External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey

Yıl 2020, Cilt: 70 Sayı: 1, 73 - 112, 30.06.2020

Zekeriya Yıldırım

https://doi.org/10.26650/ISTJECON2020-0002

Öz

The Turkish financial markets have been in turmoil due to the adverse shocks that have originated from both global financial conditions and its domestic political environment. These shocks — especially those caused by the recent political tension in August 2018 — have resulted in a large depreciation in the Turkish lira and a significant increase in Turkey’s country risk premium. This study empirically investigates the macroeconomic consequences of the recent shocks, i.e., the effects of the August depreciation and the recent jump in the risk premium, by estimating a vector autoregression model with monthly data from January 1997 to October 2018. We find that the recent adverse shocks — exchange rate, country risk premium, political risk, and external financial shocks — bring serious macroeconomic consequences, such as a recession and high inflation. To mitigate these adverse effects, policy makers should take immediate measures to restore the investors’ confidence. These measures, in turn, can help to decrease Turkey’s country risk premium and stabilize the Turkish lira.

Anahtar Kelimeler

Exchange rate, Country risk premium, External financial conditions, Political risk, VAR

Dış ve İç Şoklar, Döviz Kuru, Ülke Risk Primi ve Türkiye’de Makroekonomik Koşullar

Öz

Türk finansal piyasaları son yıllarda sert bir şekilde dalgalanmaktadır. Küresel finansal koşullardan ve ülkenin politik koşullarından kaynaklanan olumsuz şoklar bu dalgalanmaları tetiklemektedir. Bu şoklar, özellikle Ağustos 2018’de yaşanan politik tansiyonun yol açtığı olumsuz koşullar, Türk lirasında aşırı değer kaybına ve ülke risk priminde sert artışa yol açmıştır. Bu çalışma olumsuz şokların makroekonomik sonuçlarını ampirik olarak incelemektedir. Başka bir ifadeyle, ilgili çalışma TL’nin Ağustos 2018’deki sert değer kaybının ve aynı dönemde ülke risk primindeki sıçramanın etkilerini analiz etmektedir. Söz konusu etkiler 1997-2018 dönemini kapsayan aylık makroekonomik verilerle VAR modeli tahmin edilerek incelenmiştir. Bu çalışmada ulaşılan bulgular, olumsuz şokların — global finansal şoklar, ülke risk primi şoku, kur şoku, politik risk şoku — resesyon ve yüksek enflasyon gibi ciddi makroekonomik sonuçlarının olacağını ortaya koymaktadır. Bu olumsuz etkilerin azaltılması için, politika yapıcılar finansal piyasa yatırımcılarının güvenin tekrardan kazanılmasına yönelik tedbirlere odaklanmalıdır. Bu önlemler ülke risk priminin azalmasına ve döviz kurunun stabilize olmasına yardımcı olabilir.

Anahtar Kelimeler

Döviz kuru, Ülke risk primi, Global finansal koşullar, Politik risk, VAR

Kaynakça

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