The Impact of Real Effective Exchange Rate Volatility on the Trade between the U.S. and Turkey: An ARDL Approach

This paper analyses the relationship between the trade volume and the volatility of the real effective exchange rate for the case of the U.S. and Turkey. The exchange rate volatility is modeled as a GARCH(1,1) process. We employ the popular ARDL bounds testing approach to investigate the existence of a long-run relationship. Unlike most other studies, this paper uses disaggregated monthly data from ten major industries, to make the identification of industry specific effects possible. We find that, the volatility of the real effective exchange rate is soley in one industry a significant regressor in the long run. Exports from Turkey to the U.S. mostly depend on the real effective exchange rate, imports of Turkey from the U.S., on the other hand, depend mostly on the Turkish industrial production index. The results of the bounds test confirm the ambiguity of the findings of previous studies.

Reel Efektif Döviz Kuru Volatilitesinin Türkiye ve ABD arasındaki Ticarete Etkisi: ARDL Yaklaşımı

Bu çalışma, reel efektif döviz kuru volatilitisi ile Türkiye - ABD ticaret hacmi arasındaki ilişkiyi analiz etmektedir. Döviz kuru GARCH (1,1) süreci olarak modellenmiştir. Uzun dönem ilişkilerin varlığını tespit etmek için ARDL sınır testi uygulanmıştır. Diğer çalışmalardan farklı olarak, bu çalışma sektör bazlı, aylık veri kullanarak, on farklı sektör için sektöre özgün etkileri ortaya çıkarmaktadır. Uzun vadeli ilişkide, sadece bir sektörde döviz kur volatilitesinin anlamlı bir açıklayıcı değişken olduğu tespit edilmiştir. Türkiye’den ABD’ye ihraçların en önemli etkeni döviz kuru olduğu ortaya çıkmıştır. Türkiye’nin ABD’den ithal ettiği ürün gruplarında ise en önemli etkenin Sanayi Üretim Endeksi olduğu gösterilmiştir. Sınır testinin sonucu, önceki çalışmalarının kararsızlıklarını teyit etmektedir.

Kaynakça

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Kaynak Göster