Türk Lirası Reel Kuru Denge Değerinde Mi?

Reel kur çok sayıda makroekonomik değişkeni etkileyen önemli bir göstergedir. Bu çalışmada Türk Lirası reel kurunun uzun dönemli denge değeri ve bu denge değerinden ne kadar uzakta olduğu ekonometrik olarak incelenmiştir. Tamamen Değiştirilmiş En Küçük Kareler Yöntemi (FMOLS) kullanılarak oluşturulan uzun vadeli modelde, reel kur bağımlı değişken olarak ve “Türkiye ve OECD Ülkelerinin Göreli Birim İş Gücü Maliyetleri”, “Türkiye’ye Yurt Dışından Sermaye Akımları”, “Türkiye’nin GSYH’sı”, “Dış Ticaret Hacmi/GSYH Oranı” bağımsız değişkenler olarak alınmıştır. Regresyon analizinin sonuçları, Balassa-Samuelson etkisini doğrulamaktadır; Türkiye’nin büyüme oranının artması reel kura değerlenme yönünde etki etmektedir. Dış Ticaret Hacminde meydana gelen artış TL’yi değer kazandırma yönünde etkilemektedir. Türkiye’ye yurt dışından sermaye girişlerinin TL’de değerlenme baskısı yarattığı görülmektedir. OECD ülkelerinin Türkiye’ye göreli olarak iş gücü maliyetlerinin artışı reel kura değer kaybettirmekte, söz konusu ülkelerin rekabet gücünün azalmasına, Türkiye’nin rekabet gücünün ise artışına yol açmaktadır. Analiz sonuçları, son dönemde TL reel kurunun denge değerine yakın seviyelerde olduğunu göstermektedir. Makale, kurun denge değerine politika müdahalesi yapılıp yapılmaması konusunu da tartışmaya açmaktadır

Anahtar Kelimeler:

FMOLS, reel kur, denge, balassa-samuelson etkisi

Is Turkish Lira Real Exchange Rate in Equilibrium?

Real exchange rate is an important variable affecting many macroeconomic indicators. In this study, long run equilibrium value of Turkish Lira is estimated and how far away is TL real exchange rate from its equilibrium value is examined. Long run cointegration relationship is estimated using fully modified ordinary least squares. Dependent variable is real exchange rate of TL and independent variables are “relative unit labor costs of OECD countries and Turkey”, “foreing capital inflows to Turkey”, “GDP of Turkey”, “foreign trade volume/GDP ratio”. Regression results approve Balassa-Samuelson effect for Turkey, increase in GDP of Turkey affects TL real exchange rate in the appreciation direction. Rise in foreign trade volume appreciates TL. Increasing capital inflows, puts appreciation pressure on TL. An increase in relative unit labor costs of OECD countries in comparison to Turkey’s, by decreasing competitive power of OECD countries, causes depreciation in TL. Results of the analysis show that, TL real exchange rate is close to its equilibrium value in the last period. Article also aim to open a discussion about whether it is advisable to do policy intervention to the equilibrium value of real exchange rate

Keywords:

FMOLS, real exchage rate, equilibrium, balassa-samuelson effect,

PDF

___

Achy, L. ve Sekkat, K. (2003) “The European Single Currency and MENA’s Exports to Europe” Review of Development Economics, 7(4):563-582.
Ahlers, T.O. ve Hinkle, L.L. (1999) “Estimating the Equilibrium Real Exchange Rate Empirically: Operational Approaches” Hinkle et al.(eds.)Exchange Rate Misalignment: Concepts and Measurement for Developing Countries, Oxford University Press & World Bank.
Algieri, B. (2011) “Determinants of the Real Effective Exchange Rate in the Russian Federation” The Journal of International Trade and Economic Development:An International and Comparative Review, 1-25.
Alper, C.E. ve Sağlam, İ. (2000) “The Equilibrium Real Exchange Rate: Evidence from Turkey” Topics in Middle Eastern and North African Economies, 2(1):1-15.
Aruman, S. ve Mardi, D. (2003) “A Perspective on Modelling the Australian Real Trade Weighted Index since the Float”Australian Economic Papers, 42:56-76.
Atasoy, D. ve Saxena, S. (2006)“Misaligned? Overvalued? The Untold Story of the Turkish Lira” Emerging Markets Finance and Trade, 42(3):29-45.
Balassa, B. (1964) “The Purchasing Power Parity Doctrine:A Reappraisal” Journal of Political Economy, 72:584-596.
Bayar, G., Güloğlu, B. ve Tokpunar, S. (2011) “Sanayi Sektörü İstihdamının Temel Belirleyicileri ve Dış Ticaret: Türkiye Örneği” Ekonomik Yaklaşım Kongreler Dizisi-VII, Kongre sunumu.
Bayoumi, T., Faruqee, H. ve Lee, J. (2005) “A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates” International Monetary FundWorking Paper Series, No:05/229.
Berg, A. ve Miao, Y. (2010) “ The Real Exchange Rate and Growth Revisited: The Washington Consensus Strikes Back?”International Monetary Fund Working Paper Series No:10/58.
Burkart, O. ve Coudert, V. (2002) “Leading Indicators of Currency Crises for Emerging Countries” Emerging Markets Review, 3:107-33.
Bussière, M. ve Fratzscher, M.(2006) “Towards a New EarlyWarning System of FinancialCrises” Journal of International Money and Finance, 25:953-73.
Caner, M. ve Kilian, L.(2001) “Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate” Journal of International Money and Finance, 20:639-657.
Carrera, J. ve Restout, R. (2008) “Long Run Determinants of Real Exchange Rates in Latin America” GATE Groupe d’Analyse et de Théorie Économique, WP 08-11.
Christiano, L.J. ve Fitzgerald, T.J. (2003) “The Band Pass Filter” International Economic Review, 44(2):435- 465.
Chowdhury, K. (2011) “ Dynamics, Structural Breaks and the Determinants of the Real Exchange Rate of Australia” University of Wollongong Economics Working Paper Series No:11-11,
Cline, W.R. ve Williamson, J. (2011) “Estimates of Fundamental Equilibrium Exchange Rates” Peterson Institute of International Economics Policy Brief, No:PB11-5.
Cottani, J.A., Cavallo, D.F. ve Shahbaz, M.K. (1990) “Real Exchange Rate Behavior and Economic Performance in LDCs” Economic Development and Cultural Change, 39(1):61-72.
Coudert, V. ve Couharde, C. (2007) “Real Equilibrium Exchange Rate in China: Is theRenminbi Undervalued?” Journal of Asian Economics, 18:568-94.
Coudert, V. ve Couharde, C. (2009) “Currency Misalignments and Exchange Rate Regimes in Emerging and Developing Countries” Review of International Economics, 17(1):121-136.
De Jong, D.N., Nankervis, J.C., Savin, N.E. ve Whiteman, C.H. (1992)“The Power Problems of Unit Root Test in Time Series With Autoregressive Errors” Journal of Econometrics, 53(1-3):323-343.
Dinçer, N. ve Kandil, M. (2011)“The Effects of Exchange Rate Fluctuations on Exports: A Sectoral Analysis for Turkey” The Journal of International Trade & Economic Development: An International and Comparative Review, 20(6):809-837.
Doroodian, K., Jung, C. ve Yücel, A. Problems, The American Economic Review, 89(3):473- 500. (2002)“Estimating the Equilibrium Real Exchange Rate: The Case of Turkey”Applied Economics, 14:1807-1812.
Easterly, W. (2005) “National Policies and Economic Growth” Philippe et al.(eds.)Handbook of Economic Papers, 45(1):1-48. Growth, Elsevier.
Edwards, S. (1988) “Commercial Policy, Terms of Trade and the Equilibrium Real Exchange Rate” Journal of International Economic Integration, 3(1):1-31.
Edwards, S. (2001) “Exchange Rate Regimes, “Türkiye’de Uzun-Dönem Reel Döviz Kuru Dengesizliği,
–2003” Hazine Müsteşarlığı Araştırma ve İnceleme Capital Flows and Crisis Prevention” National Bureau of Economic Research Working Paper, No:8529.
Elhendawy, E.Ö. (2012) “Real Exchange Rate Misalignment in Saudi Arabia”International Journal of Economics and Finance, 4(12):98-104.
Elliot, G., Rothenberg, T.J. ve Stock, J.H. (1996) “Efficient Tests for an Autoregressive Unit Root” Exchange Rates and Competitiveness: A Clarification of Econometrica, 64:813-836. Concepts and Some Measurement for Europe” Empirica
Ersoy, E. (2010) “Investigation of Long-Run Real Exchange Rates: The Case of Turkey” Sosyal Bilimler Dergisi, 2:14-29.
Feyzioglu, T. (1997) “Estimating the Equilibrium Real Exchange Rate: An application to Finland” International Monetary Fund Working Paper Series, and the Construction of Unit Root Tests with Good Size No:97/109. and Power” Econometrica, 69:1519-1554.
Fischer, S. (2001) “Exchange Rate Regimes: Is the Bipolar View Correct?” Journal of Economic Turkey”The Journal of Policy Reform, 3(4):327-352. Perspectives,15:3-24.
Ghura, D. ve Grennes, T. (1993) “The Real Exchange Rate and Macroeconomic Performance in Sub-Saharan Africa” Journal of Development Economics, 42(1):155-174.
Güloğlu, B. (2012) “Tam Değiştirilmiş EKK (Fully Modified OLS)” Ders Notu.
Hodrick, R.J. ve Prescott, E.C. (1997) “Postwar U.S. Busines Cycles: An Empirical Investigation” Journal of Money, Credit and Banking, 29(1):1-16.
Hussain, S. (2009) “Misallignmnet of Real Exchange Rate with its Equilibrium Path: Case of Pakistan”SBP Research Bulletin, 5(2):1-14.
Joyce, P.J. ve Kamas, L. (2003) “Real and Nominal Determinants of Real Exchange Rates in Latin America: Short Run Dynamics and Long Run Equilibrium” The Journal of Development Studies, 39(6):155-182.
Isard, P. (2007) “Equilibrium Exchange Rates: Assessment Methodologies” IMF Working Paper Series, No:07/296.
Kaminsky, G.L. ve Reinhart, C.M. (1999) “The Twin Crises : The Causes of Banking and Balance of Payments
Kaminsky, G., Lizondo, S. ve Reinhart, M.C. (1998) “Leading Indicators of Currency Crises” IMF Staff
Kibritçioğlu, A. (2004) “An Analysis of Early Warning Signals of Currency Crises in Turkey 1986- 2004” Viyana Seminer Sunuşu.
Kibritçioğlu, A. ve Kibritçioğlu, B. (2004) Dizisi, No:38.
Kumar, S. (2010) “Determinants of Real Exchange Rate in India: An ARDL Approach” Reserve Bank of India Occasional Papers, 31(1):33-64.
Lipschitz, L. ve MacDonald, D. (1992) “Real Austrian Economic Papers, 19:37-69.
MacDonald, R. ve Ricci, L. (2003)“Estimation of the Equilibrium Real Exchange Rate for South Africa” IMF Working Paper Series, No:03/44.
Ng, S. ve Perron, P. (2001) “Lag Length Selection
Özatay, F. (2000) “The 1994 Currency Crises in
Özlale, Ü. ve Yeldan, E. (2002)“Measuring Exchange Rate Misalignment” ERF Working Paper Series, No:0206.
Özkan, G. (2005) “Currency and Financial Crises in Turkey 2000-2001:Bad Fundamentals or Bad Luck?”World Economy, 28(4):541-572.
Phillips, P.C.B ve Hansen, G. (1990) “Statistical Inference in Instrumental Variables Regression with I(1) Processes” Review of Economic Studies, 57:99-125.
Rodrik, D. (2008) “The Real Exchange Rate and Economic Growth” Brookings Papers on Economic Activity, 2:365-412.
Rusek, A. (2012) “The Eurozone’s Equilibrium Real Exchange Rates” Modern Economy, 3:534-541.
Samuelson, P. (1964) “Theoretical Notes and Trade Problems” Review of Economics and Statistics, 46:145-54.
Saygılı, H., Saygılı, M. ve Yılmaz, G. (2010) “Türkiye için Yeni Reel Efektif Döviz Kuru Endeksleri” Türkiye Cumhuriyet Merkez Bankası, Çalışma Tebliği No:10/12.
Schnatz, B. (1998) “Macroeconomic Determinants of Currency Turbulences in EmergingMarkets, Economic Research Group of the Deutsche Bundesbank, Discussion Paper, No:3/98.
the Equilibrium Chinese Yuan/US Dolar Real Exchange
Rate: A FEER Approach” Review of International
Economics, 19(5):791-808.
Schwert, W. (1989) “Test for Unit Roots: A Monte Carlo Investigation” Journal of Business and Economic Statistics, 7:147-159.
Williamson, J. (1990) “What Washington Means by Policy Reform” John, W. (eds.) “Latin American Adjustment: How Much Has Happened?” Washington, Institute for International Economics.
Williamson, J. (1994)“Estimating Equilibrium Exchange Rates” Washington DC, Institute for International Economics.
You, K. ve Sarantis, N. (2011) “Structural Breaks and