Öz
The demand for international reserves, which is seen as an important tool in eliminating the negative effects of sudden and unexpected situations that may occur in the financial markets, has increased with the phenomenon of globalization. Determining the opportunity cost of reserve accumulation and the correct management of the held reserves are especially important for developing countries. In this study, the relationship between international reserves and the nominal exchange rate is examined using the data for the period of January 2005-January 2022, together with the transition to explicit inflation targeting in the Turkish economy. According to the results, no causality from international reserves to nominal exchange rate was found in traditional causality tests. On the other hand, in the asymmetric causality test, there is causality from the positive component of the international gross reserves to the negative component of the nominal exchange rate, and from the negative component of the international gross reserves to the positive component of the nominal exchange rate. It has been determined that there is a temporal causality from international reserves to the nominal exchange rate in June-July-August-September of every year after 2009.
Anahtar Kelimeler
Reserve Nominal Exchange Rate Asymmetric Causality Temporal Causality
Kaynakça
- Alejandro, C. F. D. (1963). A Note on the Impact of Devaluation and the Redistributive Effect. Journal of Political Economy, 71(6), 577-580.
- Balcilar, M., Ozdemir, Z. A., & Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410.
- Bayat, T., Şentürk M. ve Kayhan, S. (2014). Exchange rates and foreign exchange reserves in Turkey: Nonlinear and frequency domain causality approach. Theoretical and Applied Economics, 2014(600), 27-42.
- Calvo, G.A. and Reinhart, C.M. (2002). Fear of Floating, The Quarterly Journal of Economics, 117(2), pp. 379–408.
- Calvo, G., (1983). Staggered Contracts and Exchange Rate Policy, in Exchange Rates and International Macroeconomics, ed. by Jacob A. Frenkel (Chicago: University of Chicago Press, 1983).
- Cooper, R.N. (1971). Currency Devaluation in Developing Countries, Essays in International Finance, No. 86, Princeton University (Princeton, New Jersey: Princeton University Press).
- Çeştepe, H. ve Güdenoğlu, E. (2020). Türkiye’de Döviz Rezervleri ve Döviz Kuru Arasındaki Asimetrik İlişki: NARDL Yaklaşımı Bulguları. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 231-251.
- Dickey, David And Wayne Fuller. (1981). Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root. Econometrica, 49, Ss:1057-72.
- Dornbusch, R. (1988). Open Economy Macroeconomics, 2nd ed., New York.
- Dutta, J., & Leon, H. (2002) “Dread of Depreciation: Measuring Real Exchange Rate Interventions”. IMF Working Paper 02/63.
- Feldstein, M. (1999). A Self-help guide for emerging markets, Foreign Affairs, 78(2), 93-109.
- Gallagher, K. P., & Shrestha, E. (2012). The Social Cost of Self‐Insurance: Financial Crisis, Reserve Accumulation and Developing Countries. Global Policy, 3(4), 501-509.
- Guitian, M. (1976). The effects of changes in the exchange rate on output, prices and the balance of payments. Journal of International Economics, 6(1), 65-74.
- Güriş, B. (2012). Exchange rates and international reserves: A threshold error correction and a threshold granger causality analysis. Economic Computation and Economic Cybernetics Studies and Research, 46(4), 213-221.
- Hacker and Hatemi-J (2006). Testing for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application, Applied Economics 38(13).
- Hafner, C. M., & Herwartz, H. (2006). Volatility impulse responses for multivariate GARCH models: An exchange rate illustration. Journal of International Money and Finance, 25(5), 719-740.
- Hatemi-J, A., & Roca, E. (2014). Brıcs And Pıgs İn The Presence Of Uncle Sam And Big Brothers: Who Drive Who? Evidence Based On Asymmetric Causality Tests. Griffith Business School Discussion Papers Finance.
- Https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Dread-of-Depreciation Measuring-Real-Exchange-Rate-Interventions-15739. (Erişim tarihi:22.01.2022).
- Jeanne, O. (2016). The macroprudential role of international reserves. The American Economic Review: Papers & Proceedings 2016, 106(5), 570-573.
- Kasman, A. ve Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modeling, 25(1), 83-92.
- Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Rodrik, D. (2006). The social cost of foreign exchange reserves, International Economic Journal, 20(3), 253-266.
- Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.
- Yaman, B. (2003). Uluslararası Rezervler, Türkiye için Rezerv Yeterliliği ve Optimum Rezerv Seviyesi Uygulaması. (Uzmanlık Yeterlilik Tezi). Türkiye Cumhuriyet Merkez Bankası / Piyasalar Genel Müdürlüğü, Ankara.
Öz
Finansal piyasalarda oluşabilecek ani ve beklenmedik durumların yaratacağı olumsuz etkilerin giderilmesinde önemli bir araç olarak görülen uluslararası rezervlere olan talep küreselleşme olgusu ile birlikte artış göstermiştir. Rezerv biriktirmenin fırsat maliyetinin belirlenmesi ve tutulan rezervlerin doğru yönetilmesi ise özellikle gelişmekte olan ülkeler için önem arz etmektedir. Bu çalışmada, Türkiye ekonomisinde açık enflasyon hedeflemesine geçiş ile birlikte Ocak 2005-Ocak 2022 dönemine ait veriler kullanılarak uluslararası rezervlerin nominal döviz kuru üzerindeki ilişkisi incelenmektedir. Elde edilen sonuçlara göre, geleneksel nedensellik testlerinde uluslararası rezervlerden nominal döviz kuruna doğru nedensellik bulunmamıştır. Öte yandan asimetrik nedensellik testinde ise uluslararası brüt rezervlerin pozitif bileşeninden nominal döviz kurunun negatif bileşenine doğru, uluslararası brüt rezervlerin negatif bileşeninden nominal döviz kurunun pozitif bileşenine doğru nedensellik bulunmaktadır. Zamansal olarak 2009 yılından sonra her yılın Haziran-Temmuz-Ağustos-Eylül aylarında uluslararası rezervlerden nominal döviz kuruna doğru nedensellik olduğu tespit edilmiştir.
Anahtar Kelimeler
Rezerv Nominal Döviz kuru Asimetrik Nedensellik Zamansal Nedensellik
Kaynakça
- Alejandro, C. F. D. (1963). A Note on the Impact of Devaluation and the Redistributive Effect. Journal of Political Economy, 71(6), 577-580.
- Balcilar, M., Ozdemir, Z. A., & Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410.
- Bayat, T., Şentürk M. ve Kayhan, S. (2014). Exchange rates and foreign exchange reserves in Turkey: Nonlinear and frequency domain causality approach. Theoretical and Applied Economics, 2014(600), 27-42.
- Calvo, G.A. and Reinhart, C.M. (2002). Fear of Floating, The Quarterly Journal of Economics, 117(2), pp. 379–408.
- Calvo, G., (1983). Staggered Contracts and Exchange Rate Policy, in Exchange Rates and International Macroeconomics, ed. by Jacob A. Frenkel (Chicago: University of Chicago Press, 1983).
- Cooper, R.N. (1971). Currency Devaluation in Developing Countries, Essays in International Finance, No. 86, Princeton University (Princeton, New Jersey: Princeton University Press).
- Çeştepe, H. ve Güdenoğlu, E. (2020). Türkiye’de Döviz Rezervleri ve Döviz Kuru Arasındaki Asimetrik İlişki: NARDL Yaklaşımı Bulguları. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 231-251.
- Dickey, David And Wayne Fuller. (1981). Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root. Econometrica, 49, Ss:1057-72.
- Dornbusch, R. (1988). Open Economy Macroeconomics, 2nd ed., New York.
- Dutta, J., & Leon, H. (2002) “Dread of Depreciation: Measuring Real Exchange Rate Interventions”. IMF Working Paper 02/63.
- Feldstein, M. (1999). A Self-help guide for emerging markets, Foreign Affairs, 78(2), 93-109.
- Gallagher, K. P., & Shrestha, E. (2012). The Social Cost of Self‐Insurance: Financial Crisis, Reserve Accumulation and Developing Countries. Global Policy, 3(4), 501-509.
- Guitian, M. (1976). The effects of changes in the exchange rate on output, prices and the balance of payments. Journal of International Economics, 6(1), 65-74.
- Güriş, B. (2012). Exchange rates and international reserves: A threshold error correction and a threshold granger causality analysis. Economic Computation and Economic Cybernetics Studies and Research, 46(4), 213-221.
- Hacker and Hatemi-J (2006). Testing for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application, Applied Economics 38(13).
- Hafner, C. M., & Herwartz, H. (2006). Volatility impulse responses for multivariate GARCH models: An exchange rate illustration. Journal of International Money and Finance, 25(5), 719-740.
- Hatemi-J, A., & Roca, E. (2014). Brıcs And Pıgs İn The Presence Of Uncle Sam And Big Brothers: Who Drive Who? Evidence Based On Asymmetric Causality Tests. Griffith Business School Discussion Papers Finance.
- Https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Dread-of-Depreciation Measuring-Real-Exchange-Rate-Interventions-15739. (Erişim tarihi:22.01.2022).
- Jeanne, O. (2016). The macroprudential role of international reserves. The American Economic Review: Papers & Proceedings 2016, 106(5), 570-573.
- Kasman, A. ve Ayhan, D. (2008). Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration. Economic Modeling, 25(1), 83-92.
- Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Rodrik, D. (2006). The social cost of foreign exchange reserves, International Economic Journal, 20(3), 253-266.
- Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.
- Yaman, B. (2003). Uluslararası Rezervler, Türkiye için Rezerv Yeterliliği ve Optimum Rezerv Seviyesi Uygulaması. (Uzmanlık Yeterlilik Tezi). Türkiye Cumhuriyet Merkez Bankası / Piyasalar Genel Müdürlüğü, Ankara.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Ekonomi |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Haziran 2022 |
| Yayımlandığı Sayı | Yıl 2022 Cilt: 6 Sayı: 1 |
