Politik İstikrarsızlığın Hüküm Sürdüğü Bir Ekonomide Reel Döviz Kurunun Stokastik Davranışı: Türkiye Üzerine Ampirik Bulgular, 1971-2002

Çalışmada Bayesyen Gibbs örnekleme yönteminin içerildiği bir Markov dönüşüm modeli kullanılarak, Türkiye ekonomisi için reel döviz kurunun stokastik davranışı analiz edilmektedir. Kullanılan yöntem modelin gerek parametrelerinde gerekse de varyansmda rejim değişikliği niteliklerinin yakalanmasına olanak sağlamaktadır. Ampirik çalışmanın bulguları, reel döviz kurunun düşük değişkenlik rejimlerinde durağan, yüksek değişkenlik rejimlerinde ise durağan olmayan bir yapı sergilediğini ortaya koymaktadır. Bununla birlikte, sık hükümet değişiklikleri sonucunda oluşan politik istikrarsızlığın, satın alma gücü paritesinde önemli sapmalara neden olduğu ortaya çıkmaktadır.

Stochastic Behaviour of the Reel Exchange Rate in a Politically Unstable Economy: Empirical Evidence from Turkey, 1971-2002

Stochastic behaviour of the real exchange rate for Turkey is examined by using a Markov-switching model incorporating Bayesian Gibbs sampling method. The methodology used allows to capture the regime switching properties both in the parameters and the variance of the model. The results indicate that the real exchange rate is stationary during the low volatility regime and non-stationary during the high volatility regime. Frequent government changes resulting political instability also cause significant deviations in purchasing power parity.

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