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Year 2013, Volume: 27 Issue: 3, 245 - 262, 19.07.2013

Mustafa Uysal Bülent Doğru

Abstract

This paper examines the effects of exchange rate volatility on the export flows of Euro Area to its 12 major trading partners for the monthly time series covering the time period 2002:01-2010:12. Econometric method is autoregressive distributed lag (ARDL) bound test approach providing the opportunity to predict with different levels of integration. Findings suggest that volatility affect export negatively in short-run, and affects positively in long-run. However, effects both in short and long-run is very weak, i.e, is negligible.

Keywords

Exchange Rate Volatilty Autoregressive Distributed Lag (ARDL) Bound Test Approach Euro Region.

References

  • AKHTAR, M.A ve HILTON, R.S. (1984), “ Effect on Exhange Rate Uncertainty on German and U.S. Trade”, Federal Reserve Bank of New York, Quarterly Review, Vol. 9, 7-16.
  • AKINLO, A. E. (2006), "The stability of money demand in Nigeria: An autoregressive distributed lag approach." Journal of Policy Modeling 28.4 (2006): 445-452.
  • ARISTOTELOUS, K. (2001), “Exchang-Rate Volatility,Exchange-Rate Regime,and Trade Volume: Evidence from the UK-US Export Function (1989-1999)”, Economics Letters,72, 87-94.
  • BRADA, J.C. ve MENDEZ, J.A. (1988), “Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade”, KYKLOS, Vol:41. 2, 263-280.
  • CHOUDHRY, T. (2008), “Exchange Rate Volatility and United Kingdom Trade: Evidence From Canada, Japan and New Zealand”, Empirical Economics, Volume: 35, No:3, 607-619.
  • CUSHMAN, D.O. (1983), “The Effect of Real Exchange Rate Risk On International Trade”, Journal of International Economics, 15, 45-63.
  • DICKEY, D. ve FULLER, W.A.(1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association,74,427-431.
  • EROĞLU, İ. (2009), Enflasyon Hedeflemesi Rejimi ve Türkiye’deki Uygulamanın Performans Analizi, (Yayımlanmamış Doktora Tezi), İstanbul: İstanbul Üniversitesi Sosyal Bilimler Enstitüsü.
  • GUJARATI, D. (2004), Basic Econometrics, Fifth Edition, The McGrow-Hill Companies.
  • HOOPER, P. ve KOHLHAGEN, S.W. (1978), “The Effect of Exchange Rate Uncertainty on the Prices and volume of International Trade”, Journal of International Economics, 8, 483-511.
  • IM, K.S.,PESARAN, M.H. ve SHİN, Y. (2003); “Testing for Unit Roots in Heterogeneous Panels” Journal of Econometrics, 115, pp. 53– 74.
  • KAMAS, L., ve JOYCE, J. P. (1993). “Money, income and prices under fixed exchange rates: Evidence from causality tests and VARs”, Journal of Macroeconomics, 15(4), 747-768.
  • KÖSE, N. , AY, A. ve TOPALLI, N. (2008), “Döviz Kuru Oynaklığının İhracata Etkisi: Türkiye örneği (1995-2008)”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi dergisi, 10/2, 25-45.
  • LEE, B.C.M. (2003), “Impact of Exchange Rate Volatility on Canadian Exparts to the United States”, B.Com. University of British Columbia, Master of Arts.
  • LUSHMAN, D.O. (1983), “The Effects of Real Exchange Rate Risk on Interna tional Trade”, Journal of International Economics, Vol:15, 45-63.
  • MCKENZIE, M. D. ve BROOKS, R. D. (1997), “The Impact of Exchange Rate Volatility on German-US Trade Flows”, Journal of International Financial Markets, Institutions and Money, 7, 73-87.
  • MCKENZIE, M. D. (1998), “The Impact of Exchange Rate Volatility on Australian Trade Flows”. Journal of International Financial Markets, Institutions and Money, 8, 21-38.
  • ÖZBAY, P. (1999), “The Effect of Exchange Rate Uncertainty on Exports: A Case Study For Turkey”, www.temb.gov.tr / rescarch / discus / dpaper36.pdf (Erişim: 14.04.2011).
  • ÖZTÜRK, İ. ve ACARAVCI, A. (2002), “Döviz Kurundaki Değişkenliğin Türkiye ihracatı Üzerine etkisi”, Review of Social, Economic and Business Studies, Vol.2, Fall 2002-2003, 197-206.
  • PEREE, E. ve STEINHERR, A.(1989), “Exchange Rate Uncertainty and Fareign Trade ”, European Economic Review, 33, 1241-1264.
  • PESARAN, M. H., YONGCHEOL, S. ve J. SMİTH, R. (2001), "Bounds Testing Approaches To The Analysis of Level Relationships." Journal of Applied Econometrics 16(3), 289-326.
  • Qi.Q.S.C.(2004), “The Effect of Real Exchange Rate Volatility Trade Performance-The Case in Indonesia in the 1990’s”, B.A, Universty of Birtish Columbia, Master of Arts.
  • SAATÇİOĞLU, C. ve KARACA, O. (2004), “Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye Örneği”, Doğuş Üniversitesi Dergisi, Vol:5, No:2, 183-195.
  • SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M.(2007), Ekonometrik Zaman Serileri Analizi, Geliştirilmiş 2. Baskı, Nobel Yayıncılık, Ankara. TAKAENDESA, P. , TSHEOLE, T. ve AZİAKPONO, M. (2005) “ Real Exchange Rate Volatility and Its Effect an Trade Flows: New Evidence From South Africa.” Biennial Conference of the Economic Society of South Africa, September 7-9.
  • VERGİL, H. (2002). “Exchance Rate Volatility in Turkey and Its Effect on Trade Flows.” Journal of Economıc and Social Research ,4(1), 83-99.
  • VOGELVANG, B. (2005), Eonometrics Theory and Apllications With Eviews, FT Prentice Hall.

EFEKTİF EURO KURUNDAKİ BELİRSİZLİĞİN EURO BÖLGESİ İHRACATINA ETKİSİ

Year 2013, Volume: 27 Issue: 3, 245 - 262, 19.07.2013

Mustafa Uysal Bülent Doğru

Abstract

Bu çalışmada, Euro Bölgesi’nin 12 büyük ticaret ortağı ülkeye
yapmış olduğu ihracata, Euro kurundaki volatilitenin (belirsizliğin) etkisi
2002:01-2010:12 dönemleri arasında aylık olarak incelenmiştir. Ekonometrik
yöntem olarak farklı bütünleşme düzeylerinde tahmin yapma olanağı sağlayan
Otoregresif Dağıtılmış Geçikmeli (ARDL) sınır testi yaklaşımı
kullanılmaktadır. Elde edilen ekonometrik sonuçlara göre döviz kurundaki
belirsizlik ihracatı kısa dönemde negatif, uzun dönemde ise pozitif yönde
etkilemektedir. Ancak her iki dönemdeki etki de oldukça zayıf yani ihmal
edilebilecek boyuttadır.

Keywords

Döviz Kuru Volatilitesi (Belirsizlik) EşBütünleşme Sınır Testi Yaklaşımı (ARDL) Euro Bölgesi.

References

  • AKHTAR, M.A ve HILTON, R.S. (1984), “ Effect on Exhange Rate Uncertainty on German and U.S. Trade”, Federal Reserve Bank of New York, Quarterly Review, Vol. 9, 7-16.
  • AKINLO, A. E. (2006), "The stability of money demand in Nigeria: An autoregressive distributed lag approach." Journal of Policy Modeling 28.4 (2006): 445-452.
  • ARISTOTELOUS, K. (2001), “Exchang-Rate Volatility,Exchange-Rate Regime,and Trade Volume: Evidence from the UK-US Export Function (1989-1999)”, Economics Letters,72, 87-94.
  • BRADA, J.C. ve MENDEZ, J.A. (1988), “Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade”, KYKLOS, Vol:41. 2, 263-280.
  • CHOUDHRY, T. (2008), “Exchange Rate Volatility and United Kingdom Trade: Evidence From Canada, Japan and New Zealand”, Empirical Economics, Volume: 35, No:3, 607-619.
  • CUSHMAN, D.O. (1983), “The Effect of Real Exchange Rate Risk On International Trade”, Journal of International Economics, 15, 45-63.
  • DICKEY, D. ve FULLER, W.A.(1979), “Distribution of the Estimates for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association,74,427-431.
  • EROĞLU, İ. (2009), Enflasyon Hedeflemesi Rejimi ve Türkiye’deki Uygulamanın Performans Analizi, (Yayımlanmamış Doktora Tezi), İstanbul: İstanbul Üniversitesi Sosyal Bilimler Enstitüsü.
  • GUJARATI, D. (2004), Basic Econometrics, Fifth Edition, The McGrow-Hill Companies.
  • HOOPER, P. ve KOHLHAGEN, S.W. (1978), “The Effect of Exchange Rate Uncertainty on the Prices and volume of International Trade”, Journal of International Economics, 8, 483-511.
  • IM, K.S.,PESARAN, M.H. ve SHİN, Y. (2003); “Testing for Unit Roots in Heterogeneous Panels” Journal of Econometrics, 115, pp. 53– 74.
  • KAMAS, L., ve JOYCE, J. P. (1993). “Money, income and prices under fixed exchange rates: Evidence from causality tests and VARs”, Journal of Macroeconomics, 15(4), 747-768.
  • KÖSE, N. , AY, A. ve TOPALLI, N. (2008), “Döviz Kuru Oynaklığının İhracata Etkisi: Türkiye örneği (1995-2008)”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi dergisi, 10/2, 25-45.
  • LEE, B.C.M. (2003), “Impact of Exchange Rate Volatility on Canadian Exparts to the United States”, B.Com. University of British Columbia, Master of Arts.
  • LUSHMAN, D.O. (1983), “The Effects of Real Exchange Rate Risk on Interna tional Trade”, Journal of International Economics, Vol:15, 45-63.
  • MCKENZIE, M. D. ve BROOKS, R. D. (1997), “The Impact of Exchange Rate Volatility on German-US Trade Flows”, Journal of International Financial Markets, Institutions and Money, 7, 73-87.
  • MCKENZIE, M. D. (1998), “The Impact of Exchange Rate Volatility on Australian Trade Flows”. Journal of International Financial Markets, Institutions and Money, 8, 21-38.
  • ÖZBAY, P. (1999), “The Effect of Exchange Rate Uncertainty on Exports: A Case Study For Turkey”, www.temb.gov.tr / rescarch / discus / dpaper36.pdf (Erişim: 14.04.2011).
  • ÖZTÜRK, İ. ve ACARAVCI, A. (2002), “Döviz Kurundaki Değişkenliğin Türkiye ihracatı Üzerine etkisi”, Review of Social, Economic and Business Studies, Vol.2, Fall 2002-2003, 197-206.
  • PEREE, E. ve STEINHERR, A.(1989), “Exchange Rate Uncertainty and Fareign Trade ”, European Economic Review, 33, 1241-1264.
  • PESARAN, M. H., YONGCHEOL, S. ve J. SMİTH, R. (2001), "Bounds Testing Approaches To The Analysis of Level Relationships." Journal of Applied Econometrics 16(3), 289-326.
  • Qi.Q.S.C.(2004), “The Effect of Real Exchange Rate Volatility Trade Performance-The Case in Indonesia in the 1990’s”, B.A, Universty of Birtish Columbia, Master of Arts.
  • SAATÇİOĞLU, C. ve KARACA, O. (2004), “Döviz Kuru Belirsizliğinin İhracata Etkisi: Türkiye Örneği”, Doğuş Üniversitesi Dergisi, Vol:5, No:2, 183-195.
  • SEVÜKTEKİN, M. ve NARGELEÇEKENLER, M.(2007), Ekonometrik Zaman Serileri Analizi, Geliştirilmiş 2. Baskı, Nobel Yayıncılık, Ankara. TAKAENDESA, P. , TSHEOLE, T. ve AZİAKPONO, M. (2005) “ Real Exchange Rate Volatility and Its Effect an Trade Flows: New Evidence From South Africa.” Biennial Conference of the Economic Society of South Africa, September 7-9.
  • VERGİL, H. (2002). “Exchance Rate Volatility in Turkey and Its Effect on Trade Flows.” Journal of Economıc and Social Research ,4(1), 83-99.
  • VOGELVANG, B. (2005), Eonometrics Theory and Apllications With Eviews, FT Prentice Hall.
There are 26 citations in total.

Details

Primary Language tr;en
Journal Section Makaleler
Authors

Mustafa Uysal

Bülent Doğru

Publication Date July 19, 2013
Published in Issue Year 2013 Volume: 27 Issue: 3

Cite

APA Uysal, M., & Doğru, B. (2013). EFEKTİF EURO KURUNDAKİ BELİRSİZLİĞİN EURO BÖLGESİ İHRACATINA ETKİSİ. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 27(3), 245-262.

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