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Döviz kuru ve döviz kuru volatilitesinin ihracat ve ithalata etkisi

Yıl 2020, Cilt: 13 Sayı: 4, 606 - 623, 01.10.2020

Nigar Alev

https://doi.org/10.25287/ohuiibf.573212
Cited By: 4

Öz

Dışa açık ve gelişmekte olan ülke ekonomileri dünya talebi, dış ticarette uygulanan tarife ve kota gibi ticaret kısıtlamalarından, döviz kurlarından ve döviz kurlarında yaşanan dalgalanmalardan büyük ölçüde etkilenmektedir. Gelişmekte olan ülke grubunda yer alan Türkiye için bu konu yaşanan döviz kuru dalgalanmalarının da etkisi ile güncel veriler kullanılmak suretiyle araştırılmak istenmiştir. Bu amaçla çalışmada iki farklı model kurulmuştur. Döviz kuru ve döviz kuru oynaklığının ihracat ve ithalat üzerindeki etkisi, 2010 Ocak-2019 Mayıs dönemine ait aylık veriler kullanılarak ARDL testi yaklaşımı ile incelenmiştir. Döviz kuru ve döviz kuru oynaklığının ihracat üzerindeki etkisinin araştırıldığı birinci modelin tahmin edilmesiyle elde edilen sonuçlar, kısa dönemde döviz kuru oynaklığının; uzun dönemde ise reel efektif döviz kurunun ihracat üzerinde istatistiki açıdan anlamlı negatif etkisinin olduğunu göstermiştir. Döviz kuru ve döviz kuru oynaklığının ithalat üzerindeki etkisinin araştırıldığı ikinci modelin tahmin edilmesiyle elde edilen sonuçlar ise döviz kuru oynaklığının kısa ve uzun dönemde ithalat üzerinde istatistiki açıdan anlamlı negatif etkisinin olduğunu; reel efektif döviz kurunun kısa dönemde ithalat üzerinde anlamlı bir etkisinin olmadığını ancak uzun dönemde negatif anlamlı etkisinin olduğunu göstermiştir.

Anahtar Kelimeler

İhracat İthalat Döviz Kuru Volatilite

Kaynakça

  • Akhtar, M. & Spence Hilton, R. (1984). Effects of Exchange Rate Uncertainty on German and U.S. Trade, Federal Reserve Bank of New York. Quarterly Review, 9, 7-16.
  • Aktaş, C. (2010). Türkiye’de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki İlişkinin VAR Tekniği ile Analizi, ZKÜ Sosyal Bilimler Dergisi, 6(11), 123-140.
  • Ardiyanti, S.T. (2015). The Impact of Real Exchange Rate Volatility on Indonesıa-US Trade Performance, Buletin Ilmiah Litbang Perdagangan, 9(1), 79-93.
  • Arize A. (1995). Trade Flows And Real Exchange Rate Volatility: An Application Of Cointegration And Error Correction Modeling, North American Journal of Economics and Finance, 6(1), 37-51.
  • Arize, C.A. (1998). The Effects of Exchange Rate Volatility on U.S. Imports: An Empirical Investigation, International Economic Journal, 12(3), 31-40.
  • Arize, C.A., Osang, T. & Slottje, D.J. (2000). Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDC's, Journal of Business and Economic Statistics, 18(1):10-17.
  • Asteriou, D., Masatci, K. & Pilbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries, Economic Modelling, 58, 133-140.
  • Aydıner, M. (2017). Türkiye’nin İhracatının Döviz Kuru, Fiyat ve İthalatçı Ülke Gelir Dalgalanmalarına Hassasiyeti: Seçilmiş AB Ülkelerine Olan İhracat Üzerinden Bir Değerlendirme, Akademik Sosyal Araştırmalar Dergisi, 5 (42), 273-284.
  • Ayhan, F. (2016). Döviz Kuru Oynaklığı, Dış Ticaret ve İstihdam İlişkisi: Türkiye Uygulaması, Yayımlanmış Doktora Tezi, Konya Selçuk Üniversitesi
  • Dehraj, F.H., Ali, I. & Channa, M.A. (2017). The Impact of Exchange Rate Fluctuation on Imports and Exports of Pakistan: Time Series Analysis From 1985-2015, International Journal of Management Sciences and Business Research, 6(1), 129-137.
  • Gotur, P. (1985). Effects of Exchange Rate Volatility on Trade, IMF Staff Papers, 32, 483-511.
  • Granger, C.W.J. & Newbold, P. (1974). Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
  • Gul, A. & Awan, A.G. (2017). Exchange Rate Volatility and Its Impact on Pakistan’s International Trade. Golabal Journal of Management and Social Sciences, 3(4): 1-18.
  • Hooper, P. & Kohlhagen, S.W. (1978). The Effect of Exchange Rate Uncertainty on The Prices and Volume of International Trade. Journal of International Economisc, 8(4), 483-511.
  • Hwang, H. & Lee, J. (2005). Exchange Rate Volatility And Trade Flows Of The U.K. in 1990’s, International Area Studies Review, Hankuk University of Foreign Studies, 8(1), 173-182.
  • Kamas, L. & 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.
  • Kılıç, E. & Yıldırım, K. (2015). Sektörel Reel Döviz kuru Volatilitesinin Türk İmalat Sanayi İhracatı Üzerine Etkileri, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 15(1), 13-25.
  • Klein, M.W. (1990). Sectoral Effects of Exchange Rate Volatility on United States Exports, Journal of International Money and Finance, 9, 299-308.
  • Köse, N., Ay, A. & Topallı, N. (2008). Döviz kuru oynaklığının İhracata Etkisi: Türkiye Örneği (1995-2008), Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10/2 :22-45.
  • Lin, S., Shi, K. & Ye, H. (2018). Exchange Rate Volatiltiy and Trade: The Role of Credit Constraints, Review of Economic Dynamics, 30, 203-222.
  • Kumar, R. & Dhawan, R. (1991). Exchange rate volatility and Pakistan's Exports to The Developed World, 1974-85. World 5 Development. 19. 1225-1240.
  • Mckenzie, M. D. & Brooks, R. (1997). The Impact of Exchange Rate Volatility on German-US Trade Flows, Journal of International Financial Markets, Institutions and Money, 7, 73-87. http://dx.doi.org/10.1016/S1042-4431(97)00012-7
  • Mckenzie, M.D. (1998). The Impact of Exchange Rate Volatility on Australian Trdae Flows, Journal of International Financial Markets, Institutions and Money, 1998, 8(1), 21-38.
  • Oskooee, M.B. & Gelan, A. (2018). Exchange-rate Volatility and International Trade Performance: Evidence from 12 African Countries, Ekonomic Analysis and Policy, 58, 14-21.
  • Öztürk, İ. & Acaravcı, A. (2002). The Effects of Exchange Rate Volatility On The Turkish Export: An Empirical Investigation, Review Of Social, Economic And Business Studies, 2, 197–206.
  • Pesaran, M.H. & Shin, Y. (1999). An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Strom, S. (ed.) Cambridge University Press.
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bound Testing Approaches to the Analysis of Long Run Relationships, Journal of Applied Econometrics, 16, 289-326.
  • Poon, W.C., Choong, C.K. & Habibullah, M.S. (2005). Exchange rate Volatility and Exports for Selected East Asian Countries: Evidence from Error Coreection Model, Asean Economic Bulletin, 22(2), 144-159.
  • Pritchett, L. (1991). Measuring Real Exchange Rate Instability in Developing Countries, The World Bank Working Paper. WPS 791.
  • Qian, Y. & Varangis, P. (1994). Does Exchange Rate Volatility Hinder Export Growth?, Empirical Economics, 19(3), 371-396.
  • Tenreyro, S. (2007). On the Trade Impact of Nominal Exchange Rate Volatility. Journal of Development Economics, 82, 485-508.
  • Thursby, J. & Thursby, M. (1987). Bilateral Trade Flows, the Linder Hypothesis and Exchange Rate, The Review of Economics and Statistics, 69(3), 488-495.
  • Uğurca, E.F. &Sağlam, M. (2017). Döviz kuru, ithalat ve ihracat ilişkisi: Türkiye Örneği, Akademik Sosyal Araştırmalar Dergisi, 57, 455-465.
  • Vieira, F.V. & MacDonald, R. (2016). Exchange Rate Volatility and Exports: A Panel Data Analysis, Journal of Economic Studies, 43(2), 203-221, https://doi.org/10.1108/JES-05-2014-0083

The effect of exchange rate and exchange rate volatility on export and import

Yıl 2020, Cilt: 13 Sayı: 4, 606 - 623, 01.10.2020

Nigar Alev

https://doi.org/10.25287/ohuiibf.573212
Cited By: 4

Öz

The open and emerging economies are largely affected by world demand, trade restrictions such as tariffs and quotas in foreign trade, exchange rates and fluctuations in exchange rates. This issue was requested by using current data for Turkey which included in the developing countries group, with the effects of exchange rate fluctuations. For this purpose, two different models were established. The impact of exchange rate and exchange rate volatility on exports and imports were analyzed using the ARDL test approach using monthly data for the period January 2010 to May 2019. The results obtained by estimating the first model, in which the effect of exchange rate and exchange rate volatility on exports, showed that the exchange rate volatility has a significant negative effect on exports in the short term and the real effective exchange rate has a significant negative effect on exports in the long term. The results obtained by estimating the second model which investigated the effect of exchange rate and exchange rate volatility on imports showed that the exchange rate volatility has a negative effect on imports in the short and long term; real effective exchange rate has no significant effect on imports in the short term but has a significant negative effect on long term.

Anahtar Kelimeler

Export Import Exchange Rate

Kaynakça

  • Akhtar, M. & Spence Hilton, R. (1984). Effects of Exchange Rate Uncertainty on German and U.S. Trade, Federal Reserve Bank of New York. Quarterly Review, 9, 7-16.
  • Aktaş, C. (2010). Türkiye’de Reel Döviz Kuru ile İhracat ve İthalat Arasındaki İlişkinin VAR Tekniği ile Analizi, ZKÜ Sosyal Bilimler Dergisi, 6(11), 123-140.
  • Ardiyanti, S.T. (2015). The Impact of Real Exchange Rate Volatility on Indonesıa-US Trade Performance, Buletin Ilmiah Litbang Perdagangan, 9(1), 79-93.
  • Arize A. (1995). Trade Flows And Real Exchange Rate Volatility: An Application Of Cointegration And Error Correction Modeling, North American Journal of Economics and Finance, 6(1), 37-51.
  • Arize, C.A. (1998). The Effects of Exchange Rate Volatility on U.S. Imports: An Empirical Investigation, International Economic Journal, 12(3), 31-40.
  • Arize, C.A., Osang, T. & Slottje, D.J. (2000). Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDC's, Journal of Business and Economic Statistics, 18(1):10-17.
  • Asteriou, D., Masatci, K. & Pilbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries, Economic Modelling, 58, 133-140.
  • Aydıner, M. (2017). Türkiye’nin İhracatının Döviz Kuru, Fiyat ve İthalatçı Ülke Gelir Dalgalanmalarına Hassasiyeti: Seçilmiş AB Ülkelerine Olan İhracat Üzerinden Bir Değerlendirme, Akademik Sosyal Araştırmalar Dergisi, 5 (42), 273-284.
  • Ayhan, F. (2016). Döviz Kuru Oynaklığı, Dış Ticaret ve İstihdam İlişkisi: Türkiye Uygulaması, Yayımlanmış Doktora Tezi, Konya Selçuk Üniversitesi
  • Dehraj, F.H., Ali, I. & Channa, M.A. (2017). The Impact of Exchange Rate Fluctuation on Imports and Exports of Pakistan: Time Series Analysis From 1985-2015, International Journal of Management Sciences and Business Research, 6(1), 129-137.
  • Gotur, P. (1985). Effects of Exchange Rate Volatility on Trade, IMF Staff Papers, 32, 483-511.
  • Granger, C.W.J. & Newbold, P. (1974). Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
  • Gul, A. & Awan, A.G. (2017). Exchange Rate Volatility and Its Impact on Pakistan’s International Trade. Golabal Journal of Management and Social Sciences, 3(4): 1-18.
  • Hooper, P. & Kohlhagen, S.W. (1978). The Effect of Exchange Rate Uncertainty on The Prices and Volume of International Trade. Journal of International Economisc, 8(4), 483-511.
  • Hwang, H. & Lee, J. (2005). Exchange Rate Volatility And Trade Flows Of The U.K. in 1990’s, International Area Studies Review, Hankuk University of Foreign Studies, 8(1), 173-182.
  • Kamas, L. & 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.
  • Kılıç, E. & Yıldırım, K. (2015). Sektörel Reel Döviz kuru Volatilitesinin Türk İmalat Sanayi İhracatı Üzerine Etkileri, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 15(1), 13-25.
  • Klein, M.W. (1990). Sectoral Effects of Exchange Rate Volatility on United States Exports, Journal of International Money and Finance, 9, 299-308.
  • Köse, N., Ay, A. & Topallı, N. (2008). Döviz kuru oynaklığının İhracata Etkisi: Türkiye Örneği (1995-2008), Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10/2 :22-45.
  • Lin, S., Shi, K. & Ye, H. (2018). Exchange Rate Volatiltiy and Trade: The Role of Credit Constraints, Review of Economic Dynamics, 30, 203-222.
  • Kumar, R. & Dhawan, R. (1991). Exchange rate volatility and Pakistan's Exports to The Developed World, 1974-85. World 5 Development. 19. 1225-1240.
  • Mckenzie, M. D. & Brooks, R. (1997). The Impact of Exchange Rate Volatility on German-US Trade Flows, Journal of International Financial Markets, Institutions and Money, 7, 73-87. http://dx.doi.org/10.1016/S1042-4431(97)00012-7
  • Mckenzie, M.D. (1998). The Impact of Exchange Rate Volatility on Australian Trdae Flows, Journal of International Financial Markets, Institutions and Money, 1998, 8(1), 21-38.
  • Oskooee, M.B. & Gelan, A. (2018). Exchange-rate Volatility and International Trade Performance: Evidence from 12 African Countries, Ekonomic Analysis and Policy, 58, 14-21.
  • Öztürk, İ. & Acaravcı, A. (2002). The Effects of Exchange Rate Volatility On The Turkish Export: An Empirical Investigation, Review Of Social, Economic And Business Studies, 2, 197–206.
  • Pesaran, M.H. & Shin, Y. (1999). An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Strom, S. (ed.) Cambridge University Press.
  • Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bound Testing Approaches to the Analysis of Long Run Relationships, Journal of Applied Econometrics, 16, 289-326.
  • Poon, W.C., Choong, C.K. & Habibullah, M.S. (2005). Exchange rate Volatility and Exports for Selected East Asian Countries: Evidence from Error Coreection Model, Asean Economic Bulletin, 22(2), 144-159.
  • Pritchett, L. (1991). Measuring Real Exchange Rate Instability in Developing Countries, The World Bank Working Paper. WPS 791.
  • Qian, Y. & Varangis, P. (1994). Does Exchange Rate Volatility Hinder Export Growth?, Empirical Economics, 19(3), 371-396.
  • Tenreyro, S. (2007). On the Trade Impact of Nominal Exchange Rate Volatility. Journal of Development Economics, 82, 485-508.
  • Thursby, J. & Thursby, M. (1987). Bilateral Trade Flows, the Linder Hypothesis and Exchange Rate, The Review of Economics and Statistics, 69(3), 488-495.
  • Uğurca, E.F. &Sağlam, M. (2017). Döviz kuru, ithalat ve ihracat ilişkisi: Türkiye Örneği, Akademik Sosyal Araştırmalar Dergisi, 57, 455-465.
  • Vieira, F.V. & MacDonald, R. (2016). Exchange Rate Volatility and Exports: A Panel Data Analysis, Journal of Economic Studies, 43(2), 203-221, https://doi.org/10.1108/JES-05-2014-0083
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Nigar Alev 0000-0002-0154-6211

Yayımlanma Tarihi 1 Ekim 2020
Gönderilme Tarihi 31 Mayıs 2019
Kabul Tarihi 18 Ağustos 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 13 Sayı: 4

Kaynak Göster

APA Alev, N. (2020). Döviz kuru ve döviz kuru volatilitesinin ihracat ve ithalata etkisi. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 13(4), 606-623. https://doi.org/10.25287/ohuiibf.573212

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Döviz Kuru Ve Enflasyon İlişkisi: Türkiye Örneği
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DÖVİZ KURUNDAKİ DEĞİŞİMLERİN TÜRKİYE’NİN SEKTÖREL VE FAKTÖR DONATIMI TEMELİNDEKİ İHRACATINA ETKİLERİ: YENİ DIŞ TİCARET POLİTİKASININ DEĞERLENDİRİLMESİ
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https://doi.org/10.14783/maruoneri.1166424
Impact of The Real Effective Exchange Rate on Turkey's Bilateral Trade With 27 European Union Countries: FADL Cointegration
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https://doi.org/10.15869/itobiad.954662
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