Döviz Kuru Oynaklığı ve Hane Halkı Tüketim Harcamaları: Türkiye’den Kanıtlar

Yıl 2023, , 283 - 296, 31.01.2023

Sinem Koçak , Çiğdem Karış

https://doi.org/10.17233/sosyoekonomi.2023.01.15

Cited By: 1

Öz

Bu çalışmanın amacı 2003:Q1-2021:Q2 dönemi için Türkiye ekonomisinde döviz kuru oynaklığının reel tüketim harcamaları üzerine olan kısa ve uzun dönem etkilerini Gecikmesi Dağıtılmış Otoregresif (ARDL) sınır testi yaklaşımı kullanarak araştırmaktır. Çalışmada döviz kuru oynaklığı serisi için Otoregresif Koşullu Değişen Varyans (ARCH) modelinden elde edilen koşullu varyans değerleri kullanılmıştır. ARDL sınır testinden elde edilen sonuçlar, kısa dönemde reel kur oynaklığının reel tüketim harcamaları üzerinde bir etkisinin olmadığını, uzun dönemde reel kur oynaklığının reel tüketim harcamalarını negatif etkilediğini ortaya koymuştur. Bu bulgu, döviz kuru oynaklığının gayri safi yurt içi hasılanın bir diğer önemli kalemi olan tüketim harcamaları için de önemli bir bileşen olabileceğini göstermiştir.

Anahtar Kelimeler

Döviz Kuru Oynaklığı, Tüketim Harcamaları, ARDL Sınır Testi, Türkiye

Exchange Rate Volatility and Domestic Consumption: A Time Series Evidence of Turkey

Öz

This study examines the short-run and long-run effects of exchange rate volatility on real consumption expenditures in the Turkish economy for 2003:Q1-2021:Q2 by using the Autoregressive Distributed Lag (ARDL) bounds testing approach. The analysis uses conditional variance values estimated from the Autoregressive Conditional Heteroskedastic (ARCH) model for the exchange rate volatility series. The ARDL bounds test results revealed that real exchange rate volatility has no effect on real consumption expenditures in the short run but affects real consumption expenditures negatively in the long run. This finding suggests that the exchange rate volatility may be an important component of consumption expenditures, which is another critical component of GDP.

Anahtar Kelimeler

Exchange Rate Volatility, Domestic Consumption, ARDL Bounds Test, Turkey

Kaynakça

• Alexander, S.S. (1952), “Effects of a Devaluation on a Trade Balance”, Staff Papers-International Monetary Fund, 2(2), 263-278.
• Apere, T.O. (2014), “Private Consumption Expenditure Function in Nigeria: Evidence from The Keynes' Absolute Income Hypothesis”, International Journal of Research in Social Science, 4(3), 53-58.
• Bahmani-Oskooee, M. & D. Xi (2011), “Exchange Rate Volatility and Domestic Consumption: A Multicountry Analysis”, Journal of Post Keynesian Economics, 34(2), 319-330.
• Bahmani-Oskooee, M. & D. Xi (2012b), “Exchange Rate Volatility and Domestic Consumption: Evidence from Japan”, Economic Systems, 36(2), 326-335.
• Bahmani-Oskooee, M. & M. Hajilee (2010), “On The Relation between Currency Depreciation and Wages”, Applied Economics Letters, 17(6), 525-530.
• Bahmani-Oskooee, M. & M. Hajilee (2012a), “On The Relation Between Currency Depreciation and Domestic Consumption-La Relazione Tra Deprezzamento Della Valuta E Consumi İnterni”, Economia Internazionale/International Economics, 65(4), 503-512.
• Bahmani-Oskooee, M. et al. (2015), “Does Exchange Rate Volatility Hurt Domestic Consumption? Evidence From Emerging Economies”, International Economics, 144(4), 53-65.
• Campbell, J.Y. & N.G. Mankiw (1989), “Consumption, Income and Interest Rates: Reinterpreting The Time Series Evidence”, NBER Macroeconomics Annual, 4, 185-216.
• Demirgil, H. & S. Çelikkaya (2019), “Türkiye’de Döviz Kuru Oynaklığı ve Hane halkı Harcamaları Arasındaki İlişki”, Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(3), 832-845.
• Dickey D.A & W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057 1072.
• Dickey, D.A. & A.F. Wayne (1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(266a), 427-431.
• Engle, R.F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 987-1007.
• Ezeji, C.E. & E.I. Ajudua (2015), “Determinants of Aggregate Consumption Expenditure in Nigeria”, Journal of Economics and Sustainable Development, 6(5), 164-168.
• Hall, S.G. et al. (1997), “Cointegration and Changes in Regime: The Japanese Consumption Function”, Journal of Applied Econometrics, 12(2), 151-168.
• Hatemi-J, A. (2003), “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models”, Applied Economics Letters, 10(3), 135-137.
• Hatemi-J, A. (2012), “Asymmetric Causality Tests with an Application”, Empirical Economics, 43, 447-456.
• Iyke, B.N. & S.Y. Ho (2018), “Real Exchange Rate Volatility and Domestic Consumption in Ghana”, The Journal of Risk Finance, 19(5), 513-523.
• Jin, F. (1995), “Cointegration of Consumption and Disposable Income: Evidence from Twelve OECD Countries”, Southern Economic Journal, 62(1), 77-88.
• Kim, H. (2017), “The Effect of Consumption on Economic Growth in Asia”, Journal of Global Economics, 5(3), 1-8.
• Kugler, P. (1985), “Autoregressive Modelling of Consumption, Income, Inflation and Interest Rate Data: A Multicountry Study”, Empirical Economics, 10(1), 37-50.
• Kumar, A. et al. (2019), “Impact of External Debt and Exchange Rate Volatility on Domestic Consumption: New Evidence from Pakistan”, Cogent Economics & Finance, 7(1), 1-11.
• Mishra, P.K. (2011), “Dynamics of the Relationship between Real Consumption Expenditure and Economic Growth in India”, Indian Journal of Economics & Business, 10(4), 553-563.
• Obstfeld, M. & K.S. Rogoff (1998), “Risk and Exchange Rates”, NBER Working Paper Series, 6694.
• Oseni, I.O. (2016), “Exchange Rate Volatility and Private Consumption in Sub-Saharan African Countries: A System-GMM Dynamic Panel Analysis”, Future Business Journal, 2(2), 103-115.
• Pesaran, M.H. & S. Yongcheol (1999), “Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, in: S. Strom (ed.), Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium (371-413), Cambridge: Cambridge University Press.
• Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), 289-326.
• Phillips, P.C.B & P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
• Radulescu, M. et al. (2019), “Consumption vs Investments for Stimulating Economic Growth and Employment in The CEE Countries-A Panel Analysis”, Economic Research-Ekonomska istraživanja, 32(1), 2329-2352.
• Saad, W. (2011), “An Econometric Study of The Private Consumption Function in Lebanon”, International Research Journal of Finance and Economics, 61, 29-41.
• Sarı, S. & K. Yıldırım (2021), “Özel Tüketim Harcamalarının Belirleyicileri: Türkiye Ekonomisi Üzerine Bir Uygulama”, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 21(2), 391-416.
• Yamak, R. & H.F. Erdem (2017), Uygulamalı Zaman Serisi Analizleri, Eviews Uygulamalı, Celepler Matbaa, Trabzon.
• Yamak, R. vd. (2019), “Tüketim Fonksiyonu ve Tüketici Güven Endeksi”, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(19), 533-558.