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Cointegratıon Between The Exchange Rates, Dollar Supply and Treasury Bond Yields: An ARDL Bound Test Approach

Year 2021, Issue: 60, 711 - 733, 25.12.2021

Nurhan Toğuç

https://doi.org/10.18070/erciyesiibd.863912
Cited By: 1

Abstract

With the increased globalization and liberalized international capital movements in recent years, the shocks in the reserve money supply affect the asset prices and exchange rates over the policy rates in developing countries. Early studies showed that the monetary transmission mechanism and channels differ according to the economic and financial structure of each emerging market. Since monetary transmission channels give different results for each country, no consensus has been reached on this issue, and empirical analysis is needed for each country to determine the specific transmission channels. The aim of this study is to make empirical analyzes on the effects of international monetary transmission channels for Turkey. To analyze the transmission mechanism of the non-traditional, expansionary monetary policies implemented by the US Federal Reserve (FED) during the period of 2008:11-2014:6 on Turkey, through the exchange rate channel, the cointegration relationship between the dollar rate, the dollar supply and short-term interest rates analyzed. Using the weekly data, ARDL Bounds Test approach is applied and a cointegration relationship was found between the exchange rate, M1 dollar supply and bond variables both in the short and the long term during the period of 2008:11- 2014:6. However, the short term results indicated a weak and lagged cointegration relationship between the M1 dollar supply and the exchange rate. This result shows that the exchange rate channel is important for Turkey only in the long run. With the error correction model, it has been determined that the convergence process of the short-term equilibrium to the long-term is slow. The contribution of this study to the literature is empirical; It is the first study to analyze the short-term and long-term effects of the exchange rate channel, which is one of the transmission mechanism of the external monetary shocks, using the ARDL bound test.

Keywords

Exchange Rates ARDL Model Crisis Bond M1 Dollar Supply

References

  • KAYNAKÇA Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091–1109. doi:10.1016/j.intfin.2012.05.009
  • Bahmani-Oskooee, M. ve Chi Wing Ng, R. (2002), “Long-Run Demand for Money in Hong Kong: An Application of The ARDL Model”, International Journal of Business and Economics, Vol.1, No.2, 147-155.
  • Bekiros, S. & M. Marcellino. (2013). The multiscale causal dynamics of foreign exchange markets. Journal of International Money and Finance, 33, 282–305. doi:10.1016/ j.jimonfin.2012.11.016
  • Borsa Istanbul, https://www.borsaistanbul.com/en/home-page (accessed Jan.18, 2019).
  • Dias, A. & P. Embrechts. (2010). Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money Finance, 29, 1687–1705
  • Dickey, D. ve Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-1072.
  • Engle, Robert F. and Clive W.J. Granger; (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, pp. 251–76.
  • Granger, Clive W. J; Bwo-Nung Huang and Chin Wei Yang; (2000), “A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu”, Quarterly Review of Economics and Finance, 40 (3), pp. 337–354.
  • Gujarati, D.N (1999): ‘’Temel ekonometri’’ (Çev. Ü. Şenesen ve G.G. Şenesen). İstanbul, Literatür Yayınları.
  • Johansen, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economics Dynamic and Control, 12(2-3), pp. 231–254.
  • Kraay, A. (2003): “ Do high interest rates defend currencies during speculative attacks? “ Journal of International Economics 59, 2, 297-321.
  • Markus K. B, S. Nagel, L.H. Pedersen.(2008): Carry Trades and Currency Crashes, in NBER Macroeconomics Annual , Volume 23.
  • Oskooee M. B., C.W. Ng (2002) : ‘’Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model’’ International Journal of Business and Economics, Vol. 1, No. 2, 147-155
  • Nikkinen, J., P. Sahlström & S. Vähämaa. (2006). Implied volatility linkages among major European currencies. Journal of International Financial Markets, Institutions and Money, 16(2), 87–103. doi:10.1016/j. intfin.2004.12.007
  • Perez-Rodriguez, J. V. (2006). ‘’The Euro and other major currencies floating against the US dollar.’' Atlantic Economic Journal, 34(4), 367–384. doi:10.1007/ s11293-006-9042-x
  • Peseran,M.H., Shin,Y ve Smith, R.J, (2001) ‘’Bound Testing Approaches to the Analaysis of Long Run Relationships’’, Journal of Applied Econometrics, Special Issues, Vol.16, pp:289-326.
  • Sevüktekin, M., ve Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi Eviews Nobel Yayınevi, isbn: 9789755917559
  • Tamakoshi, G., & S. Hamori. (2014).’’Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach.’’ International Review of Economics & Finance, 31, 105–113. doi:10.1016/j.iref.2014.01.016
  • Zhao, Hua; (2010), “Dynamic Relationship between Exchange Rate and Stock Price: Evidence from China”, Research in International Business and Finance, 24, pp. 103–112.
  • Zivot, E., ve Andrews, D. W. (2002). “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis’’ Journal of Business and Economic Statistics, 10(3) pp:251-270 http://doi.org/10.1198/073500102753410372

Dolar Arzı ile Dolar Kuru ve Tahvil Faizleri Arasındaki Koentegrasyon İlişkisi: ARDL Sınır Testi Yaklaşımı

Year 2021, Issue: 60, 711 - 733, 25.12.2021

Nurhan Toğuç

https://doi.org/10.18070/erciyesiibd.863912
Cited By: 1

Abstract

Rezerv para arzında meydana gelen şoklar, artan küreselleşme ve serbestleşen uluslararası sermaye hareketleri ile gelişmekte olan ülkelerde politika faizleri üzerinden varlık fiyatlarını ve döviz kurlarını etkilemektedir. Parasal aktarım kanallarının çalışma mekanizmaları her ülkenin ekonomik ve finansal yapısına göre farklılık göstermektedir. Parasal aktarım kanalları her ülke için farklı sonuçlar verdiğinden, bu kanalların işleyiş mekanizmaları üzerinde konsensüs sağlanamamış ve her ülke için ampirik analiz yapma zorunluluğu ortaya çıkmıştır. Bu çalışmanın amacı, uluslararası parasal aktarım kanallarının Türkiye üzerindeki etkilerine yönelik ampirik analizler yapmaktır. Amerikan Merkez Bankası (FED) in 2007 konut krizi nin ardından uyguladığı geleneksel olmayan, genişlemeci para politikalarının Türkiye ye aktarım mekanizmalarını kur kanalı üzerinden, dolar kuru ile dolar arzı ve kısa vadeli tahvil faizleri arasındaki koentegrasyon (eşbütünleşme) ilişkisini dikkate alarak analiz etmektir. Çalışmada 2008:11-2014:6 dönemi incelenmiş, haftalık veriler kullanılarak uygulanan ARDL Sınır Testi yaklaşımında, hem kısa hem de uzun vadede dolar arzı ve tahvil değişkenleri ile dolar kuru arasında eşbütünleşme ilişkisi saptanmış, ancak kısa vadede dolar arzı ile kur arasında gecikmeli ve zayıf bir eşbütünleşme ilişkisi tespit edilmiştir. Bu durum, Türkiye’de döviz kuru kanalının sadece uzun vadede önemli olduğunu göstermektedir. Hata düzeltme modeli ile kısa dönem dengenin uzun döneme yakınsama sürecinin yavaş olduğu belirlenmiştir. Çalışmanın literatüre katkısı ampirik analizler ile, FED’in geleneksel olmayan genişlemeci para politikası uygulamalarının Türkiye ye aktarım mekanizmalarından olan döviz kuru kanalının kısa ve uzun vadeli etkilerini ayrıştırarak ARDL sınır testi metodu ile analiz eden ilk çalışma olmasıdır. 

Keywords

ARDL Modeli Dolar Kuru ARDL Modeli Kriz Tahvil M1 Dolar Arzı

References

  • KAYNAKÇA Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091–1109. doi:10.1016/j.intfin.2012.05.009
  • Bahmani-Oskooee, M. ve Chi Wing Ng, R. (2002), “Long-Run Demand for Money in Hong Kong: An Application of The ARDL Model”, International Journal of Business and Economics, Vol.1, No.2, 147-155.
  • Bekiros, S. & M. Marcellino. (2013). The multiscale causal dynamics of foreign exchange markets. Journal of International Money and Finance, 33, 282–305. doi:10.1016/ j.jimonfin.2012.11.016
  • Borsa Istanbul, https://www.borsaistanbul.com/en/home-page (accessed Jan.18, 2019).
  • Dias, A. & P. Embrechts. (2010). Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money Finance, 29, 1687–1705
  • Dickey, D. ve Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-1072.
  • Engle, Robert F. and Clive W.J. Granger; (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, pp. 251–76.
  • Granger, Clive W. J; Bwo-Nung Huang and Chin Wei Yang; (2000), “A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu”, Quarterly Review of Economics and Finance, 40 (3), pp. 337–354.
  • Gujarati, D.N (1999): ‘’Temel ekonometri’’ (Çev. Ü. Şenesen ve G.G. Şenesen). İstanbul, Literatür Yayınları.
  • Johansen, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economics Dynamic and Control, 12(2-3), pp. 231–254.
  • Kraay, A. (2003): “ Do high interest rates defend currencies during speculative attacks? “ Journal of International Economics 59, 2, 297-321.
  • Markus K. B, S. Nagel, L.H. Pedersen.(2008): Carry Trades and Currency Crashes, in NBER Macroeconomics Annual , Volume 23.
  • Oskooee M. B., C.W. Ng (2002) : ‘’Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model’’ International Journal of Business and Economics, Vol. 1, No. 2, 147-155
  • Nikkinen, J., P. Sahlström & S. Vähämaa. (2006). Implied volatility linkages among major European currencies. Journal of International Financial Markets, Institutions and Money, 16(2), 87–103. doi:10.1016/j. intfin.2004.12.007
  • Perez-Rodriguez, J. V. (2006). ‘’The Euro and other major currencies floating against the US dollar.’' Atlantic Economic Journal, 34(4), 367–384. doi:10.1007/ s11293-006-9042-x
  • Peseran,M.H., Shin,Y ve Smith, R.J, (2001) ‘’Bound Testing Approaches to the Analaysis of Long Run Relationships’’, Journal of Applied Econometrics, Special Issues, Vol.16, pp:289-326.
  • Sevüktekin, M., ve Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi Eviews Nobel Yayınevi, isbn: 9789755917559
  • Tamakoshi, G., & S. Hamori. (2014).’’Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach.’’ International Review of Economics & Finance, 31, 105–113. doi:10.1016/j.iref.2014.01.016
  • Zhao, Hua; (2010), “Dynamic Relationship between Exchange Rate and Stock Price: Evidence from China”, Research in International Business and Finance, 24, pp. 103–112.
  • Zivot, E., ve Andrews, D. W. (2002). “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis’’ Journal of Business and Economic Statistics, 10(3) pp:251-270 http://doi.org/10.1198/073500102753410372
There are 20 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Nurhan Toğuç 0000-0002-3891-1163

Publication Date December 25, 2021
Acceptance Date December 11, 2021
Published in Issue Year 2021 Issue: 60

Cite

APA Toğuç, N. (2021). Dolar Arzı ile Dolar Kuru ve Tahvil Faizleri Arasındaki Koentegrasyon İlişkisi: ARDL Sınır Testi Yaklaşımı. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(60), 711-733. https://doi.org/10.18070/erciyesiibd.863912

Cited By

Wavelet coherence analysis and exchange rate movements
Quality & Quantity
https://doi.org/10.1007/s11135-022-01327-7
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