Kırılgan Beşli Ekonomilerinin Döviz Kuru Hareketleri: Dolar Endeksini Takip Ediyorlar mı?

Bu çalışmada, dolar endeksi ile ‘Kırılgan Beşli’ ülkeleri döviz kurları arasındaki uzun dönemli ilişki incelenmektedir. Türkiye, Endonezya, Brezilya, Güney Afrika ve Hindistan’ın döviz kurları ile birlikte ana ticaret ortakları ve başlıca para birimleri ağırlıklı dolar endeksleri analiz edilmiştir. Ocak 2002 – Haziran 2018 dönemini kapsayan haftalık verilere doğrusal olmayan eşbütünleşme sistemi ve Granger nedensellik testleri uygulanmıştır. Sonuçlar, döviz kurlarının, ana ticaret ortakları ağırlıklı dolar endeksiyle uzun vadeli ilişkiye sahip olmadığını göstermektedir. Bununla birlikte, dolar endeksinin, kısa vadede Kırılgan Beşli döviz kurları üzerinde anlamlı etkisinin olduğu görülmektedir.

Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index?

In this paper, we examine the long-run relationship between Dollar Index and foreign exchange rates of ‘Fragile Five’ economies, respectively. We analyze foreign exchange rates of Turkey, Indonesia, Brazil, South Africa, India, and weighted average of the foreign exchange value of the US dollar against the currencies of both the broad group of major U.S. trading partners and group of the major currencies. We employ nonlinear cointegration framework and Granger causality tests on the weekly data covering January 2002 – June 2018. The empirical results that the foreign exchange rates do not have significant long-run relationship with the trade weighted US Dollar index. However, the dollar index does have significant impact on the foreign exchange rates of Fragile Five, respectively, in the short-run.

___

  • Antonakakis, N. (2012) “Exchange return co-movements and volatility spillovers before and after the introduction of euro”, Journal of International Financial Markets, Institutions and Money, 22(5), p. 1091–1109.
  • AuYong, H. H., Gan, C., and Treepongkaruna, S. (2004) “Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises”, International Review of Financial Analysis, 13(4), p. 479–515.
  • Baig, T., and Goldfajn, I. (1999) “Financial Market Contagion in the Asian Crisis” IMF Staff Papers, 46(2), p. 167–195.
  • BIS (2016) “Triennial Central Bank Survey of foreign exchange and OTC derivatives markets in 2016”, Bank of International Settlements.
  • Boero, G., Silvapulle, P., and Tursunalieva, A. (2011) “Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach”, International Journal of Finance & Economics, 16(4), p. 357–374.
  • Chung, C. H. (2006) “Characterizing co-movement of the won with the yen before and after the currency crisis”, Korea Review of International Studies, 9(2), p. 3–18.
  • Copeland, L. S. (1991) “Cointegration tests with daily exchange rate data”, Oxford Bulletin of Economics and Statistics, 53(2), p. 185–198.
  • Chou, R. Y. (1988) “Volatility persistence and stock valuations: Some empirical evidence using GARCH”. Journal of Applied Econometrics, 3(4), p. 279–294.
  • Diks, C., and Panchenko, V. (2006) “A new statistic and practical guidelines for nonparametric Granger causality testing”, Journal of Economic Dynamics and Control, 30(9–10), p. 1647–1669.
  • Engle, R. (2002) “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models”, Journal of Business & Economic Statistics, 20(3), p. 339–350.
  • Engle, R. F., Ito, T., and Lin, W.-L. (1990) “Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market”, Econometrica, 58(3), p. 525-542.
  • Ferré, M., and Hall, S. G. (2002) “Foreign exchange market efficiency and cointegration”, Applied Financial Economics, 12(2), p. 131–139.
  • Hakkio, C. S., and Rush, M. (1989) “Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets”, Journal of International Money and Finance, 8(1), p. 75–88.
  • Granger, C. W. J. (1969). “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37(3), p.424–438.
  • Granger, C. W. J. (1989). “Forecasting in Business and Economics”, 2nd edition, Academic Press, San Diego.
  • Granger, C. W. J., and Teräsvirta, T., 1993. “Modelling Nonlinear Economic Relationships” Oxford University Press, Oxford.
  • Inagaki, K. (2007) “Testing for volatility spillover between the British pound and the euro”, Research in International Business and Finance, 21(2), p. 161–174.
  • Kang, H. (2008) “The cointegration relationships among G-7 foreign exchange rates”, International Review of Financial Analysis, 17(3), p. 446–460.
  • Khalid, A. M., and Kawai, M. (2003) “Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model”, Journal of Asian Economics, 14(1), p. 131–156.
  • Kim, S., Shepherd, N., and Chib, S. (1998) “Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models”. Review of Economic Studies, 65(3), p. 361–393.
  • Kitamura, Y. (2010) “Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets”, Research in International Business and Finance, 24(2), p. 158–171.
  • Maki, D. (2006) “Nonlinear adjustment in the term structure of interest rates: a cointegration analysis in the nonlinear STAR framework”, Applied Financial Economics, 16, 1301–1307.
  • Maki, D. (2015a) “Wild bootstrap testing for cointegration in an ESTAR error correction model”, Economic Modelling, 47, p. 292–298.
  • Maki, D. (2015b) “Wild bootstrap tests for unit root in ESTAR models”, Statistical Methods and Applications, 24(3), p. 475–490.
  • Nikkinen, J., Sahlström, P., and Vähämaa, S. (2006) “Implied volatility linkages among major European currencies”, Journal of International Financial Markets, Institutions and Money, 16(2), p. 87–103.
  • Patton, A. J. (2006) “Modelling asymmetric exchange rate dependence”, International Economic Review, 47(2), p. 527–556.
  • Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index? İktisadi ve İdari Bilimler Dergisi, Nisan 2019, Cilt: 33, Sayı:2 494
  • Pérez-Rodríguez, J. V. (2006) “The Euro and Other Major Currencies Floating Against the U.S. Dollar”, Atlantic Economic Journal, 34(4), p. 367– 384.
  • Rapp, T. A., and Sharma, S. C. (1999) “Exchange rate market efficiency: across and within countries”, Journal of Economics and Business, 51(5), p. 423–439.
  • Rothman, P., van Dijk, D., and Franses, P.H. (2001)0 “Multivariate STAR analysis of the relationship between money and output”, Macroeconomic. Dynamics, 5, 506–532.
  • Sui, L., and Sun, L. (2016) “Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis”, Research in International Business and Finance, 36, p. 459–471.
  • Tamakoshi, G., and Hamori, S. (2014) “Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach”, International Review of Economics & Finance, 31, p. 105–113.
  • Taylor, M. P., and Peel, D. A. (2000). “Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals”, Journal of International Money and Finance, 19(1), p. 33–53.
  • Toda, H. Y., and Yamamoto, T. (1995) “Statistical inference in vector autoregressions with possibly integrated processes”, Journal of Econometrics, 66(1–2), p. 225–250.
  • Wang, J., and Yang, M. (2009). “Asymmetric volatility in the foreign exchange markets”, Journal of International Financial Markets, Institutions and Money, 19(4), 597–615.
  • Yoon, G. (2010) “Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?” , Economic Modelling, 27 (2), 605-612.
Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi-Cover
  • ISSN: 1300-4646
  • Yayın Aralığı: Yılda 4 Sayı
  • Yayıncı: Atatürk Üniversitesi İİBF