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Relations between Foreign Direct Investment and Exchange Rate Volatility in Turkey: Analysis of Symmetric and Asymmetric Causality (2001:M1-2020:M2)

Yıl 2021, Cilt 16, Sayı 2, 535 - 554, 01.08.2021
https://doi.org/10.17153/oguiibf.887429

Öz

The objective of this study was to examine the relationship between exchange rate volatility and Foreign Direct Investment (FDI) in Turkey that adopting liberal policies in the post-1980 period. In this study, the relationships between FDI and exchange rate volatility were determined by symmetric (Fourier Toda-Yamamoto) and asymmetric (Hatemi-J) causality tests using the monthly data for the period of 2001:M1 - 2020:M2. According to the symmetric causality test results, there is a one-way relationship from FDI to exchange rate volatility. According to the results of the asymmetric causality test, there are two-way and significant causal relationships between the variables of FDI and exchange rate volatility. These results show the importance of reducing exchange rate volatility for the Turkish economy.

Kaynakça

  • Albayrak, Ş. G. (2012), Reel Döviz Kuru Oynaklığının Doğrudan Yabancı Sermaye Girişleri Üzerine Etkisi: Türkiye Örneği (1992-2008), Yayınlanmamış Doktora Tezi, Selçuk Üniversitesi, Sosyal Bilimler Enstitüsü, Konya.
  • Apergis, N.; Kyrkilis, D.; Rezitis, A. (2002), “Exchange Rate Volatility and Inward Foreign Direct Invest-ment in Greece: the Prospect of EMU Membership”, Rivista Internazionale di Scienze Economiche e Commerciali, Vol. 49, No. 4: 539-552.
  • Aranyaratt, C. (2011), The Effect of Exchange Rate Volatility on Foreign Direct İnvestment and Portfolio Flows to Thailand, Doctoral Dissertation Thesis, Chulalongkorn University, Bangkok.
  • Arize, A. C.; Malindretos, J.; Igwe, E. U. (2017), “Do Exchange Rate Changes Improve the Trade Balance: An Asymmetric Nonlinear Cointegration Approach”, International Review of Economics & Finance, Vol. 49: 313-326.
  • Asmae, A.; Ahmed, B. (2019), “Impact of the Exchange Rate and Price Volatility on FDI inflows: Case of Morocco and Turkey”, Applied Economics and Finance, Vol. 6, No. 3: 87-104.
  • Banik, B.; Roy, C.K. (2020), "Effect of Exchange Rate Uncertainty on Bilateral Trade Performance in SAARC Countries: a Gravity Model Analysis", International Trade, Politics and Development, https://doi.org/10.1108/ITPD-08-2020-0076.
  • Chit, M. M.; Rizov, M.; Willenbockel, D. (2010), “Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies”, World Economy, Vol. 33, No. 2: 239-263.
  • Cushman, D. O. (1983) “The Effects of Real Exchange Rate Risk on International Trade”, Journal of International Economics, Vol. 15: 45 - 63.
  • Cushman, D. O. (1988), “Exchange-Rate Uncertainty and Foreign Direct Investment in the United States”, Weltwirtschaftliches Archiv, Vol. 124, No. 2: 322-336.
  • Durairaj, K.; Nirmala, V. (2012), “Do Exchange Rate and its Volatility Deter Foreign Direct Investment (FDI) to India?”, The Indian Economic Journal, Vol. 60, No. 1: 130-144.
  • Egert, B.; Morales-Zumaquero, A. (2008), “Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just another Blur Project?”, Review of Development Economics, Vol. 12: 577–593.
  • Erdal, F.; Tatoğlu, E. (2002), “Locational Determinants of Foreign Direct Investment in an Emerging Market Economy: Evidence from Turkey”, Multinational Business Review, Vol. 10: 21-27.
  • Eşiyok, B. (2011), “Determinants of Foreign Direct Investment in Turkey: A Panel Study Approach”, MPRA Paper, No. 36568.
  • Hanusch, M.; Ngunyen, H.; Algu, Y. (2018), “Exchange Rate Volatility and FDI Inflows: Evidence from Cross-Country Panel Data”, MTI Global Practice Discussion Paper, No. 2, World Bank: Washington DC.
  • Hatemi-J, A. (2008), “Forecasting Properties of A New Method to Determine Optimal Lag Order in Stable and Unstable VAR models”, Applied Economics Letters, Vol. 15, No. 4: 239-243.
  • Hatemi-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, Vol. 43, No. 1, 447-456.
  • Hooper, P.; Kohlhagen, S. (1978), “The Effect of Exchange Rate Uncertainty on the Price and Volume of International Trade”, Journal of International Economics, Vol. 8: 483-511.
  • http://www.tcmb.gov.tr, (Erişim:18.04.2020).
  • Iannizzotto, M.; Miller, N. J. (2005), “The Effect of Exchange-Rate Uncertainty on Foreign Direct Investment in the United Kingdom”, In Multinationals and Foreign Investment in Economic Development, Palgrave Macmillan: London: 163-178.
  • Jeanneret, A. (2007), “Foreign Direct Investment and Exchange Rate Volatility: A Non-Linear Story”, Swiss Finance Institute Working Paper, No. 399.
  • Kiyota, K.; Urata, S. (2004), “Exchange Rate, Exchange Rate Volatility and Foreign Direct Investment”, World Economy, Vol. 27, No. 10: 1501-1536.
  • Köse, N.; Ay, A.; Topallı, N. (2008), “Döviz Kuru Oynaklığının İhracata Etkisi: Türkiye Örneği (1995-2008)”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt. 10, Sayı. 2: 25-45.
  • Kyereboah-Coleman, A.; Agyire-Tettey, K. F. (2008),”Effect of Exchange-Rate Volatility on Foreign Direct Investment in Sub-Saharan Africa: The Case of Ghana”, Journal of Risk Finance, Vol. 9, No. 11: 52-70.
  • McKenzie, M.D. (1999), “The Impact of Exchange Rate Volatility on International Trade Flows”, Journal of Economic Surveys, Vol. 13, No. 1: 71-104.
  • Moraghen, W.; Seetanah, B.; Sookia, N. (2020), “The Impact of Exchange Rate and Exchange Rate Volatility on Mauritius Foreign Direct Investment: A sector‐Wise Analysis”, International Journal of Finance & Economics. https://doi.org/10.1002/ijfe.2416.
  • Omorokunwa, O. G.; Ikponmwosa, N. (2014), “Macroeconomic Variables and Stock Price Volatility in Nigeria”, Annals of the University of Petrosani, Vol. 14: 259-268.
  • Pınar, A.; Erdal, B. (2018), “Reel Döviz Kuru Oynaklığının Sektörel Doğrudan Yabancı Yatırımlar Üzerindeki Etkileri: Türkiye Örneği”, Maliye Dergisi, Sayı. 175: 31-54.
  • Polat, B.; Payaslıoğlu C. (2016), “Exchange Rate Uncertainty and FDI Inflows: the Case of Turkey”, Asia-Pacific Journal of Accounting & Economics, Vol. 23, No. 1: 112-129.
  • Sharifi-Renani, H.; Mirfatah, M. (2012), “The Impact of Exchange Rate Volatility on Foreign Direct Investment in Iran”, Procedia Economics and Finance, Vol. 1: 365-373.
  • Shehu, U.R.A. (2010),” Exchange Rate Volatility and Export Trade in Nigeria: An Empirical Investigation”, Applied Financial Economics, Vol. 20, No. 13: 1071-1084.
  • Taşcı, H. M.; Düzgün, R. (2017), “Döviz Kurundaki Dalgalanmanın Doğrudan Yabancı Sermaye Yatırımları Üzerindeki Etkisi: Türkiye Üzerine Bir Uygulama”, Elektronik Sosyal Bilimler Dergisi, Cilt. 16, Sayı. 60: 1-18.
  • Tenreyro, S. (2007), “On the Trade Impact of Nominal Exchange Rate Volatility”, Journal of Development Economics, Vol. 82: 485-508.
  • Toda, H. Y.; Yamamoto, T. (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, Vol. 66, No. 1-2: 225-250.
  • Tümtürk, O. (2018), “Türkiye Ekonomisindeki Döviz Kuru Oynaklığının Doğrudan Yabancı Yatırımlar Üzerine Etkisi”, ICPESS 2018 Proceedings Book, Vol. 2: 349-363.
  • Ullah K.U.; Sultan, F.; Rehman, Z. U. (2017), “An Analysis of Exchange Rate Volatility and FDI Inflow in Pakistan; Using ARDL Bound Testing Technique (1981-2015)”, International Journal of Applied Economic Studies, Vol. 5, No. 5: 1-9.
  • Vergil, H.; Çeştepe, H. (2006), “Döviz Kuru Değişkenliği Ve Yabancı Doğrudan Yatırım Akımları: Türkiye Örneği”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, Cilt. 55, Sayı. 1: 975-986.
  • Vieira, F.; MacDonald, R. (2016), “Exchange Rate Volatility and Exports: a Panel Data Analysis”, Journal of Economic Studies, Vol. 43, No. 2, 203-221.
  • Xu, Z. (2013), “Analysis on the Dynamic Causality Relationships among FDI, Foreign Trade and Exchange Rate Volatility”, In Proceedings of the 2013 Third International Conference on Intelligent System Design and Engineering Applications, Vol. January: 354-357.
  • Yılancı, V.; Bozoklu, Ş. (2015), “Analysis of Symmetric and Asymmetric Nonlinear Causal Relationship Between Stock Prices and Exchange Rates for Selected Emerging Market Economies”, Doğuş Üniversitesi Dergisi, Cilt. 16, Sayı. 2: 155-164.

Türkiye’de Doğrudan Yabancı Yatırımlar ve Döviz Kuru Oynaklıkları Arasındaki İlişkiler: Simetrik ve Asimetrik Nedensellik Analizi (2001:M1-2020:M2)

Yıl 2021, Cilt 16, Sayı 2, 535 - 554, 01.08.2021
https://doi.org/10.17153/oguiibf.887429

Öz

Bu çalışmanın amacı 1980 sonrası dönemde liberal politikaları benimseyen Türkiye’deki Doğrudan Yabancı Yatırımlar (DYY) ile döviz kuru oynaklığı arasındaki ilişkiyi incelemektir. Çalışmada 2001:M1-2020:M2 dönemi aylık verileri kullanılarak DYY ile döviz kuru oynaklığı arası ilişkiler, simetrik (Toda-Yamamoto) ve asimetrik (Hatemi-J) nedensellik testleri ile belirlenmiştir. Simetrik nedensellik testi sonuçlarına göre, DYY'den döviz kuru oynaklığına doğru tek yönlü bir ilişki vardır. Asimetrik nedensellik testi sonuçlarına göre ise DYY ve döviz kuru oynaklığı değişkenleri arasında iki yönlü ve anlamlı nedensel ilişkiler mevcuttur. Elde edilen bu sonuçlar, Türkiye ekonomisi için döviz kuru oynaklığının azaltılmasının önemini ortaya koymaktadır.

Kaynakça

  • Albayrak, Ş. G. (2012), Reel Döviz Kuru Oynaklığının Doğrudan Yabancı Sermaye Girişleri Üzerine Etkisi: Türkiye Örneği (1992-2008), Yayınlanmamış Doktora Tezi, Selçuk Üniversitesi, Sosyal Bilimler Enstitüsü, Konya.
  • Apergis, N.; Kyrkilis, D.; Rezitis, A. (2002), “Exchange Rate Volatility and Inward Foreign Direct Invest-ment in Greece: the Prospect of EMU Membership”, Rivista Internazionale di Scienze Economiche e Commerciali, Vol. 49, No. 4: 539-552.
  • Aranyaratt, C. (2011), The Effect of Exchange Rate Volatility on Foreign Direct İnvestment and Portfolio Flows to Thailand, Doctoral Dissertation Thesis, Chulalongkorn University, Bangkok.
  • Arize, A. C.; Malindretos, J.; Igwe, E. U. (2017), “Do Exchange Rate Changes Improve the Trade Balance: An Asymmetric Nonlinear Cointegration Approach”, International Review of Economics & Finance, Vol. 49: 313-326.
  • Asmae, A.; Ahmed, B. (2019), “Impact of the Exchange Rate and Price Volatility on FDI inflows: Case of Morocco and Turkey”, Applied Economics and Finance, Vol. 6, No. 3: 87-104.
  • Banik, B.; Roy, C.K. (2020), "Effect of Exchange Rate Uncertainty on Bilateral Trade Performance in SAARC Countries: a Gravity Model Analysis", International Trade, Politics and Development, https://doi.org/10.1108/ITPD-08-2020-0076.
  • Chit, M. M.; Rizov, M.; Willenbockel, D. (2010), “Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies”, World Economy, Vol. 33, No. 2: 239-263.
  • Cushman, D. O. (1983) “The Effects of Real Exchange Rate Risk on International Trade”, Journal of International Economics, Vol. 15: 45 - 63.
  • Cushman, D. O. (1988), “Exchange-Rate Uncertainty and Foreign Direct Investment in the United States”, Weltwirtschaftliches Archiv, Vol. 124, No. 2: 322-336.
  • Durairaj, K.; Nirmala, V. (2012), “Do Exchange Rate and its Volatility Deter Foreign Direct Investment (FDI) to India?”, The Indian Economic Journal, Vol. 60, No. 1: 130-144.
  • Egert, B.; Morales-Zumaquero, A. (2008), “Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just another Blur Project?”, Review of Development Economics, Vol. 12: 577–593.
  • Erdal, F.; Tatoğlu, E. (2002), “Locational Determinants of Foreign Direct Investment in an Emerging Market Economy: Evidence from Turkey”, Multinational Business Review, Vol. 10: 21-27.
  • Eşiyok, B. (2011), “Determinants of Foreign Direct Investment in Turkey: A Panel Study Approach”, MPRA Paper, No. 36568.
  • Hanusch, M.; Ngunyen, H.; Algu, Y. (2018), “Exchange Rate Volatility and FDI Inflows: Evidence from Cross-Country Panel Data”, MTI Global Practice Discussion Paper, No. 2, World Bank: Washington DC.
  • Hatemi-J, A. (2008), “Forecasting Properties of A New Method to Determine Optimal Lag Order in Stable and Unstable VAR models”, Applied Economics Letters, Vol. 15, No. 4: 239-243.
  • Hatemi-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, Vol. 43, No. 1, 447-456.
  • Hooper, P.; Kohlhagen, S. (1978), “The Effect of Exchange Rate Uncertainty on the Price and Volume of International Trade”, Journal of International Economics, Vol. 8: 483-511.
  • http://www.tcmb.gov.tr, (Erişim:18.04.2020).
  • Iannizzotto, M.; Miller, N. J. (2005), “The Effect of Exchange-Rate Uncertainty on Foreign Direct Investment in the United Kingdom”, In Multinationals and Foreign Investment in Economic Development, Palgrave Macmillan: London: 163-178.
  • Jeanneret, A. (2007), “Foreign Direct Investment and Exchange Rate Volatility: A Non-Linear Story”, Swiss Finance Institute Working Paper, No. 399.
  • Kiyota, K.; Urata, S. (2004), “Exchange Rate, Exchange Rate Volatility and Foreign Direct Investment”, World Economy, Vol. 27, No. 10: 1501-1536.
  • Köse, N.; Ay, A.; Topallı, N. (2008), “Döviz Kuru Oynaklığının İhracata Etkisi: Türkiye Örneği (1995-2008)”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt. 10, Sayı. 2: 25-45.
  • Kyereboah-Coleman, A.; Agyire-Tettey, K. F. (2008),”Effect of Exchange-Rate Volatility on Foreign Direct Investment in Sub-Saharan Africa: The Case of Ghana”, Journal of Risk Finance, Vol. 9, No. 11: 52-70.
  • McKenzie, M.D. (1999), “The Impact of Exchange Rate Volatility on International Trade Flows”, Journal of Economic Surveys, Vol. 13, No. 1: 71-104.
  • Moraghen, W.; Seetanah, B.; Sookia, N. (2020), “The Impact of Exchange Rate and Exchange Rate Volatility on Mauritius Foreign Direct Investment: A sector‐Wise Analysis”, International Journal of Finance & Economics. https://doi.org/10.1002/ijfe.2416.
  • Omorokunwa, O. G.; Ikponmwosa, N. (2014), “Macroeconomic Variables and Stock Price Volatility in Nigeria”, Annals of the University of Petrosani, Vol. 14: 259-268.
  • Pınar, A.; Erdal, B. (2018), “Reel Döviz Kuru Oynaklığının Sektörel Doğrudan Yabancı Yatırımlar Üzerindeki Etkileri: Türkiye Örneği”, Maliye Dergisi, Sayı. 175: 31-54.
  • Polat, B.; Payaslıoğlu C. (2016), “Exchange Rate Uncertainty and FDI Inflows: the Case of Turkey”, Asia-Pacific Journal of Accounting & Economics, Vol. 23, No. 1: 112-129.
  • Sharifi-Renani, H.; Mirfatah, M. (2012), “The Impact of Exchange Rate Volatility on Foreign Direct Investment in Iran”, Procedia Economics and Finance, Vol. 1: 365-373.
  • Shehu, U.R.A. (2010),” Exchange Rate Volatility and Export Trade in Nigeria: An Empirical Investigation”, Applied Financial Economics, Vol. 20, No. 13: 1071-1084.
  • Taşcı, H. M.; Düzgün, R. (2017), “Döviz Kurundaki Dalgalanmanın Doğrudan Yabancı Sermaye Yatırımları Üzerindeki Etkisi: Türkiye Üzerine Bir Uygulama”, Elektronik Sosyal Bilimler Dergisi, Cilt. 16, Sayı. 60: 1-18.
  • Tenreyro, S. (2007), “On the Trade Impact of Nominal Exchange Rate Volatility”, Journal of Development Economics, Vol. 82: 485-508.
  • Toda, H. Y.; Yamamoto, T. (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, Vol. 66, No. 1-2: 225-250.
  • Tümtürk, O. (2018), “Türkiye Ekonomisindeki Döviz Kuru Oynaklığının Doğrudan Yabancı Yatırımlar Üzerine Etkisi”, ICPESS 2018 Proceedings Book, Vol. 2: 349-363.
  • Ullah K.U.; Sultan, F.; Rehman, Z. U. (2017), “An Analysis of Exchange Rate Volatility and FDI Inflow in Pakistan; Using ARDL Bound Testing Technique (1981-2015)”, International Journal of Applied Economic Studies, Vol. 5, No. 5: 1-9.
  • Vergil, H.; Çeştepe, H. (2006), “Döviz Kuru Değişkenliği Ve Yabancı Doğrudan Yatırım Akımları: Türkiye Örneği”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, Cilt. 55, Sayı. 1: 975-986.
  • Vieira, F.; MacDonald, R. (2016), “Exchange Rate Volatility and Exports: a Panel Data Analysis”, Journal of Economic Studies, Vol. 43, No. 2, 203-221.
  • Xu, Z. (2013), “Analysis on the Dynamic Causality Relationships among FDI, Foreign Trade and Exchange Rate Volatility”, In Proceedings of the 2013 Third International Conference on Intelligent System Design and Engineering Applications, Vol. January: 354-357.
  • Yılancı, V.; Bozoklu, Ş. (2015), “Analysis of Symmetric and Asymmetric Nonlinear Causal Relationship Between Stock Prices and Exchange Rates for Selected Emerging Market Economies”, Doğuş Üniversitesi Dergisi, Cilt. 16, Sayı. 2: 155-164.

Ayrıntılar

Birincil Dil Türkçe
Konular Sosyal
Bölüm Makaleler
Yazarlar

Muharrem Akın DOĞANAY (Sorumlu Yazar)
KARADENİZ TEKNİK ÜNİVERSİTESİ
0000-0002-3985-2222
Türkiye


Mürşit RECEPOĞLU
Gümüşhane Üniversitesi
0000-0002-6861-2607
Türkiye


Mustafa Kemal DEĞER
KARADENİZ TEKNİK ÜNİVERSİTESİ
0000-0001-6425-9052
Türkiye

Yayımlanma Tarihi 1 Ağustos 2021
Başvuru Tarihi 26 Şubat 2021
Kabul Tarihi 10 Mayıs 2021
Yayınlandığı Sayı Yıl 2021, Cilt 16, Sayı 2

Kaynak Göster

APA Doğanay, M. A. , Recepoğlu, M. & Değer, M. K. (2021). Türkiye’de Doğrudan Yabancı Yatırımlar ve Döviz Kuru Oynaklıkları Arasındaki İlişkiler: Simetrik ve Asimetrik Nedensellik Analizi (2001:M1-2020:M2) . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 16 (2) , 535-554 . DOI: 10.17153/oguiibf.887429