Balance Sheet Effects of Exchange Rate Changes and Debt Dollarisation: An Econometric Analysis on the Turkish Real Sector

Year 2024, Volume: 32 Issue: 60, 427 - 444, 28.04.2024

Mücahid Samet Yılmaz , Mustafa Acar

https://doi.org/10.17233/sosyoekonomi.2024.02.20

Abstract

The impact of exchange rate changes on the real sector is not limited to an expansionary competitive effect caused by domestic currency depreciation. The balance sheet effect may be a significant source of risk, especially for companies with high levels of debt in foreign currency, i.e., experiencing liability dollarisation. Exchange rate increases may raise risks by increasing the value of debts in domestic currency. The Turkish real sector faces significant balance sheet risks due to high debt dollarisation and domestic currency depreciation. This study analyses the impact of liability dollarisation and exchange rate changes on investments as the best indicator of sectoral performance through “balance sheet effect” and “competitive effect” channels with the GMM estimator using data for 76 sectors in Türkiye for 2009-2022. Our findings indicate that, while the corporate sector is exposed to a significant negative balance sheet effect due to short-run liability dollarisation, there are no significant effects of long-run liability dollarisation on investments. Also, there are no significant findings regarding the competitiveness effect channel. Therefore, the fragilities in the balance sheet of the Turkish real sector make it necessary for political decision-makers to avoid unexpected depreciation in the value of the Turkish lira.

Keywords

Liability Dollarisation, Balance Sheet Effect, Competitiveness Effect, GMM Estimator

Döviz Kuru Değişimlerinin Bilanço Etkisi ve Borç Dolarizasyonu: Türk Reel Sektörü Üzerine Ekonometrik Bir Analiz

Abstract

Döviz kuru değişimlerinin reel sektör üzerindeki etkisi sadece ulusal para değer kayıplarının neden olduğu genişletici bir rekabetçi etki ile sınırlı değildir. Özellikle yüksek düzeyde döviz cinsinden borcu olan, yani borç dolarizasyonu yaşayan şirketler için bilanço etkisi büyük bir risk kaynağıdır. Döviz kuru artışları, borçların ulusal para cinsinden değerini artırarak riskleri artırabilir. Türk reel sektörü de yüksek borç dolarizasyonu ve ulusal para değer kayıpları nedeniyle önemli bilanço kaynaklı risklerle karşı karşıyadır. Bu çalışmada borç dolarizasyonu ve döviz kuru değişimlerinin sektörel performansın en temel göstergesi olan yatırımlar üzerindeki etkisi araştırılmakta, Türkiye için 2009-2022 dönemine ilişkin 76 alt sektör verisinden yararlanılarak “bilanço etkisi” ve “rekabetçi etki” kanalları GMM tahmincisi ile analiz edilmektedir. Elde edilen bulgulara göre, kısa vadeli döviz cinsi borçlardan kaynaklı olarak reel sektör anlamlı bir negatif bilanço etkisine maruz kalırken, uzun vadeli döviz cinsi borçların yatırımlar üzerinde anlamlı etkileri bulunamamıştır. Rekabetçi etki kanalına ilişkin de anlamlı bulgular söz konusu değildir. Dolayısıyla Türk reel sektörünün bilançosundaki kırılganlıklar, politik karar alıcılar açısından Türk lirasının değerindeki beklenmedik kayıplardan kaçınmayı gerekli kılmaktadır.

Keywords

Borç Dolarizasyonu, Bilanço Etkisi, Rekabetçi Etki, GMM Tahmincisi

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