Geçiş Ekonomilerinde Reel Efektif Döviz Kuru Dinamikleri: Doğrusal Olmayan, Asimetrik ve Eşik Tabanlı Modellerden Bulgular

Öz

Bu çalışma, satın alma gücü paritesinin (SAGP) geçerliliğini geçiş ekonomilerinde yeniden değerlendirmek amacıyla 1994-2024 dönemi için dokuz ülkenin reel efektif döviz kuru (REDK) dinamiklerini incelemektedir. Söz konusu ekonomilerin yaşadığı derin ekonomik dönüşümler, politika rejimi değişimleri ve tekrarlayan dışsal şoklar dikkate alınarak, analiz doğrusal birim kök testlerini doğrusal olmayan, asimetrik, eşik otoregresif (TAR) ve içsel yapısal kırılmayı dikkate alan Zivot-Andrews birim kök testiyle bütünleştiren tekil bir ampirik çerçeve kullanmaktadır. Bulgular, ülkeler arasında belirgin farklılıklar bulunduğunu göstermekte ve SAGP’nin genel bir uzun dönem denge koşulu olarak ancak sınırlı ölçüde desteklendiğine işaret etmektedir. Doğrusal olmayan veya rejime bağlı ortalamaya dönüş davranışı yalnızca sınırlı sayıda ülkede tespit edilirken, REDK sapmaları asimetri ve yapısal kırılmalar dikkate alındığında dahi çoğu ülkede yüksek derecede kalıcı olmaya devam etmektedir. TAR bulguları, eşik değişkeninin 25., 50. ve 75. yüzdelik dilimlerine dayanan alternatif eşik tanımları altında genel olarak sağlamlığını korumaktadır. Çalışma, doğrusal ve doğrusal olmayan REDK uyum dinamiklerini bütüncül bir ampirik çerçevede inceleyerek literatüre katkı sağlamaktadır. Elde edilen bulgular, SAGP temelli ortalamaya dönüşün geçiş ekonomilerinde reel döviz kuru davranışının genel bir özelliği olarak değerlendirilemeyeceğini göstermekte ve uzun dönemli döviz kuru dinamiklerinin analizinde doğrusal olmayan, asimetrik ve rejime bağlı uyum mekanizmalarının dikkate alınmasının önemini ortaya koymaktadır.

Anahtar Kelimeler

• Satın alma gücü paritesi
• Reel efektif döviz kurları
• Geçiş ekonomileri
• Eşik otoregresif modelleri
• Yapısal kırılmalar

Real Effective Exchange Rate Dynamics in Transition Economies: Evidence of Nonlinear, Asymmetric, and Threshold-Based Adjustment

Öz

This study re-examines the validity of purchasing power parity (PPP) in transition economies by investigating the dynamics of real effective exchange rates (REERs) for nine countries over the period 1994-2024. Given the profound economic transformation, policy regime changes, and recurrent external shocks experienced by these economies, the analysis employs a unified empirical framework combining linear unit root tests with nonlinear, asymmetric, threshold autoregressive (TAR), and Zivot-Andrews unit root tests with an endogenous structural break. The empirical results reveal substantial cross-country heterogeneity and provide only limited support for PPP as a general long-run equilibrium condition. Nonlinear or regime-dependent mean reversion is identified for only a subset of countries, while REER deviations remain highly persistent in most cases, even after accounting for asymmetries and structural breaks. The TAR findings are broadly robust to alternative threshold definitions based on the 25th, 50th, and 75th percentiles of the threshold variable. These findings contribute to the literature by providing a comprehensive assessment of linear and nonlinear REER adjustment dynamics within a unified empirical framework. The evidence suggests that PPP-based mean reversion cannot be regarded as a general characteristic of real exchange rate behaviour across transition economies and highlights the importance of considering nonlinear, asymmetric, and regime-dependent adjustment mechanisms when evaluating long-run exchange rate dynamics.

Anahtar Kelimeler

• Purchasing power parity
• Real effective exchange rates
• Transition economies
• Threshold autoregressive models
• Structural breaks

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