A Monetary Model of TL/US$ Exchange Rate: A Co-Integrating Approach

Bu çalışmada, 1987Q1-2006Q4 dönemi için üçer aylık gözlem aralığı kullanılarak TL/US$ döviz kuru belirlenme mekanizması araştırılmaktadır. Ekonomik temellere dayalı olarak belirlenen ddöviz kuru parasal modeli takip edilerek çok değişkenli Johansen-Juselius eş-bütünleşim modellemesi Türkiye ekonomisi için nominal döviz kuru belirlenme mekanizmasına neden olan uzun dönem durağan ilişkilerin ortaya çıkarılması için kullanılmıştır. Bulgularımız döviz kuru parasal modeline önemli ölçüde destek vermekte ve nominal döviz kurunun ekonomi kuramı tarafından önerilen temeller ile eş-bütünleşik bir ilişki içinde olduğunu göstermektedir.

TL/US$ Döviz Kuru Parasal Modeli: Eş-Bütünleşik Bir Yaklaşım

In our paper, we investigate the exchange rate determination mechanism of TL/USS for the 1987Q1-2006Q4 period using quarterly observations. Following the monetary model exchange rate determination based on economic fundamentals, multivariate Johansen-Juselius type co-integrating modeling is employed to reveal the long-run stationary relationships leading to the determination of nominal exchange rate for the Turkish economy. Our findings give strong support to the monetary model of exchange rate and indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory.

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