Exchange Rate Shock and Its Impact on Import: The Case of Turkey

Factors affecting foreign trade have always been an area of interest. Foreign exchange rates are a variable that comes to the fore due to other factors. In many applied studies, the effects of changes in exchange rates on imports and exports were examined. In many studies, although there are no supporting findings, explanatory and contributing results have been reached. In this study, the volatility of exchange rate was determined by using a new method, Markov Switching ARCH econometrics, and the effect of foreign exchange shocks was investigated. As a result of the regression, it was seen that the import value was affected by the risks caused by the uncertainty of exchange rate.

Anahtar Kelimeler:

Exchange rate, import, export, foreign trade

Exchange Rate Shock and Its Impact on Import: The Case of Turkey

Keywords:

Exchange rate, import, export, foreign trade,

PDF

___

Akaike, H. (1973). Maximum Likelihood Estimation of Gaussian Autoregressive Moving Average Models, Biometrika, 60, 255-65.
Akdi, Y. (2003). Zaman serileri snalizi. Bıçaklar Kitabevi, Ankara.
Arize. C., A, Shwiff, S. S. (1998). Does exchange-Rate volatility affect import flows in G-7 countries? Evidence from cointegration models. Applied Economics, 30, 1269-1276.
Arize. C., A, Osang, T., Slottje, D. J, Y. (2000). “Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDC’s”, Journal of Business and Economic Statistics, 18(1), 10-17.
Baum. C. F., Çağlayan, M., & Özkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied, 19, 1-23.
Broll, U., Eckwert, B. (1999). Exchange rate volatility and international trade. Southern Economic Journal, 66(1), 178-185.
Calderon, C., A. Chong., & Loayza, N. (2000). Determinants of current account deficits in developing conutries. World Bank Policy Research Working Paper, No: 2398,1-37.
Choudhig, T. (2006). Exchange rate volatility and united kingdom trade: Evidence from Canada, Japan and New Zealand. Empirical Economics, Springer.
Dursun, G., Bozkurt, H. (2007). Reel Döviz Kurunun GARCH Modeli ile Tahmini ve Yabancı Doğrudan Yatırım İlişkisi: Türkiye Analizi. 8. Türkiye Ekonometri ve İstatistik Kongresi (24-25 May 2007) İnönü Üniversitesi, Malatya.
Enders, W. (1995). AppliedEconometric Time Series, New York: John Wiley&Sons.
Hau, H. (2002). Real Exchange Rate Volatility and Economic Openness: Theory and Evidence. Journal of Money, Credit and Banking, 34(3), 611-630.
Koray, F., & Lastrapes, D. W. (1989). Real Exchange Rate Volatility and US Bilateral Trend: A Var Approach. The Review of Economics and Statistics, 71(4), 708-712.
Dhdakia, H., R., & Saradhi, V. R., (2000). Exchange Rate Pass-Through and Volatility: Impact on Indian Foreign Trade. Economic and Political Weekly, 35(47), 4109-4116.
Enders, W. (2004). Applied Econometric Time Series, Wiley Seies, Alabama Franses, P. H., Dijk, D. (2006), Non-Linear Time Series Models in Empirical Finance, Cambridge University Press p.13.
Gül, E., Ekinci, A. (2006). Türkiye’de reel döviz kuru ile ihracat ve ithalat arasındaki nedensellik ilişkisi: 1990-2006. Dumlupınar Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16, 165-190.
Güloğlu, B., & Akman, A. (2007). Türkiye’de döviz kuru oynaklığının swarch yöntemi ile analizi. Finans Politik&Ekonomik Yorumlar, Yıl:44, No:512, p.43-52.
Köse, N., Ay, A., & Topallı, N. (2008). Döviz kuru oynaklığının ihracata etkisi: Türkiye örneği (19952008). Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10/2, 25-45.
Kutlar, A. (2005).Uygulamalı ekonometri, Nobel, Ankara.
Özbay, P. (1999). the effect of exchange rate uncertainty on exports a case study for Turkey”, Research Paper, March 1999.
Öztürk, İ., Acaravcı, A. (2006). The effect of exchange rate uncertainty on Turkish export: an ampirical investigation. Review of Social, Economic and Business Studies, 2, Fall 2002-2003, 197-206.
Sevüktekin, M. Nargeleçekenler, M. (2005). Zaman serileri analizi, Nobel, Ankara.
Türkyılmaz, S., Özer, M., & Kutlu, E. (2007). Döviz kuru oynaklığı ile ithalat ve ihracat arasındaki ilişkilerin zaman serisi analizi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 2, 133149.
Vogelvang, B, (2005). Econometrics theory and applications with eviews, Pearson, 117

ISSN: 2667-4343
Yayın Aralığı: Yılda 2 Sayı
Başlangıç: 2018
Yayıncı: Bilgiçağı Eğitim Danışmanlık ve Yayıncılık Sanayi Ticaret Limited Şirketi