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REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE

Year 2009, Volume: 11 Issue: 22, 191 - 212, 01.10.2009

Abstract

Bu çalışma Türkiye için reel döviz kuru ve büyüme arasındaki ilişkiyi üç aylık 1989:Q1-2005:Q2 verileri kullanarak araştırmaktadır. Çalışmada iki grup değişken kullanılmıştır. Çekirdek model olarak adlandırılan model RDK, ÜFE ve GSYİH değişkenlerinde oluşturulurken, genişletilmiş model dışalım ve dışsatım önceki değişkenlere eklenerek oluşturulmuştur. Serilerin durağanlıkları DF, PP, KPSS, Ng-Perron testleri kullanılarak incelenmiş ve birinci dereceden bütünleşen oldukları sonucuna varılmıştır. Görgül uygulamaya RDK ve GSYİH değişkenleri arasındaki ilişkiyi araştıran iki değişkenli analiz ile başlandı. RDK ve GSYİH serileri, değişkenlerinin farklı dönüşümleri ve bu serilerin mevsimsel düzeltilmiş hallerinin farklı dönüşümleriyle bu analizde tüm dönem ve alt dönem için kullanıldı. Elde edilen sonuçlar 1989:Q1-2001:Q3 alt döneminin istatistiksel anlamlılık açısından tüm dönemden farklılaştığını gösterdi. Johansen Eşbütünleşme Testi uygulanarak yapılan uzun dönemli ilişki araştırmasında iki grupta da tek eşbütünleşen vektör olduğu bulundu. Uzun dönemli ilişkinin ve kısa dönem düzeltme dinamiklerinin belirlenmesi için Vektör Hata Düzeltme Modelleri her iki model için tahmin edildi. Bu modeller için Etki-Tepki Fonksiyonları ve Varyans Ayrıştırması Analizleri uygulandı. Birinci etki-tepki fonksiyonunda çekirdek modeldeki pozitif RDK’daki şokla ilk üç dönemde GSYİH’nın artmakta ardından azalmaktadır. Varyans Ayrıştırma Analizi’ne başlanmadan önce serilerin diziliminin sonucu etkilemesinden DOLAYI seriler Blok Dışsallık Testi kullanarak sıralandı Diğer modelde ise ilk dört dönemde artış görülürken daha sonra azaldığı ve mevsimsel bir görünümle devam ettiği görülmektedir. Varyans ayrıştırması Analizi üretimin değişkenliğinin kaynağının kendi şokları olduğunu ve RDK’nın GSYİH’yı açıklama oranının uzun dönemde kaybolmadığı gözlemlendi

References

  • Ardic O. P.(2006) Output, the Real Exchange Rate, and the Crises in Turkey, Topics in
  • Middle Eastern and North African Economies, MEEA Online Journal, Volume VIII
  • Balassa, B. (1964) The Purchasing Power Parity Doctrine., Journal of Political Economy 72 (6): 584-596
  • Berument, H. and Pasaogullari, M. (2003) Effects of the real exchange rate on output and inflation: evidence from Turkey, Developing Economies, 41(4), 401–35.
  • Bilgili, E. (2000) Reel Döviz Kuru ve Ekonomik Büyüme, İktisat İşletme ve Finans, 176, 56-73
  • Bleaney, M. and Greenaway, D. (2001) The Impact Of Trade And Real Exchange Rate Volatility On Investment And Growth In Sub-Saharan Africa, Journal of Development Economics, 65, 491–500.
  • Domac, I., (1997) Are Devaluations Contractionary? Evidence from Turkey, Journal Of Economic Development, 22(2) , 145-163
  • Engle R. F. ve Granger J. W., (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), 251-276
  • Faria, J.R and Leon-Ledesma M. (2003) Testing the Balassa–Samuelson effect: Implications for growth and the PPP, Journal of Macroeconomics 25: 241–253
  • Hodrick J. R. and Prescott E. C. (1997). Postwar U.S. Business Cycles: An Emprical Investigation, Journal of Money, Credit and Banking, 29 (1), 1-16
  • Kamin, S.,and Rogers J. (2000) Output and the Real Exchange Rate in Developing Countries: An Application to Mexico, Journal of Development Economics, 61, 85-109
  • Kandil, M. (2000) The Asymmetric Effects of Exchange Rate Fluctuations: Theory and Evidence from Developing Countries, IMF Working Paper, WP/00/184
  • Kipici, A.N. and Kesriyeli M., (1997) The Real Exchange Rate Definitions and Calculations, Central Bank Of The Republic Of Turkey, Research Department Publication No: 97/1
  • Kwiatkowski, D., et al. (1992) Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root, Journal of Econometrics, 54, 91-115
  • Neto, D. F. (2004) Real exchange rate and human capital in the empirics of economic growth, European Economic Association & Econometric Society, Universidad Carlos III, Madrid, Spain 20 - 24 August
  • Ng S. and Perron P. (2001) Lag Length Selection and The Construction of Unit Root Test With Good Size and Power, 69(6), 1519-1554
  • Ozmen, E and Furtun G. (1998) Export-led Growth Hypothesis and the Turkish Data: An Emprical Investigation, METU Studies in Development 25(3), 491-503
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock, and The Unit Root Hypothesis,”
  • Econometrica, 57, 1361-1401.Samuelson, P.A. (1964) Theoretical Notes on Trade Problems, The Review of Economics and Statistics, 46 (2): 145-154.
  • Ugurlu, E. (2006) Reel Döviz Kuru ve Ekonomik Büyüme: Türkiye, Unpublished Msc. Dissertation, Istanbul Technical University
  • Upadhyaya K.M. (1999) Currency Devaluation, Aggregate Output, And The Long Run: An Empirical Study, Economic Letters, 64, 197–202
  • Vinh N.G.T. and Fujita S. (2006) The Impact of Real Exchange Rate on Output and Inflation in Vietnam: A VAR approach, Graduate School of Economics Discussion Paper, No.0625

REAL EXCHANGE RATE AND ECONOMIC GROWTH: TURKEY

Year 2009, Volume: 11 Issue: 22, 191 - 212, 01.10.2009

Abstract

This paper assesses the relationship with real exchange rate and growth using quarterly data of 1989:Q1-2005:Q2. Two groups of models are used in the study that is held. The first model, which was considered as the core model RER, PPI, and GDP, are involved whereas import and export are added on former variables in the expanded model. Integration level of the variables are investigated using with DF, PP, KPSS, Ng-Perron Tests and according to the test results, it is decided that all series are first order integrated. The empirical analysis is started with the application of bivariate data analysis held for RER and GDP variables to study the relationship between them. RER and GDP series are used together with different transformations of these series and seasonally adjusted version of these series are used so that cross correlation values of these variables are calculated as full sample and for a sub-sample. The attained results showed that 1989:Q1-2001:Q3 subsample and full sample had differentiations in values and in terms of statistically significance. Using Johansen Cointegration Test this paper finds evidence that one cointegration vector based on two groups of variables. Vector Error Correction Models were estimated that incorporates the long run behavior variables and short run adjustment dynamics for both two models. For both of these models ImpulseResponse Functions and Variance Decomposition Analysis studied. Formed impulse-response functions, a positive RER shock increases GDP in the core model for the first three periods but then decreases. In the other model on the other hand, it increases during the first four periods and after the observed decrease it continues its movement in the seasonal fashion. Before Variance Decomposition is started, series are aligned by using Block Exogeneity Test the alignment of the series in the model effects the results of this analysis. Impulse-response functions shows that the positive RER shock increases GDP in the core model for the first three periods but then decreases successor periods. In Variance Decomposition Analysis, it is evident that the sources of variance in output are the own shocks and also observed that RER’s explanatory ratio on GDP does not disappear in the long run

References

  • Ardic O. P.(2006) Output, the Real Exchange Rate, and the Crises in Turkey, Topics in
  • Middle Eastern and North African Economies, MEEA Online Journal, Volume VIII
  • Balassa, B. (1964) The Purchasing Power Parity Doctrine., Journal of Political Economy 72 (6): 584-596
  • Berument, H. and Pasaogullari, M. (2003) Effects of the real exchange rate on output and inflation: evidence from Turkey, Developing Economies, 41(4), 401–35.
  • Bilgili, E. (2000) Reel Döviz Kuru ve Ekonomik Büyüme, İktisat İşletme ve Finans, 176, 56-73
  • Bleaney, M. and Greenaway, D. (2001) The Impact Of Trade And Real Exchange Rate Volatility On Investment And Growth In Sub-Saharan Africa, Journal of Development Economics, 65, 491–500.
  • Domac, I., (1997) Are Devaluations Contractionary? Evidence from Turkey, Journal Of Economic Development, 22(2) , 145-163
  • Engle R. F. ve Granger J. W., (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), 251-276
  • Faria, J.R and Leon-Ledesma M. (2003) Testing the Balassa–Samuelson effect: Implications for growth and the PPP, Journal of Macroeconomics 25: 241–253
  • Hodrick J. R. and Prescott E. C. (1997). Postwar U.S. Business Cycles: An Emprical Investigation, Journal of Money, Credit and Banking, 29 (1), 1-16
  • Kamin, S.,and Rogers J. (2000) Output and the Real Exchange Rate in Developing Countries: An Application to Mexico, Journal of Development Economics, 61, 85-109
  • Kandil, M. (2000) The Asymmetric Effects of Exchange Rate Fluctuations: Theory and Evidence from Developing Countries, IMF Working Paper, WP/00/184
  • Kipici, A.N. and Kesriyeli M., (1997) The Real Exchange Rate Definitions and Calculations, Central Bank Of The Republic Of Turkey, Research Department Publication No: 97/1
  • Kwiatkowski, D., et al. (1992) Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root, Journal of Econometrics, 54, 91-115
  • Neto, D. F. (2004) Real exchange rate and human capital in the empirics of economic growth, European Economic Association & Econometric Society, Universidad Carlos III, Madrid, Spain 20 - 24 August
  • Ng S. and Perron P. (2001) Lag Length Selection and The Construction of Unit Root Test With Good Size and Power, 69(6), 1519-1554
  • Ozmen, E and Furtun G. (1998) Export-led Growth Hypothesis and the Turkish Data: An Emprical Investigation, METU Studies in Development 25(3), 491-503
  • Perron, P. (1989), “The Great Crash, the Oil Price Shock, and The Unit Root Hypothesis,”
  • Econometrica, 57, 1361-1401.Samuelson, P.A. (1964) Theoretical Notes on Trade Problems, The Review of Economics and Statistics, 46 (2): 145-154.
  • Ugurlu, E. (2006) Reel Döviz Kuru ve Ekonomik Büyüme: Türkiye, Unpublished Msc. Dissertation, Istanbul Technical University
  • Upadhyaya K.M. (1999) Currency Devaluation, Aggregate Output, And The Long Run: An Empirical Study, Economic Letters, 64, 197–202
  • Vinh N.G.T. and Fujita S. (2006) The Impact of Real Exchange Rate on Output and Inflation in Vietnam: A VAR approach, Graduate School of Economics Discussion Paper, No.0625
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Erginbay Uğurlu

Publication Date October 1, 2009
Published in Issue Year 2009 Volume: 11 Issue: 22

Cite

APA Uğurlu, E. (2009). REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE. Manas Üniversitesi Sosyal Bilimler Dergisi, 11(22), 191-212.
AMA Uğurlu E. REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE. Manas Üniversitesi Sosyal Bilimler Dergisi. October 2009;11(22):191-212.
Chicago Uğurlu, Erginbay. “REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE”. Manas Üniversitesi Sosyal Bilimler Dergisi 11, no. 22 (October 2009): 191-212.
EndNote Uğurlu E (October 1, 2009) REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE. Manas Üniversitesi Sosyal Bilimler Dergisi 11 22 191–212.
IEEE E. Uğurlu, “REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE”, Manas Üniversitesi Sosyal Bilimler Dergisi, vol. 11, no. 22, pp. 191–212, 2009.
ISNAD Uğurlu, Erginbay. “REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE”. Manas Üniversitesi Sosyal Bilimler Dergisi 11/22 (October 2009), 191-212.
JAMA Uğurlu E. REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE. Manas Üniversitesi Sosyal Bilimler Dergisi. 2009;11:191–212.
MLA Uğurlu, Erginbay. “REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE”. Manas Üniversitesi Sosyal Bilimler Dergisi, vol. 11, no. 22, 2009, pp. 191-12.
Vancouver Uğurlu E. REEL DÖVİZ KURU VE EKONOMİK BÜYÜME: TÜRKİYE. Manas Üniversitesi Sosyal Bilimler Dergisi. 2009;11(22):191-212.