Azerbaycan Reel Döviz Kurunda Küresel ve Yerel Faktörlerin Etkisi: Kantil Regresyondan Kanıt.

Öz

Bu çalışmada, Ocak 2013'ten Nisan 2021'e kadar olan dönemde, Azerbaycan'ın reel döviz kuru üzerinde seçilmiş yerel ve küresel faktörlerin etkisi, asimetriyi dikkate alan quantile regresyon yöntemi kullanılarak analiz edilmiştir. Sonuçlar, tüm değişkenlerin genellikle düşük quantile'lerde reel döviz kuru üzerinde bir etkiye sahip olduğunu göstermektedir. Özellikle, OILP ve CPI'daki bir artış sırasıyla Q1-Q5 ve Q1-Q2'de RER'de bir azalmaya neden olmaktadır. Ayrıca, RESV ve GPR'deki bir artış sırasıyla Q1-Q2 ve Q1'de RER'de bir azalmaya neden olmaktadır. Katsayıların etkisi de quantile'ler arttıkça azalmaktadır.

Anahtar Kelimeler

• Azerbaycan
• Petrol Fiyatları
• Küresel Faktörler
• Quantile Regresyon
• Reel Döviz Kuru

The Effect of Global and Local Factors in Azerbaijan Reel Exchange Rate: Evidence from Quantile Regression

Öz

In this study, we analyze the effect of selected local and global factors on Azerbaijan's real exchange rate during the period of January 2013 to April 2021, using the quantile regression method that takes asymmetry into account. The results showed that all variables generally influence the real exchange rate at lower quantiles. Specifically, an increase in OILP and CPI leads to a decrease in RER at Q1-Q5 and Q1-Q2, respectively. Furthermore, an increase in RESV and GPR leads to a decrease in RER at Q1-Q2 and Q1, respectively. The effect of the coefficients also decreases as the quantiles increase.

Anahtar Kelimeler

• Real Exchange Rate
• Azerbaijan
• Oil Prices
• Global Factors
• Quantile Regression.

Kaynakça

1. Ağazade, Seymur. “Reel Döviz Kuru ve Petrol Fiyatlari İlişkisinde Asimetri: Azerbaycan Örneğinde Bir İnceleme.” Uluslararası Iktisadi ve Idari Incelemeler Dergisi, (2018), 113–126.
2. Aizenman, Joshua et al. Real Exchange Rate and International Reserves in the Era of Financial Integration. National Bureau of Economic Research, 2023.
3. Aizenman, Joshua - Lee, Jaewoo. “International Reserves: Precautionary versus Mercantilist Views, Theory and Evidence.” Open Economies Review 18 (2007), 191–214.
4. Aizenman, Joshua - Riera-Crichton, Daniel. “Real Exchange Rate and International Reserves in an Era of Growing Financial and Trade Integration.” The Review of Economics and Statistics 90/4 (2008), 812–815.
5. Baur, Dirk G. “The Structure and Degree of Dependence: A Quantile Regression Approach.” Journal of Banking & Finance 37/3 (2013), 786–798.
6. Benigno, Gianluca et al. “Risk, Monetary Policy, and the Exchange Rate.” NBER Macroeconomics Annual 26/1 (2012), 247–309.
7. Cabezas, Luis - Gregorio, José De. “Accumulation of Reserves in Emerging and Developing Countries: Mercantilism versus Insurance.” Review of World Economics 155 (2019), 819–857.
8. Caldara, D - Iacoviello, M. “Measuring Geopolitical Risk. Working Paper.” Board of Governors of the Federal Reserve Board (January).

9. Czech, Katarzyna - Niftiyev, Ibrahim. “The Impact of Oil Price Shocks on Oil-Dependent Countries’ Currencies: The Case of Azerbaijan and Kazakhstan.” Journal of Risk and Financial Management 14/9 (2021), 431.
10. Davudova, Revana I. “Investigation of Unbalanced Open Economy System by Using Interval Mathematics for the Case of Azerbaijan Republic.” 10th International Conference on Theory and Application of Soft Computing, Computing with Words and Perceptions-ICSCCW-2019. 565–572. Springer, 2020.
11. Engel, Charles - Rogers, John H. “Deviations from Purchasing Power Parity: Causes and Welfare Costs.” Journal of International Economics 55/1 (2001), 29–57.
12. Frenkel, Jacob A. “The Collapse of Purchasing Power Parities during the 1970’s.” European Economic Review 16/1 (1981), 145–165.
13. Greene, William H. “Econometric Analysis (Eight Edition).” Pearson, 2018. Pearson.
14. Hacıhasanoğlu, Erk - Soytaş, Uğur. “Bileşik Öncü Gösterge Ve Sektörel Endeksler Arasındaki İlişki.” Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 26/1 (2011), 79–91.
15. Hasanov, Fakhri. “Dutch Disease and the Azerbaijan Economy.” Communist and Post-Communist Studies 46/4 (2013), 463–480.
16. Hasanov, Fakhri. The Impact of Real Effective Exchange Rate on the Non-Oil Export: The Case of Azerbaijan. University Library of Munich, Germany, 2010.
17. Hodrick, Robert J. “Risk, Uncertainty, and Exchange Rates.” Journal of Monetary Economics 23/3 (1989), 433–459.
18. Hui, Hon Chung. “The Long-Run Effects of Geopolitical Risk on Foreign Exchange Markets: Evidence from Some ASEAN Countries.” International Journal of Emerging Markets 17/6 (2022), 1543–1564.
19. Iyke, Bernard Njindan et al. “Exchange Rate Return Predictability in Times of Geopolitical Risk.” International Review of Financial Analysis 81 (2022), 102099.
20. Koenker, Roger. Quantile Regression. Cambridge university press, 2005.
21. Koenker, Roger - Bassett Jr, Gilbert. “Regression Quantiles.” Econometrica: Journal of the Econometric Society, 33–50.
22. Kulkarni, Kishore G - Ishizaki, Maiko. “Purchasing Power Parity Theory Revisited: Recent Evidence from US Dollar and Japanese Yen.” Global Business Review 3/1 (2002), 53–61.
23. Kydland, F E - Prescott, E C. “Rules Rather than Discretion in Practice.” Political Economy Journal 85/3 (1977), 473–491.
24. Li, Chia-Wei et al. “Glycosylation and Stabilization of Programmed Death Ligand-1 Suppresses T-Cell Activity.” Nature Communications 7/1 (2016), 12632.
25. Lin, Mei-Yin - Wang, Jue-Shyan. “Foreign Exchange Reserves and Inflation: An Empirical Study of Five East Asian Economies.” Taiwan: Aletheia University, Taiwan and National Chengchi University. Pp, 1–18.
26. MacDonald, Ronald - Taylor, Mark P. “Exchange Rate Economics: A Survey.” Staff Papers 39/1 (1992), 1–57.
27. Mukhtarov, Shahriyar et al. “The Impact of Oil Price Shocks on National Income: Evidence from Azerbaijan.” Energies 14/6 (2021), 1695.
28. Narayan, Paresh Kumar. “Has COVID-19 Changed Exchange Rate Resistance to Shocks?” Asian Economics Letters 1/1 (2020).
29. Petkov, Boris. “Real Exchange Rates Determination: Purchasing Power Parity (PPP), and Balassa-Samuelson Hypothesis.” Journal of Eastern European and Central Asian Research (JEECAR) 4/1 (2017), 11.
30. Pettinger, Tejvan. Cracking Economics. Cassell, 2017.
31. Rahimli, Nurlan - Nazirov, Mahir. “Impact of Oil Price On Azerbaijan Economy: Relationship Between Oil Prices, Real Effective Exchange Rates and Real GDP.” ASERC Journal of Socio-Economics Studies 3/1 (2020), 37–45.
32. Salisu, Afees A et al. “Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies.” Asian Economics Letters 2/3 (2021).
33. Salisu, Afees A et al. “Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS.” International Review of Economics & Finance 77 (2022), 179–190.
34. Şit, Mustafa - Karadağ, Haydar. “Döviz Kurunu Belirleyen Ekonomik Faktörler: Türkiye Ekonomisi Için Ardl Sinir Testi Uygulamasi.” International Journal of Economic & Administrative Studies 23 (2019), 151–168.
35. Zhu, Huiming et al. “The Heterogeneity Dependence between Crude Oil Price Changes and Industry Stock Market Returns in China: Evidence from a Quantile Regression Approach.” Energy Economics 55 (2016), 30–41.
36. Zulfigarov, Farid - Neuenkirch, Matthias. “The Impact of Oil Price Changes on Selected Macroeconomic Indicators in Azerbaijan.” Economic Systems 44/4 (2020), 100814.