BibTex RIS Cite

-

Year 2014, Volume: 18 Issue: 1, 425 - 440, 21.05.2014

Selim Yıldırım Esin Kılıç

Abstract

Whether exchange rate volatility has a negative impact on the volume of exports has been debated since abandonment of fixed exchange rate regime. The effects of the exchange rate volatility on Turkey’s exports to Euro Zone are investigated in this study for the period 2000Q1-2012Q2 with panel data analysis. Furthermore these effects are investigated for different frequency band via discrete wavelet transform of the original series. The empirical results suggest that exchange rate volatility has no negative impact on exports of Turkey to Euro Area in the short run, whereas in the long run negative effects may emerge.

Keywords

Exchange rate volatility exports discrete wavelet transform

References

  • Akhtar, M. A., ve Hilton, R.S. (1984). “Effects of exchange rate uncertainty on German and U.S. trade”. Federal Reserve Bank of New York Quarterly Review, 9, 7Arize, A. C, Osang, T. ve Slottje. D. J. (2008). “Exchange rate volatility in Latin America and its impact on foreign trade”. International Review of Economics and Finance, 17, 33-44.
  • Asseery, A. ve Peel, D. A. (1991). “The effects of exchange rate volatility on exports: Some new estimates”. Economics Letters, 37, 173-177.
  • Bacchetta, P. ve Wincoop, E. V. (2000). “Does exchange-rate stability increase trade and welfare?”. The American Economic Review, 90(5), 1093-1109.
  • Bailey, M. J., Tavlas, G. S. ve Ulan, M. (1987). “The impact of exchange-rate volatility on export growth: Some theoretical considerations and empirical results”. Journal of Policy Modeling, 9(1), 225-243.
  • Bollerslev, T. (1986). “Generalized autoregressive conditional heteroskedasticity”. Journal of Econometrics, 31, 307-327.
  • Canzoneri, M. B., Clark, P. B., Glaessner, T. C. ve Leahy, M. P. (1984). “The effects of exchange rate variability on output and employment”. International Finance Discussion Papers, 240.
  • Choi, I. (2001). “Unit root test for panel data”. Journal of International Money and Finance, 20(2). 249-272.
  • Choudhry, T. (2008). “Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand”. Empirical Economics, 35(3), 607-619. Chowdhury, A. R. (1993). “Does exchange rate volatility depress trade flows? Evidence from error-correction models”. The Review of Economics and Statistics, 75, 700-706.
  • Clark, P. B. (1973). “Uncertainty, exchange risk and the level of international trade”. Western Economic Journal, 11, 302-13.
  • Corbo, V. ve Caballero, R. J. (1989). “How does uncertainty about the real exchange rate affect exports?”. The World Bank, Policy Research Working Paper Series, 2
  • Crowley (2007). “A guide to wavelets for economists”. Journal of Economic Surveys, 21(2), 207-267.
  • Cushman, D. O. (1983). “The effects of real exchange rate risk on international trade”. Journal of International Economics, 15(1-2), 45-63.
  • Cushman, D. O. (1986). “Has exchange risk depressed international trade? The impact of third-country exchange risk”. Journal of International Economics, 5(3), 361-3
  • De Grauwe, P. (1992). “The benefits of a common currency”. The Economics of Monetary Integration. (Ed: P. De Grauwe). New York: Oxford University Press.
  • De Vita, G. ve Abbott, A. (2004). “The impact of exchange rate volatility on UK exports to EU countries”. Scottish Journal of Political Economy, 51, 62-81.
  • Dell’Ariccia, G. (1998). “Exchange rate fluctuations and trade flows - Evidence from the European Union”. IMF Working Papers 98/107.
  • Engle, R. F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”. Econometrica, 50(4), 987-1007.
  • Fan, Y. ve Gençay, R. (2010). “Unit root tests with wavelets”. Economic Theory, 26, 1305-1331.
  • Gros, D. (1987). “Exchange rate variability and foreign trade in the presence of adjustment costs”. Département des Sciences Economiques, Université Catholique de Louvain Working Paper, 8704.
  • Hondroyiannis G., Swamy, P. A. V. B., Tavlas G. ve Ulan M. (2008). “Some further evidence on exchange-rate volatility and exports”. Review of World Economics, 144(1), 151-180.
  • Kenen, P. B. ve Rodrik, D. (1986). “Measuring and analyzing the effects of short-term volatility in real exchange rates”. Review of Economics and Statistics, 68(2), 311-315.
  • Koray, F. ve Lastrapes, W. D. (1989). “Real exchange rate volatility and US bilateral trade: a VAR approach”. The Review of Economics and Statistics, 71, 7087
  • Kumar, R. ve Dhawan, R. (1991). “Exchange rate volatility and Pakistan’s exports to the developed world, 1974-85”. World Development, 19, 1225-1240.
  • Levin, A. Lin, C. ve Chu, C. J. (2002). “Unit root tests in panel data: asymptotic and finite-sample properties”. Journal of Econometrics, 108, 1-24.
  • Qian, Y. ve Varangis, P. (1994). “Does exchange rate volatility hinder export growth?”. Empirical Economics, 19, 371-396.
  • Saatçioğlu, C. ve Karaca O. (2004). “Döviz kuru belirsizliğinin ihracata etkisi: Türkiye örneği”. Doğuş Üniversitesi Dergisi, 5(2), 183-195.
  • Sauer, C. ve Bohara, A. K. (2001). “Exchange rate volatility and exports: Regional differences between developing and industrialized countries”. Review of International Economics, 9(1), 133-52.
  • Sercu P. ve Vanhulle, C. (1992). “Exchange rate volatility, international trade, and the value of exporting firms”. Journal of Banking and Finance, 16, 155-182. Tenreyro, S. (2004). “On the trade impact of nominal exchange rate volatility”. Federal Reserve Bank of Boston Working Paper 03-2.
  • Thursby, M. C. ve Thursby, J. G. (1985). “The uncertainty effects of floating exchange rates: Empirical evidence on international trade flows”. Exchange Rates, Trade and the U.S. Economy (Ed: S. W. Arndt, R. J. Sweeney ve T. D. Willett). Cambridge: Ballinger Publishing Co., 153-166.
  • Thursby, J. G. ve Thursby, M. C. (1987). “Bilateral trade flows, the Linder hypothesis, and exchange risk”. The Review of Economics and Statistics, 69, 488-495. Türkyılmaz, S. Özer, M. ve Kutlu, E. (2007). “Döviz kuru oynaklığı ile ithalat ve ihracat arasındaki ilişkilerin zaman serisi analizi”. Anadolu University Journal of Social Sciences, 7(2), 133-150.
  • Vergil, H. (2002). “Exchange rate volatility in Turkey and its effect on trade flows”. Journal of Economic and Social Research, 4(1), 83-99.

Döviz Kuru Volatilitesinin Türkiye’nin Euro Bölgesi İhracatına Etkisi: Kesikli Dalgacık Dönüşümü ile Panel Veri Analizi

Year 2014, Volume: 18 Issue: 1, 425 - 440, 21.05.2014

Selim Yıldırım Esin Kılıç

Abstract

Döviz kuru volatilitesinin ihracat hacmini olumsuz etkileyip etkilemediği sabit
döviz kuru uygulamalarının son bulmasından bu yana tartışılan bir konudur. Bu çalışmada
döviz kuru volatilitesinin Türkiye’nin Euro Bölgesi ülkeleri ile olan ihracatı üzerindeki
etkileri 2000Q1-2012Q2 dönemi için panel veri analizi kullanılarak araştırılmıştır.
Çalışmada veriler üzerine kesikli dalgacık dönüşümü uygulanarak bu etkinin farklı zaman
frekanslarındaki durumu da incelenmiştir. Elde edilen bulgular döviz kuru volatilitesinin
Türkiye’nin Euro Bölgesi ülkeleri ile olan ihracatına kısa dönemde olumsuz bir
etkisi olmadığı, ancak uzun vadede ihracat üzerinde olumsuz etkilere sahip olabileceği
yönündedir

Keywords

Döviz kuru volatilitesi ihracat kesikli dalgacık dönüşümü

References

  • Akhtar, M. A., ve Hilton, R.S. (1984). “Effects of exchange rate uncertainty on German and U.S. trade”. Federal Reserve Bank of New York Quarterly Review, 9, 7Arize, A. C, Osang, T. ve Slottje. D. J. (2008). “Exchange rate volatility in Latin America and its impact on foreign trade”. International Review of Economics and Finance, 17, 33-44.
  • Asseery, A. ve Peel, D. A. (1991). “The effects of exchange rate volatility on exports: Some new estimates”. Economics Letters, 37, 173-177.
  • Bacchetta, P. ve Wincoop, E. V. (2000). “Does exchange-rate stability increase trade and welfare?”. The American Economic Review, 90(5), 1093-1109.
  • Bailey, M. J., Tavlas, G. S. ve Ulan, M. (1987). “The impact of exchange-rate volatility on export growth: Some theoretical considerations and empirical results”. Journal of Policy Modeling, 9(1), 225-243.
  • Bollerslev, T. (1986). “Generalized autoregressive conditional heteroskedasticity”. Journal of Econometrics, 31, 307-327.
  • Canzoneri, M. B., Clark, P. B., Glaessner, T. C. ve Leahy, M. P. (1984). “The effects of exchange rate variability on output and employment”. International Finance Discussion Papers, 240.
  • Choi, I. (2001). “Unit root test for panel data”. Journal of International Money and Finance, 20(2). 249-272.
  • Choudhry, T. (2008). “Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand”. Empirical Economics, 35(3), 607-619. Chowdhury, A. R. (1993). “Does exchange rate volatility depress trade flows? Evidence from error-correction models”. The Review of Economics and Statistics, 75, 700-706.
  • Clark, P. B. (1973). “Uncertainty, exchange risk and the level of international trade”. Western Economic Journal, 11, 302-13.
  • Corbo, V. ve Caballero, R. J. (1989). “How does uncertainty about the real exchange rate affect exports?”. The World Bank, Policy Research Working Paper Series, 2
  • Crowley (2007). “A guide to wavelets for economists”. Journal of Economic Surveys, 21(2), 207-267.
  • Cushman, D. O. (1983). “The effects of real exchange rate risk on international trade”. Journal of International Economics, 15(1-2), 45-63.
  • Cushman, D. O. (1986). “Has exchange risk depressed international trade? The impact of third-country exchange risk”. Journal of International Economics, 5(3), 361-3
  • De Grauwe, P. (1992). “The benefits of a common currency”. The Economics of Monetary Integration. (Ed: P. De Grauwe). New York: Oxford University Press.
  • De Vita, G. ve Abbott, A. (2004). “The impact of exchange rate volatility on UK exports to EU countries”. Scottish Journal of Political Economy, 51, 62-81.
  • Dell’Ariccia, G. (1998). “Exchange rate fluctuations and trade flows - Evidence from the European Union”. IMF Working Papers 98/107.
  • Engle, R. F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”. Econometrica, 50(4), 987-1007.
  • Fan, Y. ve Gençay, R. (2010). “Unit root tests with wavelets”. Economic Theory, 26, 1305-1331.
  • Gros, D. (1987). “Exchange rate variability and foreign trade in the presence of adjustment costs”. Département des Sciences Economiques, Université Catholique de Louvain Working Paper, 8704.
  • Hondroyiannis G., Swamy, P. A. V. B., Tavlas G. ve Ulan M. (2008). “Some further evidence on exchange-rate volatility and exports”. Review of World Economics, 144(1), 151-180.
  • Kenen, P. B. ve Rodrik, D. (1986). “Measuring and analyzing the effects of short-term volatility in real exchange rates”. Review of Economics and Statistics, 68(2), 311-315.
  • Koray, F. ve Lastrapes, W. D. (1989). “Real exchange rate volatility and US bilateral trade: a VAR approach”. The Review of Economics and Statistics, 71, 7087
  • Kumar, R. ve Dhawan, R. (1991). “Exchange rate volatility and Pakistan’s exports to the developed world, 1974-85”. World Development, 19, 1225-1240.
  • Levin, A. Lin, C. ve Chu, C. J. (2002). “Unit root tests in panel data: asymptotic and finite-sample properties”. Journal of Econometrics, 108, 1-24.
  • Qian, Y. ve Varangis, P. (1994). “Does exchange rate volatility hinder export growth?”. Empirical Economics, 19, 371-396.
  • Saatçioğlu, C. ve Karaca O. (2004). “Döviz kuru belirsizliğinin ihracata etkisi: Türkiye örneği”. Doğuş Üniversitesi Dergisi, 5(2), 183-195.
  • Sauer, C. ve Bohara, A. K. (2001). “Exchange rate volatility and exports: Regional differences between developing and industrialized countries”. Review of International Economics, 9(1), 133-52.
  • Sercu P. ve Vanhulle, C. (1992). “Exchange rate volatility, international trade, and the value of exporting firms”. Journal of Banking and Finance, 16, 155-182. Tenreyro, S. (2004). “On the trade impact of nominal exchange rate volatility”. Federal Reserve Bank of Boston Working Paper 03-2.
  • Thursby, M. C. ve Thursby, J. G. (1985). “The uncertainty effects of floating exchange rates: Empirical evidence on international trade flows”. Exchange Rates, Trade and the U.S. Economy (Ed: S. W. Arndt, R. J. Sweeney ve T. D. Willett). Cambridge: Ballinger Publishing Co., 153-166.
  • Thursby, J. G. ve Thursby, M. C. (1987). “Bilateral trade flows, the Linder hypothesis, and exchange risk”. The Review of Economics and Statistics, 69, 488-495. Türkyılmaz, S. Özer, M. ve Kutlu, E. (2007). “Döviz kuru oynaklığı ile ithalat ve ihracat arasındaki ilişkilerin zaman serisi analizi”. Anadolu University Journal of Social Sciences, 7(2), 133-150.
  • Vergil, H. (2002). “Exchange rate volatility in Turkey and its effect on trade flows”. Journal of Economic and Social Research, 4(1), 83-99.
There are 31 citations in total.

Details

Primary Language tr;en
Journal Section Makaleler
Authors

Selim Yıldırım This is me

Esin Kılıç

Publication Date May 21, 2014
Published in Issue Year 2014 Volume: 18 Issue: 1

Cite

APA Yıldırım, S., & Kılıç, E. (2014). Döviz Kuru Volatilitesinin Türkiye’nin Euro Bölgesi İhracatına Etkisi: Kesikli Dalgacık Dönüşümü ile Panel Veri Analizi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 18(1), 425-440.
 Download Cover Image

Creative Commons Lisansı
ATASOBED- Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Creative Commons Atıf-GayriTicari-AynıLisanslaPaylaş 4.0 Uluslararası Lisansı ile lisanslanmıştır.