TÜRKİYE’DE DÖVİZ REZERVLERİ VE DÖVİZ KURU ARASINDAKİ ASİMETRİK İLİŞKİ: NARDL YAKLAŞIMI BULGULARI - THE ASYMMETRIC RELATIONSHIP BETWEEN FOREIGN EXCHANGE RESERVES AND EXCHANGE RATE IN TURKEY: EVIDENCE FROM NARDL APPROACH

Bu çalışmada, Türkiye’de döviz kurunun piyasadaki arz ve talep koşullarına bağlı olarak belirlendiği dalgalı kur rejiminin uygulandığı dönemde, döviz kuru ve döviz rezervleri arasındaki asimetrik ilişki araştırılmıştır. Şubat 2002-Haziran 2019 dönemine ait aylık verilerin kullanıldığı analizde NARDL yaklaşımına bağlı olarak gerçekleştirilen sınır testinde döviz rezervleri ve döviz kuru arasında eşbütünleşme ilişkisinin varlığına dair bulgular elde edilmiştir. Gerçekleştirilen asimetri testlerinde ise uzun ve kısa dönemde kur-rezerv ilişkisinde asimetrinin geçerli olduğu sonucuna ulaşılmıştır. Hesaplanan uzun dönem asimetrik katsayılar döviz rezervlerinin kurdaki düşüşler karşısında daha duyarlı olduğunu göstermektedir. Bu durum, analize konu dönemde Türkiye’de rezervlerini artırma refleksinin, dalgalanma korkusundan daha yüksek olduğu şeklinde yorumlanabilir.

Anahtar Kelimeler:

Döviz Rezervleri, Döviz Kuru, Dalgalanma Korkusu, Rezervleri Kaybetme Korkusu, NARDL

THE ASYMMETRIC RELATIONSHIP BETWEEN FOREIGN EXCHANGE RESERVES AND EXCHANGE RATE IN TURKEY: EVIDENCE FROM NARDL APPROACH - TÜRKİYE’DE DÖVİZ REZERVLERİ VE DÖVİZ KURU ARASINDAKİ ASİMETRİK İLİŞKİ: NARDL YAKLAŞIMI BULGULARI

In this study, the asymmetric relationship between exchange rates and foreign exchange reserves has been investigated for the period of floating exchange regime in which exchange rates have determined depending on the supply and demand conditions in Turkey. In the analysis, using monthly data covering the period of February 2002 – June 2019, bound tests based on NARDL approach have been revealed the findings regarding the existence of the cointegration relationship between foreign exchange reserves and exchange rate. In the asymmetry tests, it has been concluded that asymmetry is valid in the exchange rate – reserves relationship in both long-term and short-term. The calculated long-term asymmetric coefficients indicate that foreign exchange reserves are more sensitive to the decreases in exchange rates. This results can be interpreted as the reflex of hoarding reserves dominates the fear of floating in Turkey in the mentioned period.

Keywords:

Foreign Exchange Reserves, Exchange Rate, Fear of Floating, Fear of Losing Reserves, NARDL,

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