Finansal Dışa Açıklık ve Faiz Oranının Döviz Kuru Oynaklığına Etkisi: Yeni Nesil Zaman Serisi Analizleri

Sevda Yapraklı; Elifnur Tığtepe

doi:10.16951/trendbusecon.1468730

TR EN

Finansal Dışa Açıklık ve Faiz Oranının Döviz Kuru Oynaklığına Etkisi: Yeni Nesil Zaman Serisi Analizleri

Öz

Bu çalışmada özellikle gelişmekte olan ülkelerin iç ve dış denge amaçları açısından son derece önemli olan finansal dışa açıklık ve faiz oranının döviz kuru oynaklığı üzerindeki etkileri araştırma konusu yapılmıştır. Bu amaçla çalışmada; Türkiye için finansal açıklık, faiz oranları ve EGARCH yöntemi ile tespit edilen döviz kuru oynaklığına ilişkin 2002Q1-2023Q1 dönemine ait çeyreklik veriler kullanılmıştır. Çalışmada, geleneksel ADF birim kök testinin yanı sıra yeni nesil zaman serisi analizleri olan F-Kruse birim kök ve Fourier-Shin eş-bütünleşme testleri kullanılmıştır. Ayrıca uzun dönem katsayısı belirlemek için DOLS modeli tahmin edilmiştir. Yapılan analizlerin sonuçları, Türkiye’de döviz kuru oynaklığı üzerinde finansal dışa açıklıktaki ve faiz oranlarındaki artışın sırasıyla negatif ve pozitif etkileri olduğunu göstermektedir. Söz konusu bulgular, Türkiye’nin dış borçlanmaya ihtiyacı olan bir ülke konumunda olduğuna, faizlerin yanı sıra finansal istikrara da önem verilmesi gerektiğine işaret etmektedir.

Anahtar Kelimeler

Döviz Kuru Oynaklığı , Finansal Dışa Açıklık , Faiz Oranı , Türkiye , EGARCH , Fourier Shin Eşbütünleşme Testi , DOLS

The Effect of Financial Openness and Interest Rate on Exchange Rate Volatility: New Generation Time Series Analyzes

Abstract

In this study, the effects of financial openness and interest rate on exchange rate volatility, which are important especially for the internal and external balance purposes of developing countries, were investigated. For this purpose, quarterly data for the period 2002Q1-2023Q1 regarding financial openness, interest rates, and exchange rate volatility determined by the EGARCH method for Turkey were used in the study. In the study, ADF unit root test and the new generation time series analyses, F-Kruse unit root and Fourier-Shin cointegration tests, were used. Furtermore, DOLS model was estimated to determine the long-term coefficients. The results of used analyzes showed that the increase in financial openness and interest rates had respectively negative and positive effects on exchange rate volatility in Turkey. These findings have pointed that Turkey is a country in need of external borrowing, and it should be given importance financial stability as well as interest rates.

Keywords

Exchange Rate Volatility , Financial Openness , Interest Rate , Turkey , EGARCH , Fourier Shin Cointegration Test , DOLS

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

Politik Ekonomi

Bölüm

Araştırma Makalesi

Yazarlar

Sevda Yapraklı
0000-0002-1902-899X
Türkiye

Elifnur Tığtepe ^*
0000-0001-8751-508X
Türkiye

Erken Görünüm Tarihi

15 Nisan 2024

Yayımlanma Tarihi

22 Nisan 2024

Gönderilme Tarihi

15 Kasım 2023

Kabul Tarihi

7 Şubat 2024

Yayımlandığı Sayı

Yıl 2024 Cilt: 38 Sayı: 2

DOI

https://doi.org/10.16951/trendbusecon.1468730

IZ

https://izlik.org/JA43DU22TY

APA

Yapraklı, S., & Tığtepe, E. (2024). Finansal Dışa Açıklık ve Faiz Oranının Döviz Kuru Oynaklığına Etkisi: Yeni Nesil Zaman Serisi Analizleri. Trends in Business and Economics, 38(2), 120-127. https://doi.org/10.16951/trendbusecon.1468730

Content of this journal is licensed under a Creative Commons Attribution 4.0 International License

29928

Finansal Dışa Açıklık ve Faiz Oranının Döviz Kuru Oynaklığına Etkisi: Yeni Nesil Zaman Serisi Analizleri

Öz

Anahtar Kelimeler

The Effect of Financial Openness and Interest Rate on Exchange Rate Volatility: New Generation Time Series Analyzes

Abstract

Keywords

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Erken Görünüm Tarihi

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster