190101

Üretim ile Reel Efektif Döviz Kurunun Uzun Dönemli İlişkisi: Kazakistan Üzerine Bir Uygulama

Bu çalışmada, Kazakistan Ekonomisi'nde doğal kaynak ihracatına dayalı bir ekonomi olarak "Hollanda Hastalığı"nın geçerli olup olmadığı analiz edilmiştir. Hollanda Hastalığı bulunan bir ülkenin ekonomisi için öncesinde yararlı bir gelişme varken, bir süre sonra bunun zararlı sonuçlar vermesi söz konusu olmaktadır. Bu açıdan, literatürde ekonomi hastalığı olarak bilinen Hollanda Hastalığı'nın en temel göstergesi, bir ekonomideki aşırı değerlenmiş döviz kurudur. Bu amaçla öncelikle Kazakistan Ekonomisi için petrol fiyatlarına dayalı olarak Reel Efektif Döviz Kuru hesaplanmıştır. Daha sonra Reel Efektif Döviz Kuru ile Kazakistan Sanayi Üretim Endeksi arasındaki uzun dönemli ilişkinin analizi yapılmıştır. Uygulamalı çalışmalarda Hollanda Hastalığı hipotezi, reel efektif döviz kurunun değerlenmesine yol açan temel mal ihracatının ticarete konu olmayan mal sektörlerinde azalmaya yol açması veya genel olarak ekonominin üretim hacminin bu reel efektif döviz kurlarıyla ilişkisine bağlı olarak analiz edilmektedir. Bu çalışmada yöntem olarak çok kırılmalı birim kök testi ile çok kırılmalı tümleşme tekniği kullanılmıştır. Ayrıca, söz konusu teknikler ile elde edilen ampirik bulguların dirençliliği de ortaya konmuştur. Bu yönüyle, Kazakistan Ekonomisi'ni yeni teknikler kullanarak ele alan uygulamalı bir çalışma ile literatüre katkı sunulmaya çalışılmıştır. Bu çalışmada ele alınan dönem ve veriler dikkate alındığında, Kazakistan Ekonomisi için “Hollanda Hastalığı” hipotezinin geçerli olduğu bulgusuna ulaşılmıştır. Özellikle sektörel çeşitlilik ile üretimde mal çeşitliliğine önem veren bir destek politikasının uygulanmasının önemli olduğu ifade edilebilir. Söz konusu bulguya bağlı olarak enerji fiyatlarındaki düşüşlerin Kazakistan ekonomik büyümesi üzerinde olumsuz etkisi olacaktır.

Anahtar Kelimeler:

Hollanda Hastalığı, Reel Efektif Döviz Kuru, Kazakistan Sanayi Üretim Endeksi, Çok Kırılmalı Tümleşme

Long-term Relationship of Production with Real Effective Foreign Exchange: An Empirical Analysis on Kazakhstan

This study analyzes the long-run relationship between the real effective exchange rate which is based on oil prices and the industrial production index by taking Kazakhstan's economy into consideration. The hypothesis in applied studies is that the exports of basic goods, which lead to the appreciation of real effective exchange rate, causes a decline in non-tradable goods sectors or, in general, the hypothesis is analyzed in relation to the production volume of the economy relative to these real effective exchange rates. With this knowledge in the literature, this study analyzes the validity of the hypothesis of the "Dutch Disease" as an economy based on export of natural resources for the Kazakhstan Economy. This study conducted new techniques that are used for regression models in order to test co-integration allowing for multiple breaks. In addition, the robustness test was applied for the empirical findings. This work provides relevant literature a contribution because it deals with the Kazakh economy using new techniques. When the data and the period taken into consideration, it is found that the "The Dutch Disease" hypothesis is valid for Kazakhstan Economy. Especially, it can be said that the implementation of a support policy that attaches importance to the diversity of the sector and the diversity of goods in production is essential for Kazakhstan. In addition depending on these empirical findings, decline in energy prices will have a negative impact on economic growth.

Keywords:

Dutch Disease, Real Effective Exchange Rate, Kazakhstan Industrial Production Index, Multiple Structural Break Co-integration,

PDF

___

Alilou M., R. Ahakchi and M. Alilou (2012). "Dutch Disease in Economy Country and its Effect on the Price of Products Ready for Selling", World Applied Sciences Journal 17 (3): 314-318, 2012 ISSN 1818-4952, s. 314-315.
Arı A. ve B. Özcan (2012). “Hollanda Hastalığı: Gelişmekte Olan Ülkeler Üzerine Bir Uygulama”, Sosyo Ekonomi, Temmuz-Aralık 2012, 154-171.
Al-Rashidi Atef, Bidisha Lahiri (2012). "Trade-Weighted Exchange Rate Indices: Explaining Industrial Production". Journal of International and Global Economic Studies. 5(2), December 2012, 24-31.
Bai, J., & Perron, P. (2003). "Computation and analysis of multiple structural change models". Journal of Applied Econometrics, 18(1), 1-22.
Botta, A. (2014). “The Macroeconomics of a Financial Dutch Disease”. ftp://economia.unipv.it/DEM/DEMWP0089.pdf, [Erişim:11.07.2017]
Colacelli, M. (2010). “Intensive and Extensive Margins of Exports and Real Exchange Rates”, http://www.princeton.edu/~ies/Spring10/ColacelliPaper.pdf, [Erişim:04.05.2017]
Carrion-i-Silvestre, J.L., D. Kim, P. Perron (2009). “GLS-Based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses”, Econometric Theory. 25, 1754-1792.
Égert Balázs , Carol S. Leonard (2017). " The Dutch Disease in Kazakhstan: An Empirical Investigation". https://www.researchgate.net/publication/227462625_The_Dutch_Disease_in_Kazakhstan_An_Empirical_Investigation?enrichId=rgreq-7e3e254c2b0dce3a045c1511b53f1611-XXX&enrichSource=Y292ZXJQYWdlOzIyNzQ2MjYyNTtBUzo5ODgzNzUxOTY2NzIwOUAxNDAwNTc2MTA5NzM5&el=1_x_2&_esc=publicationCoverPdf. [Erişim:14.06.2017].
Ghaffari Farhad , Aghigh Farhadi (2016). "Investigation of the Relations between Crude Oil Prices and Real Effective Exchange Rate (REER) in Iran using Phase-Angle Analysis". Iran. Econ. Rev. Vol. 20, No. 1, 2016. pp. 93-109.
Goda T. and Torres (2013). "Overvaluation of the Real Exchange rate and the Dutch Disease: The Colombian Case". CIEF Working Paper n. 28-13.
Goyal Ashima ve Abhishek Kumar (2017). "The effect of oil shocks and cyclicality in hiding Indian twin deficits". Indira Gandhi Institute of Development Research, Mumbai. WP-2017-005. http://www.igidr.ac.in/pdf/publication/WP-2017-005.pdf [ Erişim:14.06.2017].
Granger C.W.J. and P. Newbold (1973). " Spurious Regressions In Econometrics", Journal of Econometrics, 2 (1974) 111-120. (6 North-Holland Publishing Company, https://wolfweb.unr.edu/homepage/zal/STAT758/Granger_Newbold_1974.pdf
Gregory, A.W., B.E. Hansen (1996). “Residual-Based Tests for Cointegration in Models With Regime Shifts”. Journal of Econometrics. 70(1), 99-126.
Hatemi-J, A. (2008). “Tests For Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”. Empirical Economics. 35, 497-505.
IMF (2017). "IMF Executive Board Concludes 2017 Article IV Consultation with the Republic of Kazakhstan". Press Release; And Staff Report. https://www.imf.org/en/News/Articles/2017/05/09/pr17157-imf-executive-board-concludes-2017-article-iv-consultation-with-the-republic-of-kazakhstan [Erişim:14.06.2017]
IMF (2017). "Article IV Consultation". Press Release; And Staff Report, https://www.imf.org/~/media/Files/Publications/CR/2017/cr17108.ashx . [Erişim:14.06.2017]
Krugman, P. (1987). "The narrow moving band, the Dutch Disease, and the competitive consequences of Mrs. Tatcher: notes on trade in the presence of dynamic scale economies", Journal of Development Economics, 27: 41–55.
Kuralbayeva K., A. Kutan, M. L. Wyzan, (2001). "Is Kazakhstan vulnerable to the Dutch disease?". ZEI working paper, No. B 29-2001. Center for European Integration Studies, University of Bonn.
Konca, K. A. (2012). "Kazakistan Ülke Raporu". http://atam.gov.tr/wp-content/uploads/Kazakistan_Ulke_Raporu_2013-4.pdf, [Erişim:14.06.2017]
Maki, D. (2012). “Tests For Cointegration Allowing for an Unknown Number of Breaks”. Economic Modelling. 29(5), 2011-2015.
Mccombie ve Marta R.M. Spreafico (2014). " Economic Geography And Cluster Policy, With Special Reference To Kazakhstan". Cambridge Centre For Economic And Public Policy. CCEPP Wp06-14. Department Of Land Economy. University Of Cambridge
Nurmakhanova Mira (2006). " Oil And Growth Challenge In Kazakhstan". Economics and Strategic Research. Kazakhstan Institute of Management. 2 Abaya Avenue, Almaty, Kazakhstan
Naumov Alexander (2009). " An Analysis of Kazakhstan and Its Energy Sector Using SAM and CGE Modeling". PhD Thesis. Centre for Economic Reform and Transformation Department of Economics Heriot-Watt University.
Ng, S., P. Perron (2001). “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”. Econometrica. 69, 1519-1554.
Ongdash Ainur O., Raushan Elemesov, Mara Gubaldullina, Klara Makasheva, Galiya A. Movkebayeva (2014). " Assessment of value of resource curse concept for a practical solution of the problem of industrial and innovative development of Kazakhstan". Life Science Journal 2014;11(12).
Phillips, P.C.B. (1987). “Time Series Regression with a Unit Root,” Econometrica. 55, 227-301.
Phillips, P. C. B., and B. E. Hansen (1990). "Statistical Inference in Instrumental Variables Regression with 1(1) Processes". Review of Economic Studies. 57, 99-125.
Phillips, P. C. B., and M. Loretan (1991). "Estimating Long Run Economic Equilibria". The Review of Economic Studies. 58, 407-436.
Phillips, P.C.B. and P. Perron. (1988). "Testing for a unit root in time series regression". Biometrika. 75, 335-346
Perron, P. (1989). “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica. 57(2), 1361-1401.
Perron, P. (1997). “Further Evidence on Breaking Trend Functions in Macroeconomic Veriables”. Journal of Econometrics. 80: 355-385.
Perron, P., & Rodrı́guez, G. (2003). "GLS detrending, efficient unit root tests and structural change". Journal of Econometrics, 115(1), 1-27.
Rajan, R.G. and Subramanian, A. (2011). Aid, Dutch Disease, and Manufacturing Growth. Journal of Development Economics, Vol. 94(1), pp. 106-118.
Rodrik, D. (2008). "The real exchange rate and economic growth". Brookings Papers on Economic Activity, Vol. 39(2), pp. 365-439.
Ruhl, J. Kim (2008). “The International Elasticity Puzzle”, Working Papers 08-30, New York University, Leonard N. Stern School of Business, Department of Economics. http://users.econ.umn.edu/~tkehoe/classes/Ruhl.pdf, [Erişim:14.06.2017]
Saikkonen, P. (1991). "Asymptotically Efficient Estimation of Cointegrating Regressions". Econometric Theory. 7, 1-21.
Stock, J., M.W. Watson (1993). “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems”. Econometrica. 61(4), 783-820.
Stiglitz, J. (2004). "We can now cure Dutch disease", The Guardian, 18 August 2004. [Online]. Available at: http://www.gsb.columbia.edu/faculty/jstiglitz/ download/opeds/We_Can_Now_Cure_Dutch_ Disease.htm
Vogelsang T. J. and M. Wagner. (2014). "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions". Journal of Econometrics, vol. 178 no. 2, pages 741-760.
Zivot, E., & Andrews, D. W. (1992). "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root". Journal of Business & Economic Statistics.10(3), 251-270.