OECD ÜLKELERİNDE REEL DÖVİZ KURU HAREKETLERİNİN AÇIKLANMASINDA BALASSA-SAMUELSON ETKİSİ

Balassa-Samuelson hipotezine göre reel döviz kuru hareketleri, ticarete konu olan ve ticarete konu olmayan sektörlerin verimlilik farklılıklarından kaynaklanmakta, ticarete konu olan sektörlerdeki göreli verimlilik artışları ülke parasının reel olarak değer kazanmasına yol açmaktadır. Bu çalışmada, ülkelerin reel döviz kuru hareketlerinin açıklanmasında Balassa-Samuelson hipotezinin geçerli olup olmadığı, 25 OECD ülkesi ve 1990-2016 dönemi için güncel panel veri yöntemleri kullanılarak incelenmektedir. Bu amaçla, sektörel göreli verimliliğin reel döviz kuru üzerindeki etkisi, ülkeler arasındaki heterojenliği, dinamik yapıyı ve yatay-kesit bağımlılığını dikkate alan panel veri tahmin yöntemlerinden yararlanılarak incelenmiştir. Havuzlanmış Ortalama Grup (Pooled Mean Group) tahmin sonuçları OECD ülkelerinde B-S hipotezini destelemektedir. Diğer yandan, ülkelerin maruz kaldığı ortak küresel şokların neden olduğu yatay-kesit bağımlılığı Kesitsel Olarak Genişletilmiş panel ARDL modeli (Chudik ve Pesaran, 2015) kullanılarak dikkate alındığında ise göreli verimliliğin reel döviz kuru üzerindeki etkisi istatistiksel olarak anlamsız hale gelmektedir. Dolayısıyla, Balassa-Samuelson hipotezini OECD ülkeleri için destekleyen güçlü sonuçlara ulaşılamamıştır.

Anahtar Kelimeler:

Balassa-Samuelson Hipotezi, Reel döviz kuru, sektörel verimlilik, panel veri analizi

BALASSA-SAMUELSON EFFECT IN EXPLAINING THE REAL EXCHANGE RATE MOVEMENTS OF OECD COUNTRIES

According to Balassa-Samuelson hypothesis which explains real exchange rate movements by productivity differences between tradable and non-tradable sectors, an increase in the relative productivity of tradable sector leads to a real appreciation of domestic currency. In this study, we analyze whether the Balassa-Samuelson hypothesis is valid employing recent panel data tehniques for a panel data set covering 25 OECD countries and the period 1990-2016. To this aim, the effect of sectoral relative productivity on real exchange rate is examined employing panel data estimators considering country heterogeneity, dynamic behavior and cross-section dependency. Results of Pooled Mean Group estimations support the Balassa-Samuelson hypothesis for OECD countries. However, the effect of relative productivity on real exchange rate becomes statistically insignificant when we control the cross-section dependency that arises due to common global shocks by employing Cross-sectionally Augmented Panel ARDL estimator (Chudik and Pesaran, 2015). Consequently, Balassa-Samuelson hypothesis cannot be robustly supported for OECD countries.

Keywords:

Balassa-Samueslon Hypothesis, real exchange rate, sectoral productivity, panel data analysis,

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