -2001: Bad Fundamentals or Bad Luck?", The World Economy, 28(4), 541-572.
• 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.
• Shin, Y.; Yu, B.; Greenwood-Nimmo, N. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, In: R.Sickels, W.Horrace, Editors, "Festschriftin Honor of Peter Schmidt: Econometric Methods and Applications", Springer.
• Tamgac, U. (2011), "Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000–2001", International Review of Economics & Finance, 20(1), 44-58.
• Turan, T. ve Karakaş, M. (2017), "İkiz Açıklar Hipotezine Doğrusal Olmayan Sınır Testi Yaklaşımı", Maliye Dergisi, 173, 211-227.
• Türkiye Cumhuriyet Merkez Bankası, Elektronik Veri Dağıtım Sistemi: https://evds2.tcmb. gov.tr/
• Uluslararası Para Fonu, Uluslararası Finansal İstatistikler: https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b&sId=1390030341854
• Üçer, M.; Van Rijckeghem, C.; Yolalan, R. (1998), "Leading Indicators of Currency Crises: A Brief Literature Survey and an Application to Turkey", Yapı Kredi Economic Review, 9(2), 3-23.
• Weymark, D. N. (1995), "Estimating exchange market pressure and the degree of exchange market intervention for Canada", Journal of International Economics, 39(3-4), 273-295.
• Yilmazkuday, H. ve Akay, K. (2008), "An analysis of regime shifts in the Turkish economy", Economic Modelling, 25(5), 885-898.