TÜRKİYE’DE TÜKETİCİ GÜVENİ VE DÖVİZ KURU İLİŞKİSİ

Yıl 2020, Cilt: 7 Sayı: 1, 231 - 248, 28.02.2020

Özer Arabacı Metin Özdemir

https://doi.org/10.30626/tesamakademi.618904

Cited By: 6

Öz

Bu çalışma 2012:01-2018:06 dönemi için Türkiye’de tüketici güven endeksi ile döviz kuru arasındaki ilişkiyi, eşbütünleşme yöntemi ve nedensellik analizini kullanarak araştırmaktadır. Tüketici güveninin, konjonktürel dalgalanmaların öngörülmesi ve anlaşılmasında önemli rol oynadığı hususunda literatürde bir görüş birliği mevcuttur. Küçük açık ekonomiler söz konusu olduğunda döviz kuru değişkeni hem bir portföy tercihi unsuru hem de bir iktisat politikası değişkeni olma niteliğine sahiptir. Bu nedenle, makroekonomik büyüklüklerdeki değişmelerin ötesinde, iktisadi ajanların geleceğe yönelik kararları üzerinde psikolojik bir barometre işlevi görmektedir. Ampirik bulgularımız, döviz kuru ile tüketici güven endeksi arasında nedenselliğin döviz kurundan tüketici güven endeksine doğru olduğuna işaret etmektedir. Ayrıca,  döviz kuru şoklarının tüketici güven endeksi üzerinde istatistiksel olarak anlamlı bir şekilde kalıcı etkiye sahip olduğu görülmüştür.

Anahtar Kelimeler

Tüketici Güveni, Döviz Kuru, Nedensellik Analizi, Eşbütünleşme Yöntemi, Türkiye Ekonomisi

Consumer Confidence and Exchange Rate Relationship in Turkey

Öz

This study investigates the relationship between consumer confidence index and exchange rate by employing cointegration method and causality analysis for the period 2012:01-2018:06 in Turkey. There is a consensus in the literature that consumer confidence plays an important role in predicting and understanding cyclical fluctuations. In small open economies, the exchange rate is both a portfolio preference and an economic policy variable. For this reason, it is an important variable that functions as a psychological barometer on the future decisions of economic agents beyond the changes in macroeonomic aggregates. Our emprical findings indicate that there is a unidirectional relationship running from the exchange rate to the consumer confidence index. Also, exchange rate shocks has statistically significant and persistent effect on the consumer confidence index.

Anahtar Kelimeler

Consumer Confidence, Exchange Rate, Cointegration Method, Causality Analysis, Turkish Economy

Kaynakça

• Akerlof, G., Shiller, R. (2008). Animal Spirits. USA: Princeton University Press.
• Al-Eyd, A., Barrell, R., Davis, E.P. (2009). Consumer confidence indices and short-term forecasting of consumption. The Manchester School, 77(1), 96-111.
• Arısoy, I. (2012). Türkiye ekonomisinde iktisadi güven endeksleri ve seçilmiş makro değişkenler arasındaki ilişkilerin VAR analizi. Maliye Dergisi, 162, 304-315.
• Bachmann, R., Sims, E.R. (2012). Confidence and the transmission of goverment sspending shocks. Journal of Monetary Economics, 59(3), 235-249.
• Barsky, R.B., Sims, E.R. (2012). Information, animal spirits, and the meaning of innovations in consumer confidence. The American Economic Review, 102(4), 1343-1377.
• Beaudry, P., Portier, F. (2004). An exploration pigou’s theory of cycles. Journal of Monetary Economics, 51(6), 1183-1216. Beaudry, P., Willems, T. (2018). On the macroeconomic consequences of over-optimism. IMF Working Paper, No.18/122.
• Bekaert, G., Hoerova, M., Lo,D. (2013). Risk, uncertainty and monetary policy. Journal of Monetary Economics, 60(7), 771-788.
• Beşel, F., Yardımcıoğlu, F. (2016). Tüketici güven endeksi ile makro değişkenler arasındaki ilişki. Uluslararası Politik, Ekonomik ve Sosyal Araştırmalar Kongresi Bildiriler Kitabı, İstanbul, 475-487.
• Blanchard, O.J. (1993). Consumption and the recession of 1990-1991. The American Economic Review, 83(2), 270-274.
• Blanchard, O.J., L’Huillier, J.P., Lorenzoni, G. (2013). “News, noise, and fluctuations: An empirical exploration”. The American Economic Review, 103(7). 3045-3070. Blinder, A., Ehrmann, M., Haan, J., Jansen, D-J. (2017). Necessity as the mother of invention: monetary policy after the crisis. Economic Policy, 32(92), 707-755.
• Chen, S. S. (2011). Lack of consumer confidence and stock returns. Journal of Empirical Finance. 18(2), 225-236.
• Çelik, S. (2010). An unconventional analysis of consumer confidence index for the Turkish economy. International Journal of Economics and Finance Studies. 2(1), 121-129.
• Çelik, S., Aslanoğlu, E., Uzun, S. (2010). The relationship between consumer confidence and financial market variables in Turkey during the global crisis. Topics in Middle Eastern and North African Economies, 12. Erişim tarihi: 15.04.2019, https://ecommons.luc.edu/cgi/viewcontent.cgi?article=1133&context=meea Dees, S., Brinca, P.S. (2013). Consumer confidence as a predictor of consumption spending: Evidence for the United States and the Euro Area. International Economics, 134, 1-14.
• Evans, M.D. D., Lyons, R.K. (2008). How is macro news transmitted to exchange rates. Journal of Financial Economics, 88(1), 26-50.
• Farmer, R.E.A. (2010). Expectations, employment and prices. New York: Oxford University Press.
• Farmer, R.E.A. (2016). The evolution of endoneous business cycles. Macroeconomic Dynamics, 20(02), 544-557.
• Garner, A. C. (1991). Forecasting consumer spending: should economists pay attention to consumer confidence surveys?. Federal Reserve Bank of Kansas City Economic Review, 76(3), 57-71.
• Görmüş, Ş., Güneş, S. (2010). Consumer confidence, stock prices and exchange rates: The case of Turkey. Applied Econometrics and International Development, 10(2), 103-114.
• Grandmont, J.M. (1991). Expectations driven business cycles. European Economic Review, 35(2-3), 293-299.
• Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
• Grauwe, P. (2011). Animal spirits and monetary policy. Economic Theory, 47(2), 423-457.
• Gürgür, T., Kılınç, Z. (2015a). What drives the consumer confidence in Turkey?. Central Bank of the Republic of Turkey Research Notes in Economics, No. 15/17.
• Gürgür, T., Kılınç, Z. (2015b). In search of the drivers of the Turkish consumer confidence. Central Bank of the Republic of Turkey Working Paper, No.15/38. İbicioğlu, M., Kapusuzoğlu, A., Karan, M.B. (2013). Türkiye’deki tüketici güven endeksi ile döviz kuru arasındaki ilişkinin ampirik analizi. İşletme Araştırmaları Dergisi, 5(1), 5-16.
• Johansen, S. (1988). Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
• Kandır, S. Y. (2006). Tüketici güveni ve hisse senedi getirileri ilişkisi: İmkb mali sektör şirketleri üzerinde bir uygulama. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 15(2), 217-230.
• Karasoy, H. G. (2015). Consumer confidence indices and financial volatility. Central Bank of the Republic of Turkey Research Notes in Economics, No. 15/16.
• Karasoy, H. G., Yunculer, C. (2018). The explanatory power and the forecast performance of consumer confidence indices for private consumption growth in Turkey. Emerging Markets Finance and Trade, 54(9), 2136–2152.
• Katona, G. (1960). The powerful consumer. New York: McGraw-Hill.
• Katona, G. (1968). Consumer behavior: Theory and findings on expectations and aspirations. The American Economic Review, 58(2), 19-30.
• Keynes, J.M. (1936). The general theory of employment, interest, and Money. New York: Hartcourt Brace.
• Laine, M. (2018). The Confidence Paradox: Can Confidence Account for Business Cycles?. Journal of Economic Issues, 52(1), 136-156.
• Ludvigson, S.C. (2004). Consumer confidence and consumer spending. Journal of Economic Perspectives, 18(2), 29-50.
• MacKinnon, J. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601-618.
• Matsusaka, J. G., Sbordone, A.M. (1995). Consumer confidence and economic fluctuations. Economic Inquiry, 33(2), 296-318.
• Mishkin, F. S. (1978). Consumer sentiment and spending on durable goods. Brookings Papers on Economic Activity, 1978(1), 217-32.
• Omrane, W.B., Savaşer, T. (2017). Exchange rate volatility response to macroeconomic news during the global financial crisis. International Review of Financial Analysis, 52, 130-143.
• Pigou, A. C. (1927). Industrial fluctuations. London: MacMillan.
• Reinhart, C.M., Rogoff, K. (2004). The modern history of exchange rate arrangements: A reinterpretation. The Quarterly Journal of Economics, 119(1), 1-48.
• Rey, H. (2013. Dilemma not trilemma: the global financial cycle and monetary policy independence. Global Dimensions of Unconventional Monetary Policy, Federal Reserve Bank of Kansas City, Jackson Hole, 22-24 August, 285-333.
• Roos, M. W. (2008). Willingness to consume and ability to consume. Journal of Economic Behavior and Organization. 66(2), 387-402.
• Siklos, P.L. (2018). Boom-and-bust cycles in emerging markets: How important is the exchange rate?. Journal of Macroeconomics, 56, 172-187.
• Starr, M.A. (2012). Consumtion, sentiment and economic news. Economic Inquiry, 50(4), 1097-1111.
• Topuz, Y. V. (2011). Tüketici güveni ve hisse senedi fiyatları arasındaki nedensellik ilişkisi: Türkiye örneği. Ekonomik ve Sosyal Araştırmalar Dergisi, 7(1), 53-65.
• Tunalı, H., Özkan, İ.E. (2016). Türkiye’de tüketici güven endeksi ve tüketici fiyat endeksi arasındaki ilişkinin ampirik analizi. İktisat Politikası Araştırmaları Dergisi, 3(2), 54-67.
• Woodford, M. (2003). Interest and prices: Foundations of a theory of monetary policy. USA: Princeton University Press.