Exchange market pressure index: The case of Turkey

Yıl 2019, Sayı: 53, 261 - 284, 30.06.2019

Erhan Öruç

https://doi.org/10.18070/erciyesiibd.445125

Cited By: 5

Öz

Central banks intervene to the exchange market in order to reduce volatility of exchange rate or prevent attacks that lead to high volatilities, especially in developing countries. However, each intervention to the exchange market may cause deviation of the value of exchange rate which, is determined by the market. The aim of this study is that calculates pressure on exchange market for Turkey. In this way, exchange market pressure index has calculated by three ways: Girton-Roper, theoretical and model-independent. In this study, the index is constructed according to the theoretical approach. Four equations are employed for deriving exchange market pressure index but estimating two equations, simple money demand function and purchasing power parity, are enough for the calculation of the index. Quarterly data is employed form 1990:01 to 2017:02. Since both equations have an endogenous variable, those are estimated by two stage least square. It is found that especially starting from the last quarter of 1992 to 2002, exchange market pressure index is too high however, after freely floating system was settled then pressure in the exchange market had decreased dramatically. Moreover, this index can be used as a one of indicator for determination of economic crises due to the fact that the volatile the index increased just before each economic and political crisis.

Anahtar Kelimeler

Exchange Market Pressure Index, Intervention, Two Steps Least Square

Weymark modeli döviz piyasası baskısı endeksi

Öz

Merkez bankaları özellikle gelişmekte olan ülkelerde döviz piyasasındaki oynaklığı azaltmak veya döviz piyasasında aşırı dalgalanmaya yol açan atakları önlemek amacıyla döviz piyasasına müdahalede bulunurlar. Fakat her müdahale döviz kurunun piyasa tarafından belirlenecek değerinden sapmalara neden olabilir. Bu çalışmanın amacı Türk döviz piyasasındaki arz ve talebin oluşturduğu baskıyı tespit etmektir. Bu doğrultuda ekonomi literatüründe döviz piyasasında oluşan baskıyı ölçmek amacıyla döviz piyasası baskı endeksi kullanılmaktadır. Bu endeks Girton ve Roper yaklaşımı, teorik yaklaşım ve modelden bağımsız yaklaşım olarak üç şekilde oluşturulabilir. Bu çalışmada döviz piyasası baskı endeksi teorik yaklaşıma göre oluşturulmuştur. Endeksin oluşturulmasında dört farklı denklem kullanılmasına rağmen endeksin hesaplanmasında basit para talebi ve göreli satın alma gücü hipotezi denklemlerinin tahmin edilmesi yeterlidir. Analizde çeyreklik veriler kullanılmış olup 1990:01-2017:02 dönemini kapsamaktadır. Tahminlerde kullanılan zaman serileri birim kök içermesine rağmen denklemleri oluşturan serileri arasında eşbütünleşme olduğundan dolayı tahmin aşamasına geçilmiştir. Bu denklemlerde içsel değişken problemi olduğundan dolayı hem basit para talebi hem de göreli satın alma gücü hipotezi denklemleri iki aşamalı en küçük kareler yöntemiyle tahmin edilmiştir. Tahmin sonuçlarına göre özellikle 1993’ün son dönemlerinden 2002’ye kadar döviz piyasasında baskının fazla olmasına rağmen esnek dalgalı döviz kuru sisteminin yerleşmesinden sonra döviz piyasasındaki baskının azaldığı tespit edilmiştir. Ayrıca endeks ekonomik ve siyasi krizlerden önce aşırı dalgalanma gösterdiğinden dolayı, ileride oluşabilecek krizler için öncü bir gösterge olarak kullanılabilir.

Anahtar Kelimeler

Döviz Piyasası Baskı Endeksi, Müdahale, İki Aşamalı En Küçük Kareler

Kaynakça

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