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

Yıl 2024, Sayı: 45, 79 - 96

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

Kaynakça

• Almon, S. (1965). The Distributed Lag Between Capital Appropriations and Expenditures. Econometrica: Journal of the Econometric Society, 33(1), 178-196. https://doi.org/10. 2307/1911894
• Baker, S. R., Bloom, N., ve Davis, S. J. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
• Balcılar, M., Gupta, R., Kyei, C., ve Wohar, M. E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence From a Nonparametric Causality-In-Quantiles Test. Open Economic Review, 27, 229-250. https://doi.org/10.1007/s11079-016-9388-x
• Bartsch, Z. (2019). Economic Policy Uncertainty and Dollar-Pound Exchange Rate Return Volatility. Journal of International Money and Finance, 98, 1-17. https://doi.org/10.1016/j.jimonfin .2019.102067
• Beckman, J., ve Czudaj, R. (2017). Exchange Rate Expectations and Economic Policy Uncertainty. European Journal of Political Economy, 47, 148-162. https://doi.org/10.1016/j.ejpoleco. 2016.06.003
• Brogaard, J., Dai, L., Ngo, P.T., & Zhang, B. (2020). Global political uncertainty and asset prices. The Review of Financial Studies, 33(4), 1737–1780. https://doi.org/10.1093/rfs/hhz087
• Bush, G., ve Noria, G. L. (2021). Uncertainty and Exchange Rate Volatility: Evidence from Mexico. International Review of Economics and Finance, 75, 704-722. https://doi.org/10.1016/ j.iref.2021.04.029
• Chang, H. B., Derindağ, O. F., Hacıevliyagil, N., ve Çanakçı, M. (2022). Exchange Rate Response To Economic Policy Uncertainty: Evidence Beyond Asymmetry. Humanities and Social Sciences Communications, 9(358), 1-14. https://doi.org/10.1057/s41599-022-01372-5
• Davis, S. J. (2016). An index of global economic policy uncertainty. NBER Working Paper Series, 22740. https://doi.org/10.3386/w22740
• Dickey, D., ve Fuller, W. A. (1979). Distribution of the Estimates for Autoregressive Time Series with A Unit Root. Journal of the American Statistical Association, 74(266a), 427-431. https://doi.org/10.2307/2286348
• Gradojevic, N. (2021). Brexit and Foreign Exchange Market Expectations: Could It Have Been Predicted? Annals of Operations Research, 297, 167-189. https://doi.org/10.1007/s10479-020-03582-z
• Güney, P. Ö. (2020). Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı. Bankacılar Dergisi, 114, 3-17.
• Gürsoy, S. (2021). Küresel Ekonomik Politik Belirsizliğin (GEPU) Döviz Kuru, Enflasyon ve Borsa Etkisi: Türkiye’den Kanıtlar. Journal of Vocational and Social Sciences of Türkiye, 3(5), 120-131. https://doi.org/10.46236/jovosst.877608
• İmre, S. (2021). OECD Ülkelerinde Satın Alma Gücü Paritesi Hipotezinin Geçerliliği: Fourier Testinden Kanıtlar. Uluslararası Ekonomi, İşletme ve Politika Dergisi, 5(2), 274-289. https://doi.org/10.29216/ueip.988853
• Krol, R. (2014). Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17(2), 241–255. https://doi.org/10.1111/infi.12049
• Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178. https://doi.org/10.1016 /0304-4076(92)90104-Y
• Liming, C., Ziqing, D. ve Zhihao, H. (2020). Impact of Economic Policy Uncertainty on Exchange Rate Volatility of China. Finance Research Letters, 32, 1-5. https://doi.org/10.1016/j.frl.2019 .08.014
• Narayan, P. K. (2005). The Saving and Investment Nexus for China: Evidence from Cointegration Tests. Applied Economics, 37(17), 1979-1990. https://doi.org/10.1080/000368405002 78103
• Olanipekun, I. O., Güngör, H., ve Olasehinde-Williams, G. (2019). Unraveling The Causal Relationship Between Economic Policy Uncertainty and Exchange Market Pressure in BRIC Countries: Evidence from Bootstrap Panel Granger Causality. SAGE Open, 9(2), 1-13. https://doi.org/10.1177/2158244019853903
• Pesaran, M. H., Yongcheol S. ve Richard S. (2001). Bounds Testing Approaches to The Analysis of Level Relationships. Journal of Applied Econometrics, 16, 289–326.
• Phillips, P. C., ve Perron, P. (1988). Testing For a Unit Root in Time Series Regression. Biometrica, 75(2), 335-346. https://doi.org/10.2307/2336182
• Ruan, Q., Zhang, J., ve Lv, D. (2023). Forecasting Exchange Rate Volatility: Is Economic Policy Uncertainty Better? Applied Economics, https://doi.org/10.1080/00036846.2023.2176457
• Sohag, K., Gainetdinova, A. ve Mariev, O. (2022). The Response of Exchange Rates to Economic Policy Uncertainty: Evidence from Russia. Borsa Istanbul Review, 22(3), 534-545. https://doi.org/10.1016/j.bir.2021.07.002
• Songur, M., ve Sertkaya, B. (2023). Döviz Kuru ile Ekonomik Politika Belirsizlik Endeksi Arasındaki İlişkinin Fourier Yaklaşımı ile Analizi: BRIC Ülkeleri Örneği. Journal of Academic Opinion, 3(1), 11-15.
• Stracca, L. (2015). Our Currency, Your Problem? The Global Effects of The Euro Debt Crisis. European Economic Review, 74, 1-13. https://doi.org/10.1016/j.euroecorev.2014.10.009
• Tümtürk, O. (2022). Global Uncertainty and Exchange Rate Volatility. Ekoist: Journal of Econometrics and Statistics, 37, 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795
• Wang, P., Li, Y., ve Wu, S. (2022). Time-Varying Effects of U.S. Economic Policy Uncertainty on Exchange Rate Return and Volatility in China. Emerging Markets Finance and Trade, 58(7), 1807-1820. https://doi.org/10.1080/1540496X.2021.1937114
• Yalçınkaya, Ö. (2019). Küresel Ekonomik, Politik ve Jeopolitik Belirsizliklerin Makroekonomik Etkileri: Türkiye Ekonomisi Üzerine SVAR Analizi. Journal of Yasar University, 14(53), 56-73.
• Yang, Y., ve Zhang, J. (2021). Effects Of Monetary Policy on The Exchange Rates: A Time-Varying Analysis. Finance Research Letters, 43, 1-8. https://doi.org/10.1016/j.frl.2021.102114