DOLAR ARZI İLE DOLAR KURU VE TAHVİL FAİZLERİ ARASINDAKİ KOENTEGRASYON İLİŞKİSİ: ARDL SINIR TESTİ YAKLAŞIMI

Rezerv para arzında meydana gelen şoklar, artan küreselleşme ve serbestleşen uluslararası sermaye hareketleri ile gelişmekte olan ülkelerde politika faizleri üzerinden varlık fiyatlarını ve döviz kurlarını etkilemektedir. Parasal aktarım kanallarının çalışma mekanizmaları her ülkenin ekonomik ve finansal yapısına göre farklılık göstermektedir. Parasal aktarım kanalları her ülke için farklı sonuçlar verdiğinden, bu kanalların işleyiş mekanizmaları üzerinde konsensüs sağlanamamış ve her ülke için ampirik analiz yapma zorunluluğu ortaya çıkmıştır. Bu çalışmanın amacı, uluslararası parasal aktarım kanallarının Türkiye üzerindeki etkilerine yönelik ampirik analizler yapmaktır. Amerikan Merkez Bankası (FED) in 2007 konut krizi nin ardından uyguladığı geleneksel olmayan, genişlemeci para politikalarının Türkiye ye aktarım mekanizmalarını kur kanalı üzerinden, dolar kuru ile dolar arzı ve kısa vadeli tahvil faizleri arasındaki koentegrasyon (eşbütünleşme) ilişkisini dikkate alarak analiz etmektir. Çalışmada 2008:11-2014:6 dönemi incelenmiş, haftalık veriler kullanılarak uygulanan ARDL Sınır Testi yaklaşımında, hem kısa hem de uzun vadede dolar arzı ve tahvil değişkenleri ile dolar kuru arasında eşbütünleşme ilişkisi saptanmış, ancak kısa vadede dolar arzı ile kur arasında gecikmeli ve zayıf bir eşbütünleşme ilişkisi tespit edilmiştir. Bu durum, Türkiye’de döviz kuru kanalının sadece uzun vadede önemli olduğunu göstermektedir. Hata düzeltme modeli ile kısa dönem dengenin uzun döneme yakınsama sürecinin yavaş olduğu belirlenmiştir. Çalışmanın literatüre katkısı ampirik analizler ile, FED’in geleneksel olmayan genişlemeci para politikası uygulamalarının Türkiye ye aktarım mekanizmalarından olan döviz kuru kanalının kısa ve uzun vadeli etkilerini ayrıştırarak ARDL sınır testi metodu ile analiz eden ilk çalışma olmasıdır.

COINTEGRATION BETWEEN THE EXCHANGE RATES, DOLLAR SUPPLY AND TREASURY BOND YIELDS: AN ARDL BOUND TEST APPROACH

With the increased globalization and liberalized international capital movements in recent years, the shocks in the reserve money supply affect the asset prices and exchange rates over the policy rates in developing countries. Early studies showed that the monetary transmission mechanism and channels differ according to the economic and financial structure of each emerging market. Since monetary transmission channels give different results for each country, no consensus has been reached on this issue, and empirical analysis is needed for each country to determine the specific transmission channels. The aim of this study is to make empirical analyzes on the effects of international monetary transmission channels for Turkey. To analyze the transmission mechanism of the non-traditional, expansionary monetary policies implemented by the US Federal Reserve (FED) during the period of 2008:11-2014:6 on Turkey, through the exchange rate channel, the cointegration relationship between the dollar rate, the dollar supply and short-term interest rates analyzed. Using the weekly data, ARDL Bounds Test approach is applied and a cointegration relationship was found between the exchange rate, M1 dollar supply and bond variables both in the short and the long term during the period of 2008:11- 2014:6. However, the short term results indicated a weak and lagged cointegration relationship between the M1 dollar supply and the exchange rate. This result shows that the exchange rate channel is important for Turkey only in the long run. With the error correction model, it has been determined that the convergence process of the short-term equilibrium to the long-term is slow. The contribution of this study to the literature is empirical; It is the first study to analyze the short-term and long-term effects of the exchange rate channel, which is one of the transmission mechanism of the external monetary shocks, using the ARDL bound test.

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