KUR KRİZLERİ TANIMI VE TÜRKİYE 2006-2018 DÖNEMİ KUR KRİZLERİ

Öz

Ekonomistler arasında kur krizi vakasının tanımı konusunda, kesin bir görüş birliği sağlanamamıştır. Ancak kur krizi, literatürde genel tanım olarak; nominal kur, reel kur, döviz rezervleri, faiz, enflasyon gibi değişkenlerden oluşturulan bir endeks değerinin geçmiş trende bağlı belirlenen bir eşik değerden büyük bir oranda sapması olarak tanımlanmaktadır. Çalışmada, literatür kapsamında kur krizi tanımları karşılaştırmalı olarak analiz edilmiştir. Ayrıca başarılı ve başarısız spekülatif kur ataklarını da dikkate alan Kur Piyasa Baskı Endeksi (Exchange Market Pressure Index: EMPI) kapsamında Türkiye 2006Q1-2018Q4 verileri, 10 farklı EMPI hesaplanarak kur krizi vakaları tespit edilmiştir. Çalışma sonucunda Türkiye ekonomisinin 2006Q1-2018Q4 arasındaki 54 çeyreklik dönemde 10 farklı kur krizi tanımından en az birine giren 8 kur krizi dönemi tespit edilmiştir. Bu 10 farklı kur krizi tanımının tamamında tespit edilen kur krizi ise, 2018Q3 döneminde gerçekleşmiştir. 

Anahtar Kelimeler

• Kur krizleri,kur kırılmaları

CURRENCY CRISIS AND TURKEY: 2006-2018 TERM

Öz

An absolute definition union has not been achieved yet among economists about the concept of exchange rate crisis. However, general description in the literature can be expressed as deviation of an index value which is created by variables such as nominal exchange rate, real exchange rate, foreign exchange reserves, interest and inflation from a threshold determined regarding past trend. In this study, a comparative analysis by the scope of the definition of currency crisis has been conducted and currency crisis definition which is specific to Turkey's economy has been proposed. In addition, 10 different currency crisis occurences are contained examining the Exchange Market Pressure Index: EMPI data which considers successful and unsuccessful speculative currency attacks and using data of Turkey for 2006Q1-2018Q4 period and by calculation of 10 different EMPI index. According to the findings of the analysis 4 currency crisis are contained which includes at least 1 of 10 different currency crisis definition for Turkey regarding 2006Q1-2018Q4 period which comprises 54 quarterly data. The currency crisis which suits all 10 different currency crisis definitions occurred in 2018Q3.

Anahtar Kelimeler

• Currency Crises,Currency Crashes,Currency Crises Measures

Kaynakça

1. Ades, A., Masih, R., & Tenengauzer, D. (1998). ‘GS-WATCH: A new framework for predicting financial crises in emerging markets’. New York: Economic Research, Goldman Sach.
2. Aizenman, J., Lee, J., & Sushko, V. (2010). From the Great Moderation to the global crisis: Exchange market pressure in the 2000s. NBER Working Paper, 1-37.
3. Almahmood, H., Munyif, M., & Willett , T. (2018). Most Speculative Attacks Do Not Succeed: Currency Crises and Currency Crashes. Journal of International Commerce, Economics and Policy, 9, 1-9. doi:10.1142/S1793993318500011
4. Ari, A., & Cergibozan, R. (2016). The Twin Crises: Determinants of Banking and Currency Crises in the Turkish Economy. Emerging Markets Finance and Trade, 123-135. doi:10.1080/1540496X.2016.1105683
5. Bank for International Settlements (BIS). (2016). Foreign exchange turnover in April 2016 . Basel: Bank for International Settlements (BIS).
6. Bank for International Settlements (BIS). (2019, Şubat 15). Central bank policy rates. https://www.bis.org/statistics/cbpol.htm?m=6%7C382%7C679 adresinden alınmıştır
7. Bucevska, V. (2015). Currency Crises in EU Candidate Countries: An Early Warning System Approach. Panoeconomicu, 62(4), 493-510. doi:10.2298/PAN1504493B
8. Bussiere, M., & Fratzscher, M. (2002). Towards a New Early Warning System of financial Crises. Frankfurt: European Central Bank.

9. Candelon, B., Dumitrescu, E.-I., & Hurlin, C. (2014). Currency crisis early warning systems: Why they should be dynamic. InternationalJournalof Forecasting, 30, 1016-1029. doi:10.1016/j.ijforecast.2014.03.015
10. Dabrowski, M. (2002). Currency Crises in Emerging-Market Economies: Causes, Consequences and Policy Lessons. Warsaw: Center for Social and Economic Research .
11. Eichengreen, B., Rose, A., & Wyplosz, C. (1996, July). NBER Working Paper 5681. Contagious Currency Crises. Cambridge, UK: National Bureau of Economic Research.
12. Esquivel, G., & Larraín, F. B. (1998). “Explaining Currency Crises. Harvard Institute for International Development (HIID).
13. Frankel, J. A., & Rose, A. K. (1996). Currency Crashes Emerging Markets: Emprical Indicators. Cambridge: National Bureau of Economic Research.
14. Girton, L., & Roper, D. (1977). A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience. The American Economic Review, 67(4), 537-548.
15. Glick, R., & Hutchison, M. (2000). Banking and Currency Crises: How Common Are The Twins? Hong Kong: Hong Kong Institute for Monetary Research.
16. Glick, R., & Hutchison, M. M. (2013). Models of Currency Crises. R. Glick, & M. M. Hutchison içinde, The Evidence and Impact of Financial Globalization (s. 485-497). Oxford: Elsevier Inc.
17. Goldberg, L., & Krogstrup, S. (2018). International Capital Flow Pressure. Washington: International Monetary Fund (IMF).
18. Inernational Money Fund (IMF). (1998). World Economic Outlook. Washington: Inernational Money Fund (IMF).
19. International Money Fund (IMF). (2018, Aralık 21). https://www.imf.org/external/datamapper/NGDP_RPCH@WEO/OEMDC/ADVEC/WEOWORLD adresinden alınmıştır
20. International Monetary Fund (IMF). (1999). World Economik Outlook . Washington: International Monetary Fund (IMF).
21. J P Morgan. (1998). Event risk indicator handbook. New York: JP Morgan Global Foreign Exchange Research.
22. Kaminsky , G., & Reinhart, C. (1999). The twin crises: The Causes of Banking and Balanceof-Payments Problems. American Economic Review, 473-450.
23. Kaminsky , G., Lizondo, S., & Reinhart, C. M. (1998). Leading indicators of currency crisis. Washington: IMF Staff Paper.
24. Kaminsky, G. L. (1999). Currency and Banking Crises: The Early Warnings of Distress. Washingto: George Washington University.
25. Kaminsky, G., Lizonda, S., & Reinhart, C. M. (1997). Leading Indicators Signals of Currency Crises. Washington: The World Bank (WB).
26. Karagöz, M., & Doğan, Ç. (2005). Döviz Kuru Dış Ticaret İlişkisi. Fırat Üniversitesi Sosyal Bilimler Dergisi, 15(2), 219-228.
27. Kumar, M., Moorth, U., & Perraudin, W. (2003). Predicting emerging market currency crashes. Journal of Empirical Finance, 10, 427-454.
28. Laeven, L., & Valenci, F. (2012). Systemic Banking Crises Database: An Update . Wahington: International Monetary Fund.
29. Laeven, L., & Valencia, F. (2018). IMF Working Paper: Systemic Banking Crises Revisited. Washington: International Moneytary Fund (IMF).
30. Li, C. (2017, November 1). Banking Crisis, Currency Crisis and Growth. doi:10.2139/ssrn.3063490
31. Licchetta , M. (2009). Common determinants of currency crises: role of external balance sheet variables. London: Bank of England.
32. Milesi-Ferretti, G. M., & Razin , A. (2000). Current Account Reversals and Currency Crises: Empirical Regularities. Chicago: University of Chicago Press.
33. Moreno, R. (1995). Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies. Economic Review-Federal Reserve Bank of San Francisco, 3(3).
34. Nakatani, R. (2018). Real and financial shocks, exchange rate regimes and the probability of a currency crisis. Journal of Policy Modeling, 40(1), 60-73. doi:10.1016/j.jpolmod.2017.10.004
35. Patnaik, I., Felman, J., & Shah, A. (2017). An exchange market pressure measure for cross country analysis. Journal of International Money and Finance, 73, 62-77. doi:10.1016/j.jimonfin.2017.02.004
36. Reinhart , C. M., & Rogoff, K. S. (2011). From Financial Crash to Debt Crisis. American Economic Review, 101(5), 1676-1706. doi:American Economic Review
37. Rose, A., & Spiegel, M. (2012). Cross-country causes and consequences of the 2008 crisis: Early warning. Japan and the World Economy, 24(1), 1-16. doi:10.1016/j.japwor.2011.11.001
38. Sachs , J., Tornell, A., & Velasco, A. (1996). Financial Crises In Emerging Markets: The Lessons from 1995. Cambiridge: National Bureau of Economic Research (NBER).
39. Türkiye Cumhuriyet Merkez Bankası (TCMB.EVDS). (2019, Şubat 15). Elektronik Veri Dağıtım Sistemi. https://evds2.tcmb.gov.tr/ adresinden alınmıştır
40. United Nations Conference on Trade and Development ( UNCTAD). (2001). World Investment Report 2000. New York and Geneva: UNCTAD.
41. United Nations Conference On Trade And Development (UNCTAD). (2018). World Investment Report 2018 . Genova: UNCTAD.
42. Weymark, D. (1995). Estimating exchange market pressure and the degree of exchange market intervention for Canada. Journal of International Economics, 273-295. doi:10.1016/0022-1996(95)01389-4