Türkiye ve AB-Dışı Başlıca Ticaret Ortakları Arasındaki J Eğrisi Etkisi: Doğrusal ve Doğrusal Olmayan ARDL Yaklaşımından Kanıtlar

Year 2024, Volume: 32 Issue: 60, 259 - 290, 28.04.2024

Alper Yılmaz

https://doi.org/10.17233/sosyoekonomi.2024.02.13

Abstract

Bu çalışmada Türkiye ekonomisi için J Eğrisi hipotezi analiz edilmiştir. Bu kapsamda, Türk lirasında meydana gelen devalüasyonların, revalüasyonlardan istatistiki olarak farklı olup olmadığı, Asimetrik Toda-Yamamoto nedensellik testine ek olarak doğrusal ve doğrusal olmayan ARDL eş bütünleşme yöntemi ile de incelenmiştir. Doğrusal modelden elde edilen sonuçlara göre J eğrisi etkisi sadece Rusya ve BAE için tespit edilmiştir ve elde edilen uzun dönem katsayıları istatistiksel olarak anlamlıdır. Bu sonuçlara göre Türk lirasının değer kaybetmesi, söz konusu partnerlerle ticarette dengeyi olumlu etkilemekte ancak Türk lirasının değerlendiği durumlarda negatif etki ortaya çıkmaktadır. Buna mukabil, kur değişkeninde ait pozitif ve negatif değişkenler, işaret, katsayı büyüklüğü ve istatistiki önem seviyesi olarak farklılık gösterdiği için asimetrik ilişki reddedilememekte ve bu bağlamda doğrusal olmayan model daha fazla kanıt sunmaktadır. Bu yöntemde J Eğrisi etkisi yedi partnerin üçünde (Hindistan, ABD ve BAE) gözlemlenmiştir. Üçüncü olarak, kısa ve uzun dönem arasında Türk lirasında oluşan değerlenme, ticaret dengesini etkilemektedir. Ayrıca, hata düzeltme parametresi, uzun dönemde, kısa döneme göre denge durumuna daha hızlı dönüldüğüne işaret etmektedir. Son olarak, kur değişkeni ile ticaret dengesi arasında, yukarıda bahsedilen dört ticaret partneri özelinde nedensellik ilişkisine dair kanıtlar sunmaktadır. Dolayısıyla belli ticari partnerlerle olan ilişkilerde kur politikalarının dikkate alınması gereken bir belirleyici olduğu söylenebilir.

Keywords

J Eğrisi, Ticaret Dengesi, Döviz Kurları, Asimetrik Etki, Doğrusal Olmayan ARDL

Project Number

Yok

Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach

Abstract

This research analysed the bilateral J-curve phenomenon in the Turkish economy. For this purpose, we applied both the linear and non-linear Autoregressive Distributed Lag (NARDL) co-integration methods, in addition to the asymmetric Toda-Yamamoto causality test, to examine whether the impact of Turkish lira appreciations differs from that of lira depreciation. The findings from the linear model indicate statistically significant coefficients for the long term, and J-curve effects were observed in the case of two countries: Russia and the UAE. This suggests that when the Turkish lira depreciates, it positively affects Turkey's trade balance with these partners; however, lira appreciations have a negative impact. In contrast, the non-linear model provides more evidence, with the results revealing that asymmetry cannot be ignored, as the positive and negative variables exhibit differences in signs, magnitudes, and levels of significance. We found the J-curve effect for only three countries (India, USA, and UAE) out of seven partners in this model. Third, the lira evaluation between the short and long run affected the external balance. Furthermore, the long-run error correction mechanisms converge to steady-state equilibrium faster. Lastly, there is a unidirectional or bilateral linkage between the FX rate and the external deficit for these four partners. Therefore, exchange rate policies are a determinant that should be considered in relationships with certain trading partners.

Keywords

J-Curve, Trade balance, Exchange rate, Asymmetry effects, Nonlinear ARDL

Supporting Institution

Yok

Project Number

Yok

Thanks

-

References

• Ahn, J. et al. (2017), “Real Exchange Rate And External Balance: How Important Are Price deflators?”, IMF Working Paper WP/17/81.
• Akbostancı, E. (2004), “Dynamics of The Trade Balance: The Turkish J Curve”, Economic Research Centre Emerging Markets Finance & Trade, 40(5), 55-73.
• Akerlof, G. (1970), “The Market for “Lemons”: Quality Uncertainty and The Market Mechanism”, The Quarterly Journal of Economics, 84(3), 488-500.
• Albayrak, Ş.G. & H.S. Korkmaz (2019), “Turkish J-Curve: Trade Balance and Real Exchange Rate Relation”, Selçuk Üniversitesi SBE Dergisi, (Prof.Dr. Fuat Sezgin Özel Sayısı), 348-359.
• Arı, A. et al. (2019), “J-Curve in Turkish Bilateral Trade: A Nonlinear Approach”, The International Trade Journal, 33(1), 31-53.
• Aries, M. et al. (2006), “A Model for a Fair Exchange Rate”, Review of Pacific Basin Financial Markets and Policies, 9(1), 51-66.
• Arize, A.C. & J. Malindretos (2012), “Nonstationarity and Nonlinearity in Inflation Rate: some further evidence”, International Review of Economics & Finance, 24, 224-234.
• Arora, S. et al. (2003), “Bilateral J-Curve Between India and Her Trading Partners”, Applied Economics, 35(9), 1037-1041.
• Aytac, O. (2016), “Macroeconomic Developments and Exchange-Rate Policy in Turkey, 1980-2001”, Accounting and Finance Research, 5(2), 115-125.
• Baek, J. (2006), “The J-Curve Effect and The USA-Canada Forest Products Trade”, Journal of Forest Economics, 13, 245-258.
• Bahmani-Oskee, M. & N. Durmaz (2021), “Exchange rate volatility and Turkey-EU commodity trade: an asymmetry analysis”, Empirica, 48(1), 429-482.
• Bahmani-Oskoee, M. & Z. Ardalani (2006), “Exchange Rate Sensitivity of USA Trade Flows: Evidence From Industry Data”, Southern Economic Journal, 72(3), 542-559.
• Bahmani-Oskooee M. & H. Fariditavana (2015), “Nonlinear ARDL Approach, Asymmetric Effects And The J-Curve”, Journal of Economic Studies, 42(3), 519-530.
• Bahmani-Oskooee, M. & A.M. Kutan (2009), “The J-Curve in the Emerging Economies of Eastern Europe”, Applied Economics, 41(20), 2523-2532.
• Bahmani-Oskooee, M. & H. Harvey (2010), “The J-Curve: Malaysia Versus Her Major Trading Partners”, Applied Economics, 42, 1067-1076.
• Bahmani-Oskooee, M. & J. Alse (1994), “Short-Run Versus Long-Run Effects of Devaluation: Error Correction Modelling and Cointegration”, Eastern Economic Journal, 20, 453-464.
• Bahmani-Oskooee, M. & T. Kanitpong (2017), “Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on The Trade Balance of Asian Countries?”, Applied Economics, 49(46), 4668-4678.
• Bahmani-Oskooee, M. (1985), “Devaluation and The J-Curve: Some Evidence From LDCs”, The Review of Economics and Statistics, 67(3), 500-504.
• Bahmani-Oskooee, M. et al. (2006), “Bilateral J-Curve Between The UK Vis-À-Vis Her Major Trading Partners”, Applied Economics, 38(8), 879-888.
• Bahmani-Oskooee, M. et al. (2016), “Mexican Bilateral Trade and The J-Curve: An Application of The Nonlinear ARDL Model”, Economic Analysis and Policy, 50, 23-40.
• Baldwin, R. & P. Krugman (1989), “Persistent trade effects of large exchange rate shocks”, Quarterly Journal of Economics, 104, 635-654.
• Bayoumi, T. et al. (2005), “A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates”, IMF Working Paper, WP/05/229.
• Bilgin, C. (2020), “Asymmetric Effects of Exchange Rate Changes on Exports: A Sectoral Nonlinear Cointegration Analysis for Turkey”, MPRA Paper No. 1013.
• Boyd, D. et al. (2001), “Real Exchange Rate Effects on The Balance of Trade: Cointegration and The Marshall-Lerner Condition”, International Journal of Finance & Economics, 6(3), 187-200.
• Brada, J.C. et al. (1997), “The Exchange Rate and The Balance of Trade: The Turkish Experience”, Journal of Development Studies, 33, 675-692.
• Campa, J. & L. Goldberg (2005), “Exchange Rate Pass-Through into Import Prices”, The Review of Economics and Statistics, 87(4), 679-690.
• Ceyhan, T. & S. Gürsoy (2021), “The J Curve Hypothesis: An Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 12(3), 1169-1181.
• Çelik, S. & H. Kaya (2010), “Real Exchange Rates and Bilateral Trade Dynamics of Turkey: Panel Cointegration Approach”, Applied Economics Letters, 17(8), 791-795.
• Dellate, A.L. & A.L. Villavicencio (2021), “Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries”, Journal of Macroeconomics, 34(3), 833-844.
• Dennis, P. et al. (2006), “Stock Returns, Implied Volatility Innovations, and The Asymmetric Volatility Phenomenon”, The Journal of Financial and Quantitative Analysis, 41(2), 381-406.
• Doroodian, K. et al. (1999), “The J-Curve Effect And US Agricultural And Industrial Trade”, Applied Economics, 31(6), 687-695.
• El-Bejaoui, H.J. (2013), “Asymmetric Effects of Exchange Rate Variations: An Empirical Analysis for Four Advanced Countries”, International Economics, 135-136, 29-46.
• Engle, R. & C. Granger (1987), “Cointegration and Error Correction Representation: Estimation and Testing”, Econometrica, 55, 251-276.
• Erdem, E. et al. (2010), “The Macroeconomy and Turkish Agricultural Trade Balance with The EU Countries: Panel ARDL Analysis”, International Journal of Economic Perspectives, 4(1), 371-379.
• Erdoğan, S. et al. (2022), “Analyzing Asymmetric Effects of Cryptocurrency Demand on Environmental Sustainability”, Environmental Science and Pollution Research, 29, 31723-31733.
• Felmingham, B.S. (1988), “Where Is The Australian J‐Curve?”, Bulletin of Economic Research, 40(1), 43-56.
• Frieden, J. (2008), “Globalization and Exchange Rate Policy”, in: E. Zedillo (ed.), The Future of Globalization (344-357), New York: Routledge.
• Gözen, M.C. & C. Bostancı (2021), “Validity of J-Curve for Turkey and Its Main External Trade Partners: An Application of a Panel Data Approach”, Sosyoekonomi, 29(50), 149-168.
• Granger, C.W.J. & G. Yoon (2002), “Hidden Cointegration. University of California”, Economics, Working Paper No, 2002-02.
• Granger, C.W.J. (1969), “Investigating Causal Relations By Econometric Models and Cross-Spectral Methods”, Econometrica, 37(3), 424-438.
• Gujarati, D.N. (2004), Basic Econometrics, 4th ed., The McGraw-Hill Companies.
• Hacker, R.S. & A. Hatemi-J (2003), “Is The J-Curve Effect Observable for Small North European Economies?”, Open Economies Review, 14, 119-134.
• Halicioglu, F. (2007), “The J‐Curve Dynamics of Turkish Bilateral Trade: A Cointegration Approach”, Journal of Economic Studies, 34(2), 103-119.
• Halicioglu, F. (2008a), “The Bilateral J-Curve: Turkey Versus Her 13 Trading Partners”, Journal of Asian Economics, 19(3), 236-243.
• Halicioglu, F. (2008b), “The J-Curve Dynamics of Turkey: An Application of ARDL Model”, Applied Economics, 40(18), 2423-2429.
• Harvey, H. (2018), “Bilateral J-Curve Between Philippines And Trading Partners: Linear And Non-Linear Approach”, Asian Econ. and Financial Rev., 8(2), 131-144.
• Hatemi-J, A. (2011), AC Test: GAUSS Module To Apply Asymmetric Causality Tests. Statistical Software Components G00014, Boston College Department of Economics.
• Hatemi-J, A. (2012), “Asymmetric Causality Tests With An Application”, Empirical Economics, 43(1), 447-456.
• Hiemstra, C. & J. Jones (1992), “Detection And Description of Linear And Nonlinear Dependence in Daily Dow Jones Stock Returns And NYSE Trading Volume”, Working Paper, University of Strathclyde and Securities and Exchange Commission.
• Himarios, D. (1989), “Do Devaluations Improve the Trade Balance? The Evidence Revisited”, Economic Inquiry, 27(1), 143-168.
• Hsing, Y. (2009), “Test of The J-Curve for Six Selected New EU Countries”, International Journal of Economic Policy in Emerging Economies, 2(1), 76-85.
• Hunter, A. (2019), “A Non-linear Autoregressive Distributed Lag Model Approach and the J-Curve Phenomenon: China and Her Major Trading Partners”, Major Themes in Economics, 21, 1-13.
• IMF (2023), International Financial Statistics, <https://data.imf.org/?sk=4c514d48-b6ba-49ed-8ab9-52b0c1a0179b&sId=-1>, 22.07.2023.
• Jamilov, R. (2011), “J-Curve Dynamics And The Marshall-Lerner Condition: Evidence From Azerbaijan”, Munich Personal RePEc Archive, MPRA Paper No. 36799.
• Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.
• Kale, P. (2001), “Turkey's Trade Balance in The Short and The Long Run: Error Correction Modeling And Cointegration”, The International Trade Journal, 15(1), 27-56.
• Karamelikli, H. (2016), “Linear and nonlinear dynamics of the Turkish trade balance”, International Journal of Economics and Finance, 8(2), 70-80.
• Karimi, M. et al. (2020), “Does Asymmetric Nonlinear Approach Explain The Relationship Between Exchange Rate And Trade of Iran?”, The Vienna Institute for International Economic Studies Working Paper 187.
• Karluk, R.S. (2013), “International Economics: Theory and Policy (in Turkish)”, Beta Yayıncılık, İstanbul.
• Kassi, D.F. et al. (2019), “Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries”, Economies, 7 (1), 1-33.
• Kılıç, R. et al. (2018), “Validity of the J-Curve Hypothesis for Turkey: ARDL Bound Test Approach”, International Journal of Disciplines in Economics and Administrative Sciences Studies, 4(7), 112-128.
• Kim, M. et al. (2019), “Asymmetries and Non-Linearities in Exchange Rate Pass-Through”, European Central Bank Conference on Inflation in A Changing Economic Environment.
• Kimbugwe, H. (2006), “The Bilateral J-Curve Between Turkey And Her Nine Trading Partners”, Munich Personal RePEc Archive, <https://mpra.ub.uni-muenchen.de/4254/>, 22.10.2023.
• Krueger, A.D. (1983), “Exchange Rate Determination”, Cambridge Surveys of Economic Literature Cambridge University Press, ISBN 10: 0521273013.
• Krugman, P.R. & R.E. Baldwin (1987), “The Persistence of The US Trade Deficit”, Brookings Papers on Economic Activity, 1, 1-55.
• Kutlu, S. (2013), “Changes in Exchange Rates and The Balance of Trade: A Literature Survey With Reference to Turkey’s Foreign Trade”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 27(2), 121-140.
• Magee, S.P. (1973), “Currency Contracts, Pass-Through, And Devaluation”, Brookings Papers on Economic Activity, 4(1), 303-325.
• Mahmood, H. & T.T. Alkhateeb (2018), “Asymmetrical Effects of Real Exchange Rate on the Money Demand in Saudi Arabia: A Nonlinear ARDL Approach”, PLoS ONE, 13(11), e0207598.
• Miles, M.A. (1979), “The Effects of Devaluation on The Trade Balance And The Balance of Payments: Some New Results”, The Journal of Political Economy, 87(3), 600-620.
• Moftah, N. & S. Dilek (2021), “Toda-Yamamoto Causality Test Between Energy Consumption And Economic Growth: Evidence From A Panel of Middle Eastern Countries”, Journal of Empirical Economics and Social Science, 3(1), 56-78.
• Narayan, P.K. & S. Narayan (2004), “The J‐Curve: Evidence From Fiji”, International Review of Applied Economics, 18(3), 369-380.
• Nkoro, E. & A.K. Uko (2016), “Autoregressive Distributed Lag (ARDL) Cointegration Technique: Application and Interpretation”, Journal of Statistical and Econometric Methods, 5(4), 63-91.
• Nusair, A. S. (2017), “The J-Curve Phenomenon in European Transition Economies: A Nonlinear ARDL Approach”, International Rev. of Applied Economics, 31(1), 1-27.
• Özdemir, S. et al. (2022), “Bilateral J-Curve between Turkey and The Eurozone”, Mehmet Akif Ersoy University Journal of Economics and Administrative Sciences Faculty, 8(3), 1420-1432.
• Özşahin, Ş. (2017), “An Examination of Bilateral J-Curve: Evidence from Turkey and Her 20 Major Trading Partners”, Theoretical and Applied Economics, 2(611), 221-236.
• Pata, U.K. & H. Terzi (2016), “Testing for Symmetric and Asymmetric Causality Between FDI and Foreign Trade in Turkey”, The Romanian Economic Journal, XIX(61), 47-70.
• Peltzman, S. (2000), “Prices Rise Faster Than They Fall”, Journal of Political Economy, 108(3), 466-502.
• Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to The Analysis of Level Relationships”, Journal of Applied Econometrics, 16, 289-326.
• Quirk, P. (1990), Exchange Rate Policies and Management: A Model for Successful Structural Adjustment, IMF E-Libary.
• Rhee, W. & R.W. Rich (1995), “Inflation and the asymmetric effects of money on output fluctuations”, Journal of Macroeconomics, 17(4), 683-702.
• Rose, A.K. & J.L. Yellen (1989), “Is There A J-Curve?”, Journal of Monetary Economics, 24(1), 53-68.
• Rose, A.K. (1990), “Exchange Rates and The Trade Balance: Some Evidence from Developing Countries”, Economics Letters, 34(3), 271-275.
• Seyidoğlu, H. (2013), Uluslararası İktisat; Teori, Politika ve Uygulama, Güzem Yayınları, No: 28, 19. Baskı, İstanbul.
• Shin, Y. et al. (2013), “Modelling Asymmetric Cointegration and Dynamic Multipliers in A Nonlinear ARDL Framework”, in: W.C. Horrace & R.C. Sickles (eds.), Festschrift in Honor of Peter Schmidt (281-314).
• Singh, T. (2004), “Testing J-Curve Hypothesis and Analysing The Effect of Exchange Rate Volatility on the Balance of Trade in India”, Empirical Economics, 29, 227-245.
• Talpsepp, T. & M.O. Rieger (2009), “Explaining Asymmetric Volatility Around The World”, SSRN Electronic Journal, 17(5), 938-956.
• Toda, H.Y. & T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1-2), 225-250.
• TUIK (N/A), İstatistik Veri Portalı, <https://data.tuik.gov.tr/Kategori/GetKategori?p=dis-ticaret-104&dil=2>, 08.08.2023.
• Umar, M. & J. Dahalan (2016), “An Application of Asymmetric Toda-Yamamoto Causality on Exchange Rate-inflation Differentials in Emerging Economies”, International Journal of Economics and Financial Issues, 6(2), 420-426.
• Ünal, A.E. (2021), “İkili Dış Ticaret Dengesi ve Reel Döviz Kuru İlişkisi: Türkiye-Rusya Örneği”, Niğde Ömer Halisdemir Üniversitesi İ.İ.B.F. Dergisi, 14(2), 542-558.
• Verheyen, F. (2012), “Bilateral Exports from Euro Zone Countries to The US - Does Exchange Rate Variability Play A Role?”, International Review of Economics and Finance 24, 97-108.
• Wang, C.H. et al. (2012), “Short-Run and Long-Run Effects of Exchange Rate Change on Trade Balance: Evidence from China and Its Trading Partners”, Japan and the World Economy, 24(4), 266-273.
• Wilson, P. & K.C. Tat (2001), “Exchange Rates and The Trade Balance: The Case of Singapore 1970 to 1996”, Journal of Asian Economics, 12(1), 47-63.
• World Bank (2023), World Development Indicators, <https://databank.worldbank.org/source/world-development-indicators>, 08.08.2023.
• Yavuz, N.Ç. et al. (2010), “Reel Döviz Kurunun Dış Ticaret Dengesine Etkisi: Türkiye İçin Marshall-Lerner Koşulunun Testi”, İktisat, İsletme ve Finans, 25(287), 69-90.
• Yazıcı, M. & A. Klasra (2010), “Import Content of Exports and J-curve Effect?”, Applied Economics, 42, 769-776.
• Yazıcı, M. & M.Q. Islam (2014), “Exchange Rate and Bilateral Trade Balance of Turkey with EU (15) Countries”, Journal of Business, Economics & Finance, 3(3), 341-356.
• Yazıcı, M. (2010), “Is There A J-Curve Effect In Turkish Services?”, Quality and Quantity, 44(1), 167-172.
• Yu, L. et al. (2015), “Linear and Nonlinear Granger Causality Investigation Between Carbon Market and Crude Oil Market: A Multi-Scale Approach”, Energy Economics, 51, 300-311.