REAL EXCHANGE RATE AND FOREIGN TRADE, SAMPLE OF TURKEY (2003 -2010)

Yıl 2012, Cilt: 12 Sayı: 23, 289 - 312, 01.06.2012

Zeynep Karaçor Mustafa Gerçeker

Öz

As a result of the variation in exchange rate, the point that who are benefitted from the
advantages of price and at what measurement has an importance in terms of that the
exchange rate policies are able to show their expected effects on the balance of foreign
trade. With moving from this point, the direction of causality between the exchange rate
and rates of foreign trade is still continuing to be the subject of discussion in the literature.
There are two alternative approach explaining this issue. The first of these is the approach
of ”Standard Theory” putting forward that there is a causality relationship from the
variations in the rates of foreign trade to the real exchange rate. According to the approach “Standard Theory”, as a result of an improvement occurring in the rates of foreign trade,
via income transfer from foreign area to the domestic area, a rise can occur in the level of
domestic price compared to that of foreign price, whereas the second approach is the
approach of pass-through. According to the approach of pass- through, it is suggested that
there is a cross directional relationship from the variations in exchange rates to the rates of
foreign trade.
On the other hand, the approach of interpreting dynamically the relationship between
real variations emerging in the value of monetary unit and balance of foreign trade
generated the hypothesis of J Curve. According to this hypothesis, while the balance of
foreign trade is associated with the real variations occurring in local monetary unit in
positive direction, when considering the long term, a negative directional relationship
releases between two variables of interest. The hypothesis J Curve is considered as the
prediction that in long term, effect of price will be dominant, effect of income in short
term. The relationship exchange rate - foreign trade balance occupying a large place in the
literature of economics comes into our face as an important issue in terms of countries,
like Turkey, whose economies are developing. In this context, via industrialization toward
export, in the counties targeting on integrating to the global markets, the policies of
exchange rate have a highly importance. Together with slowly elimination of the effects
of global crisis experienced in 2008, the issue that current accounts deficit is one of the
most important problem of Turkey economy has been begun to be discussed again.
Primarily, since current accounts deficit is resulted from foreign trade deficit, the situation
of the relationship between real exchange rates and foreign trade deficit are questioned
again. In Turkey, there is a general view in the direction that real exchange rates is the
most important factor on real exchange rate. In the periods, in which a rise occurs in the
real exchange rates (national currency revalues), due to weakening of international
competition power, via experiencing a decrease in export, an increase of import (on the
reason for becoming cheaper of import goods ) in return to this, that foreign trade deficit
grows is accepted. In short, while accepting that there is a positive directional relationship
between real exchange rates and import, it is assumed that a negative directional
relationship between real exchange rates and export. However, the data post -2009 are
purely examined, it can be observed that this situation does not always comes into effect
in such a way, in some years, when the increases are experienced in real exchange rate
(2004, 2005, 2007, 2010), rises in export figures can be observed in contrast to the
expectations.
In he literature, there are many studies, carried out in domestic and foreign areas,
examining the relationship between exchange rates and export – import. When regarding
to the studies, in which, for Turkey economy, the relationship exchange rate – foreign
trade is examined in the process for the last two years in the context of the relationships of
cointegration and causality, in the study carried out by Aktaş (2010) on Turkey, the
relationships between real exchange rates and import and export were studied for the
period 1989:1 – 2008:4 via VAR analysis, using the quarterly data. According to the
empirical results of this study, it was concluded that any variation in real exchange rate
did not have any significant influence on the foreign trade balance and that real exchange
rate could not be used effectively in providing foreign trade balance. In the study, called
“Econometric Analysis of The Relationship between Exchange Rate Variability and
Export in Turkey: 1999 - 2008”, carried out by Altıntaş and Öz(2010), for the period 1999
– 2008, using the data quarterly, the relationship between the series of export, exchange rate variability, foreign income, relative export price, and foreign direct capital via
cointegration method, while causality relationship between variables via error correction
method. According to the results of long termed prediction obtained by VAR Method, it
was found that there was a negative relationship between export and exchange rate
variability and relative export price, a positive and significant relationship with foreign
direct capital. Although foreign income variable was found to be in positive relationship,
it was identified that this relationship was not significant. According to causality analysis,
in the models of export, foreign direct investment, and foreign income, it was identified
that there was a long termed causality relationship.
When the studies of the last five years was regarded to in terms of foreign literature,
in the study carried out by Aziz (2008) on the sample Bangladesh, the effect of reel
effective exchange rate on foreign trade balance was studied via the tests of cointegration
and causality. In the conclusion of study carried out by using the data of the period 1977 –
2005, in Bangladesh economy, for the period under consideration, real effective exchange
rate affected the foreign trade balance positively and significantly for long and short
terms. According to the results of causality test, it was concluded that real effective
exchange rates was Granger reason of foreign trade balance. Yuen - Ling, Wai - Mun and
Geoi - Mei (2008), for the period 1955 – 2006, in Malaysia economy, examined the
relationship between real exchange rates and foreign trade balance in he frame of
cointegration, technique, causality analysis, and VECM model. According to the findings
obtained, a long termed relationship emerged between real exchange rate and foreign
trade balance. Beside this, the results obtained from the study, in accordance with the
condition Marshall – Lerner, show that devaluation will improve the trade balance in long
term and that there is no J Curve in Malaysia. Zhe (2007), between China and its other
trade partners, for the period 1997 – 2006, studied the relationship between foreign trade
surplus and real effective exchange rate, using cointegration test. According to the
findings obtained from the studies, it was concluded that there was long termed and stable
relationship between real effective exchange rate and trade balance
In this study, in which the relationship between real exchange rate and foreign trade,
two phenomena of interest was empirically examined with monthly data covering the
period 2003:1 – 2010:12, using the methods of Stability Test (Unit Root Analysis), VAR
Model, Cointegration Analysis, and Error Correction Model. The data of real effective
exchange rate and foreign trade volume (export + import) used in study were provided
from Turkish Republic Central Bank Electronic Data Distribution System (EDDS).
Firstly, the data of foreign trade data used were brought into real, using the series of
Producer Prices Series (PPS). Then, following the stages such as seasonality and normal
distribution tests, bring the series used in the study into stable, causality analysis was
carried out.
In summary, according to the findings obtained from this study, it was found that
there was a cointegration relationship between real exchange rates and foreign trade
volume. On the other hand, while finding a causality relationship in both short and long
term from real exchange rate to foreign trade volume, it was found that there was only a
short termed causality relationship from foreign trade volume to real exchange rates.

Anahtar Kelimeler

Real Exchange Rates, Foreign Trade, Cointegration, Causality Analysis

REEL DÖVİZ KURU VE DIŞ TİCARET İLİŞKİSİ: TÜRKİYE ÖRNEĞİ (2003 - 2010)

Öz

Türkiye’de reel döviz kuru ile dış ticaret arasındaki ilişkinin araştırıldığı bu çalışmada sırasıyla; “Durağanlık Testi (Birim Kök Analizi), VAR Modeli, Koentegrasyon (Eşbütünleşme) Analizi, Hata Düzeltme Modeli” metodları uygulanarak söz konusu iki olgu, 2003: 1 - 2010: 12 dönemini kapsayan aylık verilerle ampirik olarak incelenmiştir. Elde edilen bulgulara göre reel döviz kurları ile dış ticaret hacmi arasında eşbütünleşme ilişkisinin varlığı tespit edilmiştir. Öte yandan, reel döviz kurlarından dış ticaret hacmine yönelik hem kısa hem de uzun dönemde bir nedensellik ilişkisi bulunurken, dış ticaret hacminden reel döviz kurlarına yönelik olarak yalnızca kısa dönemde bir nedensellik bulunduğu tespit edilmiştir.

Anahtar Kelimeler

Reel Döviz Kurları, Dış Ticaret, Eşbütünleşme Analizi, Nedensellik Analizi