The Linear and Nonlinear Effects of Macroeconomic Factors on the Nominal Exchange Rate in Türkiye

Öz

This study examines the symmetrical and asymmetrical relationships between nominal exchange rates and some key macroeconomic indicators in Türkiye using ARDL and NARDL approaches. According to the findings, there is an asymmetric cointegration relationship between the variables, but this relationship is not symmetrical. Inflation is the most remarkable indicator of the exchange rate. While all variables have asymmetric effects in the long run, only exports have asymmetric effects in the short run. The effect of export increases on the exchange rate is more dominant than decreases. Positive shocks between Türkiye and the US interest rate decrease the nominal exchange rate. In general, the effects of positive shocks are more dominant than negative shocks.

Anahtar Kelimeler

• Nominal Exchange Rate
• Uncovered interest rate parity
• Nonlinear cointegration
• ARDL and NARDL methods
• International Fisher effect

Türkiye'de Makroekonomik Faktörlerin Nominal Döviz Kuru Üzerindeki Doğrusal ve Doğrusal Olmayan Etkileri

Öz

Bu çalışma, ARDL ve NARDL yaklaşımlarını kullanarak Türkiye'deki nominal döviz kurları ile bazı temel makroekonomik göstergeler arasındaki simetrik ve asimetrik ilişkileri incelemektedir. Elde edilen bulgulara göre, değişkenler arasında asimetrik eş bütünleşme ilişkisi bulunmaktadır ama bu ilişki simetrik değildir. Döviz kuru üzerinde, en etkili faktörün enflasyon olduğu tespit edilmiştir. Uzun dönemde tüm değişkenler asimetrik etkilere sahipken kısa dönemde sadece ihracat asimetrik etkilere sahiptir. İhracat artışlarının döviz kuru üzerindeki etkisi düşüşlerden daha baskındır. Türkiye ile ABD faiz oranı arasındaki pozitif şoklar nominal döviz kurunu düşürmektedir. Genel olarak pozitif şokların etkileri negatif şoklardan daha baskındır.

Anahtar Kelimeler

• Nominal döviz kuru
• Kapsanmamış faiz oranı paritesi
• Doğrusal olmayan eşbütünleşme
• ARDL ve NARDL
• Uluslararası Fisher etkisi

Kaynakça

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