KÜRESEL EKONOMİK POLİTİKA BELİRSİZLİKLERİ VE REEL EFEKTİF DÖVİZ KURLARI ARASINDA KISA VE UZUN DÖNEMLİ İLİŞKİLER

Yıl 2024, Sayı: 45, 79 - 96, 31.10.2024

Melih Kutlu

https://doi.org/10.18092/ulikidince.1474200

Öz

Ekonomik politikasında belirsizliklerin arttığı dönemlerde döviz kurları daha istikrarsız hale gelmektedir. Bu çalışmanın amacı, gelişmekte olan ülkelerde Küresel Ekonomik Politik Belirsizlik Endeksi (GEPU) ile reel efektif döviz kurları (REDK) arasındaki ilişkiyi araştırmaktır. Bu nedenle Ocak 2010- Kasım 2023 dönemini kapsayan çalışmada ARDL ve Almon modeli kullanılmaktadır. ARDL modeli ile uzun dönemli ilişki, Almon modeli ile hem kısa hem de uzun dönemli geçişkenlik etkisi test edilmektedir. Türkiye, Brezilya, Çin ve Güney Afrika analiz edilen ülkelerdir. ARDL modeline göre tüm ülkelerde GEPU ve REDK arasında uzun dönemli ilişki mevcuttur. Almon modelinden elde edilen bulgulara göre Türkiye, Brezilya ve Güney Afrika REDK'in GEPU'dan hem kısa vadede hem de uzun vadede olumsuz etkilendiği, en çok etkilenen ülkenin ise Türkiye olduğu tespit edilmiştir. Çin’in küresel ekonomik belirsizliğin kaynağı olan ülkelerden bir olduğu tespit edilmiştir. Ayrıca ekonomik politik belirsizliği oluşturan nedenler de gelişmekte olan ülkelerde REDK üzerinde etkilidir. Sonuçlar politika yapıcıların istikrarsızlık unsurlarına gecikmeden derhal müdahale etmeleri ve müdahalede esnekliği ve çeşitliliği artırmaları gerektiğine işaret etmektedir.

Anahtar Kelimeler

Küresel Ekonomik Politik Belirsizlik Endeksi (GEPU), Reel Efektif Döviz Kuru, ARDL, Almon Modeli

SHORT AND LONG-TERM RELATIONSHIPS BETWEEN GLOBAL ECONOMIC POLICY UNCERTAINTIES AND REAL EFFECTIVE EXCHANGE RATES

Öz

In periods of increased economic policy uncertainty, exchange rates tend to become more unstable. The aim of this study is to investigate the relationship between the Global Economic Policy Uncertainty Index (GEPU) and real effective exchange rates (REER) in developing countries. To achieve this, I employ the ARDL (Autoregressive Distributed Lag) and Almon models for the period from January 2010 to November 2023. The ARDL model examines the long-term relationship, while the Almon model tests both short-term and long-term pass-through effects. Türkiye, Brazil, China, and South Africa are the countries analyzed. According to the ARDL model, there exists a long-term relationship between GEPU and REER in all countries. Findings from the Almon model indicate that Türkiye, Brazil, and South Africa experience negative effects on REER from GEPU in both the short and long run, with Türkiye being the most affected. Additionally, China is identified as one of the countries contributing to global economic policy uncertainty. The factors causing economic policy uncertainty also impact REER in developing countries. The results highlight the need for policymakers to promptly address instability factors and enhance flexibility and diversification in their interventions.

Anahtar Kelimeler

Global Economic Policy Uncertainty Index (GEPU), Real Effective Exchange Rate, ARDL, Almon Model

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