Araştırma Makalesi
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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
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.

Kaynakça

  • Aghion, P., Bacchetta, P., & Banerjee, A. (2001). Currency crises and monetary policy in an economy with credit constraints. European Economic Review, 45(7), 1121-1150.
  • Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance, 76, 133-152.
  • Akcay, Ü., & Güngen, A. R. (2019). The making of Turkey’s 2018-2019 economic crisis. Working Paper:120/2019.
  • Akıncı, Ö. (2013). Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries. Journal of International Economics, 91(2), 358-371.
  • Anaya, P., & Hasenclever, S. (2018). The macroeconomic effects of exchange rate movements. Retrieved from https://econpapers.repec.org/paper/diwdiwrup/121en.htm
  • Arbaa, O., & Varon, E. (2019). Turkish currency crisis-spillover effects on European banks. Borsa Istanbul Review.
  • Arregui, N., Elekdag, S., Gelos, R., Lafarguette, R., & Seneviratne, D. (2018). Can Countries Manage Their Financial Conditions Amid Globalization? Retrieved from IMF https://econpapers.repec. org/paper/imfimfwpa/18_2f15.htm
  • Banerjee, R., Devereux, M. B., & Lombardo, G. (2016). Self-oriented monetary policy, global financial markets and excess volatility of international capital flows. Journal of International Money and Finance, 68, 275-297.
  • Berganza, J. C., Chang, R., & Herrero, A. G. (2004). Balance sheet effects and the country risk premium: an empirical investigation. Review of World Economics, 140(4), 592-612.
  • Bjørnland, H. C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79(1), 64-77.
  • Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153-176.
  • Bordo, M. D., Meissner, C. M., & Weidenmier, M. D. (2009). Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment. Journal of International Money and Finance, 28(6), 1022-1044.
  • Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2018). Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model. Emerging Markets Finance and Trade, 1-16.
  • Bowman, D., Londono, J. M., & Sapriza, H. (2015). US unconventional monetary policy and transmission to emerging market economies. Journal of International Money and Finance, 55, 27-59.
  • Brei, M., & Buzaushina, A. (2015). International financial shocks in emerging markets. Journal of International Money and Finance, 58, 51-74.
  • Bruno, V., & Shin, H. S. (2018). Currency depreciation and emerging market corporate distress. BIS working paper(No 753). Retrieved from https://www.bis.org/publ/work753.htm
  • Caldara, D., & Iacoviello, M. (2018). Measuring Geopolitical Risk. Retrieved from https://ideas.repec. org/p/red/sed018/79.html
  • Caldara, D., Iacoviello, M., & Markiewitz, A. (2017). Country-specific geopolitical risk. Board of Governors of the Federal Reserve Board, Mimeo.
  • Çalışkan, A., & Karimova, A. (2017). Global Liquidity, Current Account Deficit, and Exchange Rate Balance Sheet Effects in Turkey. Emerging Markets Finance and Trade, 53(7), 1619-1640.
  • Céspedes, L. F., Chang, R., & Velasco, A. (2004). Balance sheets and exchange rate policy. American Economic Review, 94(4), 1183-1193.
  • Choi, S. (2018). The impact of US financial uncertainty shocks on emerging market economies: an international credit channel. Open Economies Review, 29(1), 89-118.
  • Choi, W. G., & Cook, D. (2004). Liability dollarization and the bank balance sheet channel. Journal of International Economics, 64(2), 247-275.
  • Chudik, A., & Fratzscher, M. (2011). Identifying the global transmission of the 2007–2009 financial crisis in a GVAR model. European Economic Review, 55(3), 325-339.
  • Demiralp, S., & Demiralp, S. (2019). Erosion of Central Bank independence in Turkey. Turkish Studies, 20(1), 49-68.
  • 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(366a), 427-431.
  • Doan, T. A. (2010). RATS handbook for vector autoregressions. Estima, Evanstone.
  • Erbil, C., & Ozlale, U. (2018). Turkey’s currency collapse shows just how vulnerable its economy is to a crisis [Press release]. Retrieved from https://theconversation.com/turkeys-currency-collapseshows-just-how-vulnerable-its-economy-is-to-a-crisis-101556
  • Farzanegan, M. R., & Markwardt, G. (2009). The effects of oil price shocks on the Iranian economy. Energy Economics, 31(1), 134-151.
  • Fink, F., & Schüler, Y. S. (2015). The transmission of US systemic financial stress: Evidence for emerging market economies. Journal of International Money and Finance, 55, 6-26.
  • Georgiadis, G., & Mehl, A. (2016). Financial globalisation and monetary policy effectiveness. Journal of International Economics, 103, 200-212.
  • Hamilton, J. D. (1994). Time series analysis (Vol. 2): Princeton university press Princeton, NJ.
  • Hofmann, B., Shim, I., & Shin, H. S. (2016). Sovereign yields and the risk-taking channel of currency appreciation. BIS Working Papers(No 538). Retrieved from https://www.bis.org/publ/work538.htm
  • Hwang, Y. (2017). Forecasting with Specification‐Switching VARs. Journal of Forecasting, 36(5), 581-596.
  • IMF. (2019). IMF country report: Turkey. No. 19/395. Johansen, S., & 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.
  • Kearns, J., & Patel, N. (2016). Does the financial channel of exchange rates offset the trade channel? , BIS Quarterly Review (December 2016). Retrieved from https://www.bis.org/publ/qtrpdf/r_ qt1612i.htm
  • Kriwoluzky, A., & Rieth, M. (2018). Policy responses to Turkey’s crisis: Independent central bank and international credit. DIW Weekly Report, 8(38/39), 355-363.
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis: Springer Science & Business Media.
  • Nakatani, R. (2016). Twin banking and currency crises and monetary policy. Open Economies Review, 27(4), 747-767.
  • Nakatani, R. (2017a). The Effects of Productivity Shocks, Financial Shocks, and Monetary Policy on Exchange Rates: An Application of the Currency Crisis Model and Implications for Emerging Market Crises. Emerging Markets Finance and Trade, 53(11), 2545-2561.
  • Nakatani, R. (2017b). Structural vulnerability and resilience to currency crisis: Foreign currency debt versus export. The North American Journal of Economics and Finance, 42, 132-143.
  • Nakatani, R. (2018). Real and financial shocks, exchange rate regimes and the probability of a currency crisis. Journal of Policy Modeling, 40(1), 60-73.
  • Nelson, R. M. (2018). Turkey’s Currency Crisis. Retrieved from https://fas.org/sgp/crs/mideast/ IF10957.pdf
  • Özmen, M. U., & Yılmaz, E. (2017). Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. Emerging Markets Review, 33, 173-188.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Raduzzi, R., & Ribba, A. (2017). The Macroeconomics Outcome of Oil Shocks in the Small Eurozone Economies. The World Economy.
  • Sahay, M. R., Arora, M. V. B., Arvanitis, M. A. V., Faruqee, M. H., N’Diaye, M. P., & Griffoli, M. T. M. (2014). Emerging market volatility: Lessons from the taper tantrum: International Monetary Fund.
  • Tunc, C., & Kilinc, M. (2018). Exchange Rate Pass‐Through In A Small Open Economy: A Structural Var Approach. Bulletin of Economic Research, 70(4), 410-422.
  • Uribe, M., & Yue, V. Z. (2006). Country spreads and emerging countries: Who drives whom? Journal of International Economics, 69(1), 6-36.
  • Varlık, S. (2017). The Effect of Sovereign Risk Premium Shock on Banking System Soundness: The Case of Turkey in the Framework of SVAR Model. Sosyoekonomi, 25(33), 103-126.
  • Yildirim, Z. (2016). Global financial conditions and asset markets: Evidence from fragile emerging economies. Economic Modelling, 57, 208-220.
  • Yildirim, Z., & Ivrendi, M. (2016). Exchange rate fluctuations and macroeconomic performance. Journal of Economic Studies, 43(5), 678-698.

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

Yıl 2020, Cilt: 70 Sayı: 1, 73 - 112, 30.06.2020
https://doi.org/10.26650/ISTJECON2020-0002

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.

Kaynakça

  • Aghion, P., Bacchetta, P., & Banerjee, A. (2001). Currency crises and monetary policy in an economy with credit constraints. European Economic Review, 45(7), 1121-1150.
  • Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance, 76, 133-152.
  • Akcay, Ü., & Güngen, A. R. (2019). The making of Turkey’s 2018-2019 economic crisis. Working Paper:120/2019.
  • Akıncı, Ö. (2013). Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries. Journal of International Economics, 91(2), 358-371.
  • Anaya, P., & Hasenclever, S. (2018). The macroeconomic effects of exchange rate movements. Retrieved from https://econpapers.repec.org/paper/diwdiwrup/121en.htm
  • Arbaa, O., & Varon, E. (2019). Turkish currency crisis-spillover effects on European banks. Borsa Istanbul Review.
  • Arregui, N., Elekdag, S., Gelos, R., Lafarguette, R., & Seneviratne, D. (2018). Can Countries Manage Their Financial Conditions Amid Globalization? Retrieved from IMF https://econpapers.repec. org/paper/imfimfwpa/18_2f15.htm
  • Banerjee, R., Devereux, M. B., & Lombardo, G. (2016). Self-oriented monetary policy, global financial markets and excess volatility of international capital flows. Journal of International Money and Finance, 68, 275-297.
  • Berganza, J. C., Chang, R., & Herrero, A. G. (2004). Balance sheet effects and the country risk premium: an empirical investigation. Review of World Economics, 140(4), 592-612.
  • Bjørnland, H. C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all. Journal of International Economics, 79(1), 64-77.
  • Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153-176.
  • Bordo, M. D., Meissner, C. M., & Weidenmier, M. D. (2009). Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment. Journal of International Money and Finance, 28(6), 1022-1044.
  • Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2018). Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model. Emerging Markets Finance and Trade, 1-16.
  • Bowman, D., Londono, J. M., & Sapriza, H. (2015). US unconventional monetary policy and transmission to emerging market economies. Journal of International Money and Finance, 55, 27-59.
  • Brei, M., & Buzaushina, A. (2015). International financial shocks in emerging markets. Journal of International Money and Finance, 58, 51-74.
  • Bruno, V., & Shin, H. S. (2018). Currency depreciation and emerging market corporate distress. BIS working paper(No 753). Retrieved from https://www.bis.org/publ/work753.htm
  • Caldara, D., & Iacoviello, M. (2018). Measuring Geopolitical Risk. Retrieved from https://ideas.repec. org/p/red/sed018/79.html
  • Caldara, D., Iacoviello, M., & Markiewitz, A. (2017). Country-specific geopolitical risk. Board of Governors of the Federal Reserve Board, Mimeo.
  • Çalışkan, A., & Karimova, A. (2017). Global Liquidity, Current Account Deficit, and Exchange Rate Balance Sheet Effects in Turkey. Emerging Markets Finance and Trade, 53(7), 1619-1640.
  • Céspedes, L. F., Chang, R., & Velasco, A. (2004). Balance sheets and exchange rate policy. American Economic Review, 94(4), 1183-1193.
  • Choi, S. (2018). The impact of US financial uncertainty shocks on emerging market economies: an international credit channel. Open Economies Review, 29(1), 89-118.
  • Choi, W. G., & Cook, D. (2004). Liability dollarization and the bank balance sheet channel. Journal of International Economics, 64(2), 247-275.
  • Chudik, A., & Fratzscher, M. (2011). Identifying the global transmission of the 2007–2009 financial crisis in a GVAR model. European Economic Review, 55(3), 325-339.
  • Demiralp, S., & Demiralp, S. (2019). Erosion of Central Bank independence in Turkey. Turkish Studies, 20(1), 49-68.
  • 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(366a), 427-431.
  • Doan, T. A. (2010). RATS handbook for vector autoregressions. Estima, Evanstone.
  • Erbil, C., & Ozlale, U. (2018). Turkey’s currency collapse shows just how vulnerable its economy is to a crisis [Press release]. Retrieved from https://theconversation.com/turkeys-currency-collapseshows-just-how-vulnerable-its-economy-is-to-a-crisis-101556
  • Farzanegan, M. R., & Markwardt, G. (2009). The effects of oil price shocks on the Iranian economy. Energy Economics, 31(1), 134-151.
  • Fink, F., & Schüler, Y. S. (2015). The transmission of US systemic financial stress: Evidence for emerging market economies. Journal of International Money and Finance, 55, 6-26.
  • Georgiadis, G., & Mehl, A. (2016). Financial globalisation and monetary policy effectiveness. Journal of International Economics, 103, 200-212.
  • Hamilton, J. D. (1994). Time series analysis (Vol. 2): Princeton university press Princeton, NJ.
  • Hofmann, B., Shim, I., & Shin, H. S. (2016). Sovereign yields and the risk-taking channel of currency appreciation. BIS Working Papers(No 538). Retrieved from https://www.bis.org/publ/work538.htm
  • Hwang, Y. (2017). Forecasting with Specification‐Switching VARs. Journal of Forecasting, 36(5), 581-596.
  • IMF. (2019). IMF country report: Turkey. No. 19/395. Johansen, S., & 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.
  • Kearns, J., & Patel, N. (2016). Does the financial channel of exchange rates offset the trade channel? , BIS Quarterly Review (December 2016). Retrieved from https://www.bis.org/publ/qtrpdf/r_ qt1612i.htm
  • Kriwoluzky, A., & Rieth, M. (2018). Policy responses to Turkey’s crisis: Independent central bank and international credit. DIW Weekly Report, 8(38/39), 355-363.
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis: Springer Science & Business Media.
  • Nakatani, R. (2016). Twin banking and currency crises and monetary policy. Open Economies Review, 27(4), 747-767.
  • Nakatani, R. (2017a). The Effects of Productivity Shocks, Financial Shocks, and Monetary Policy on Exchange Rates: An Application of the Currency Crisis Model and Implications for Emerging Market Crises. Emerging Markets Finance and Trade, 53(11), 2545-2561.
  • Nakatani, R. (2017b). Structural vulnerability and resilience to currency crisis: Foreign currency debt versus export. The North American Journal of Economics and Finance, 42, 132-143.
  • Nakatani, R. (2018). Real and financial shocks, exchange rate regimes and the probability of a currency crisis. Journal of Policy Modeling, 40(1), 60-73.
  • Nelson, R. M. (2018). Turkey’s Currency Crisis. Retrieved from https://fas.org/sgp/crs/mideast/ IF10957.pdf
  • Özmen, M. U., & Yılmaz, E. (2017). Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. Emerging Markets Review, 33, 173-188.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Raduzzi, R., & Ribba, A. (2017). The Macroeconomics Outcome of Oil Shocks in the Small Eurozone Economies. The World Economy.
  • Sahay, M. R., Arora, M. V. B., Arvanitis, M. A. V., Faruqee, M. H., N’Diaye, M. P., & Griffoli, M. T. M. (2014). Emerging market volatility: Lessons from the taper tantrum: International Monetary Fund.
  • Tunc, C., & Kilinc, M. (2018). Exchange Rate Pass‐Through In A Small Open Economy: A Structural Var Approach. Bulletin of Economic Research, 70(4), 410-422.
  • Uribe, M., & Yue, V. Z. (2006). Country spreads and emerging countries: Who drives whom? Journal of International Economics, 69(1), 6-36.
  • Varlık, S. (2017). The Effect of Sovereign Risk Premium Shock on Banking System Soundness: The Case of Turkey in the Framework of SVAR Model. Sosyoekonomi, 25(33), 103-126.
  • Yildirim, Z. (2016). Global financial conditions and asset markets: Evidence from fragile emerging economies. Economic Modelling, 57, 208-220.
  • Yildirim, Z., & Ivrendi, M. (2016). Exchange rate fluctuations and macroeconomic performance. Journal of Economic Studies, 43(5), 678-698.

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme
Bölüm Araştırma Makalesi
Yazarlar

Zekeriya YILDIRIM Bu kişi benim 0000-0002-0324-4356

Yayımlanma Tarihi 30 Haziran 2020
Gönderilme Tarihi 13 Şubat 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 70 Sayı: 1

Kaynak Göster

APA YILDIRIM, Z. (2020). External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey. İstanbul İktisat Dergisi, 70(1), 73-112. https://doi.org/10.26650/ISTJECON2020-0002
AMA YILDIRIM Z. External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey. İstanbul İktisat Dergisi. Haziran 2020;70(1):73-112. doi:10.26650/ISTJECON2020-0002
Chicago YILDIRIM, Zekeriya. “External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey”. İstanbul İktisat Dergisi 70, sy. 1 (Haziran 2020): 73-112. https://doi.org/10.26650/ISTJECON2020-0002.
EndNote YILDIRIM Z (01 Haziran 2020) External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey. İstanbul İktisat Dergisi 70 1 73–112.
IEEE Z. YILDIRIM, “External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey”, İstanbul İktisat Dergisi, c. 70, sy. 1, ss. 73–112, 2020, doi: 10.26650/ISTJECON2020-0002.
ISNAD YILDIRIM, Zekeriya. “External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey”. İstanbul İktisat Dergisi 70/1 (Haziran 2020), 73-112. https://doi.org/10.26650/ISTJECON2020-0002.
JAMA YILDIRIM Z. External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey. İstanbul İktisat Dergisi. 2020;70:73–112.
MLA YILDIRIM, Zekeriya. “External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey”. İstanbul İktisat Dergisi, c. 70, sy. 1, 2020, ss. 73-112, doi:10.26650/ISTJECON2020-0002.
Vancouver YILDIRIM Z. External and Domestic Shocks, Exchange Rate, Country Risk Premia and Macroeconomic Conditions in Turkey. İstanbul İktisat Dergisi. 2020;70(1):73-112.