Nominal döviz kuru oynaklığının enflasyon, faiz oranı ve dış ticaret hacmindeki değişimler ile olan ilişkisi: Türkiye örneği

Çalışmanın amacı, nominal döviz kuru oynaklığı ile enflasyon oranı, faiz oranı ve dış ticaret hacminde meydana gelen değişimler arasında uzun ve kısa dönemli bir ilişkinin varlığını incelemektir. Bu doğrultuda, 1992:12009:12 dönemi aylık verileri ele alınarak değişkenler arasındaki ilişkinin varlığı araştırılmıştır. Elde edilen sonuçlar doğrultusunda, nominal döviz kuru oynaklığı ile enflasyon oranında meydana gelen değişimler arasında pozitif bir ilişki belirlenirken, faiz oranında meydana gelen değişimler arasında negatif bir ilişkinin varlığı belirlenmiştir. Bununla birlikte dış ticaret hacmi değişkenindeki değişimler ile nominal döviz kurunda meydana gelen değişimler arasında herhangi bir ilişkinin varlığına rastlanamamıştır.

The relationship between volatility of nominal exchange rate and inflation, interest rate and volume of foreign trade: The case of Turkey

The aim of study is to investigate long and short term relation between the nominal exchange rate volatility and inflation rate, interest rate and foreign trade volume. In this regard, the existence of the relationship between variables by examining the monthly data 1992:1-2009:12 period studied. The results obtained show that the existence of long and short term relation between inflation rate and interest rate volatility and nominal exchange rate changes. However, there hasnt been any relation between changes in the volume of foreign trade and the nominal exchange rate.

PDF

___

ARISTOTELOUS, K., 2001. Exchange-rate volatility, exchange- rate regime, and trade volume: evidence from the UKUS export function (1989-1999), Economic Letters, 72, 87-89.
ASSEERY, A., ve Peel, D. A., 1991. The effects of exchange rate volatility on exports, Economics Letters, 37, 173-177.
BAILEY, M. J., TAVLAS, G. S., ve ULAN, M., 1986. Exchangerate variability and trade performance: evidence for the big seven industrial countries, Weltwirtschaftliches Archiv, 122, 466-77.
DEKLE, R., HSİAO, C. ve WANG, S., 2001. Do High Interest Rates Appreciate Exchange Rates During Crisis? The Korean Evidence, Oxford Bulletin of Economics and Statistics, Vol. 63 (3), 359-380.
GOLDFAJN, I., ve TAİMUR B., 1998. Monetary Policy in the Aftermath of Currency Crises: The Case of Asia, IMF Working Paper No.WP/98/170, December.
GOTUR, P., 1985. Effects of exchange rate volatility on trade, IMF Staff Papers, 32, 475-512.
GÜL, E., vd., 2007. Türkiyede Faiz Oranları Ve Döviz Kuru Arasındaki Nedensellik İlişkisi: 1984 2006, İktisat İşletme Ve Finans, Sayı: 251, 21-31.
HOOPER, P., KOHLHAGEN, S.W., 1978. The effect of exchange rate uncertainty on the prices and volume of international trade, Journal of International Economics, 8, 483511.
KASMAN, A., ve KASMAN, S., 2005. Exchange rate uncertainty in Turkey and its impact on export volume, METU Studies in Development, 32 (June), 41-58.
LEE, K. S. ve SAUCİER, P., 2005. Exchange Rate Instability and Trade Integration The Case of Asia, 5th Internatioanal Conference International Trade and Logistics Corporate Strategies and The Global Economy, Le Havre.
LEIGH, D. ve MARCO, R., 2002. Exchange Rate Pass- Through in Turkey, IMF Working Paper, WP/02/204.
MADURA J., 2008. International Financial Management, 9th Edition, South-Western College Publishing.
MODİGLİANİ, F. and COHN, R. A., 1979. Inflation, rational valuation, and the market, Financial Analysis Journal 38, pp. 2444.
ÖZTÜRK, I. ve ALİ, A., 2006. The effects of Exchange volatility on the Turkish export: an empirical investigation, MPRA Paper No. 332, 1-13.
PRASERTNUKUL, W., KİM, D. ve KAKİNAKA, M., 2010. Exchange rate, Price levels, and Inflation Targeting: Evidence From Asian Countries, GSIR Working paper, Economic Development and Policy series.
SAEIDI, P. ve Valian, H., 2011. Studying the Relation Between Currency Rate, Interest Rate and Inflation Rate Based on Fischer International Theory an d Effect Theory in Iran Economy, Australian Journal of Basic and Applied Sciences, 5(12): 1371-1378.
SHALISHALI, M.K., 2012. A Test for International Fisher Effect in Selected Asian Countries, International Journal of Humanities and Social Science, 2(4):86-92.
TELATAR, F. ve TELATAR, E., 2003. The Relationship Between Inflation and Different Sources of Inflation Uncertainty in Turkey, Applied Economic Letters, 10(7): 431-436.
UTAMI, S.E ve INANGA, E.L., 2009. Exchange Rates, Interest Rates, and Inflation Ratesin Indonesia: The International Fisher Effect Theory, International Research Journal of Finance and Economics , 26:151-169.`