Dış Ticaret Hacmi ve Döviz Kuru İlişkisinin ARDL Sınır Testi ile Analizi (Türkiye Örneği)

Yıl 2021, Cilt: 8 Sayı: 1, 1 - 16, 11.01.2021

Ersin Sünbül

Öz

Bu çalışmanın amacı, politika yapıcılar için bilimsel veriler üretmektir. Bu çalışmada elde edilen sonuçlar teori ile örtüşmektedir. Reel Efektif Dolar satış oranı bağımlı değişkendir. İthalat ve ihracat verileri (dolar kuru olarak hesaplanan) bağımsız değişkenler olarak çalışmaya alınmıştır. Değişkenlerin zaman serileri 2013M01-2020M07 dönemine ve 91 gözleme sahiptir. Çalışmada verilerin durağan özelliklerinden dolayı Otoregresif Gecikmeli Dağılım Modeli (ARDL) tercih edilmiştir.
Yordayıcı model için değişkenler arasındaki eşbütünleşme ilişkisi bulunmuştur. Ancak uzun vadeli bir ilişki önemli bulunmadı. İlişki anlamlı olmamakla birlikte, hesaplanan istatistiksel değerlerin işaretleri değerlendirildiğinde, bağımlı değişken döviz kuru ile bağımsız değişkenlerden ithalat arasında uzun vadeli negatif bir ilişki vardır. İhracat verileriyle pozitif bir ilişki var.
Teorik çalışmalar hem eşbütünleşme hem de uzun dönemli ilişki bulguları ile uyumludur. Ancak literatürdeki farklı sonuçlar nedeniyle uyumlu olduğu söylenemez.

Anahtar Kelimeler

ARDL Sınır Testi,, Konvansiyonel Döviz Kuru Teorisi, Uluslararası Ticaret ve Döviz Kuru İlişkisi

Teşekkür

Teşekkürler

The Volume of Foreign Trade and Relations of Currency ARDL Bound Testing Analysis (Turkey Example)

Öz

The purpose of this study is to produce scientific data for policymakers. The results obtained in this study coincide with the theory. Real Effective Dollar sales rate is the dependent variable. Import and export data (calculated as the dollar rate) were taken into the study as independent variables. The time series of the variables have the period 2013M01-2020M07 and 91 observations. In the study, Autoregressive Delayed Distribution Model (ARDL) was preferred due to the stationary properties of the data.
The cointegration relationship between variables was found for the predictive model. However, a long-term relationship was not found important. Although the relationship is not significant, when the signs of the statistical values calculated are evaluated, there is a long-term negative relationship between the dependent variable exchange rate and the import from the independent variables. There is a positive relationship with export data.
Theoretical studies are compatible with both cointegration and long-term relationship findings. However, it cannot be said to be compatible due to different results in the literature.

Anahtar Kelimeler

ARDL Bounds Test, Conventional Exchange Rate Theort, Foreign Trade and Exchange Rate Relationship

Kaynakça

• Aktaş, C. (2010). Türkiye’de Reel Döviz Kuru İle İhracat ve İthalat Arasındaki İlişkinin Var Tekniğiyle Analizi, ZKÜ Sosyal Bilimler Dergisi, 6(11), 123-140.
• Als, J. ve Oskooee, M.B. (1995). Do Devaluations Improve or Worsen the Terms of Trade? Journal of Economic Studies, 22(6),16-25.
• Altıntaş, H. ve Rahmi, Ç. (2008). Türkiye’de Dış Ticaret Belgesi Belirleyicilerinin Sınır Testi Yaklaşımıyla Öngörülmesi: 1989-2005. Ankara Üniversitesi SBF Dergisi, 63(4), 29-64.
• Aristotelous, K. (2001). Exchange-Rate Volatility, Exchange-Rate Regime and Trade Volume: Evidence from UK-US export function (1889-1999). Economics Letters, 72(2001), 87-94.
• Arize, A.C. (1995). The Effect of Exchange-Rate Volatility on U.S. Exports: An Empirical Investigation. Southern Economic Journal, 62, 34-43.
• Arize, A.C. (1997). Foreign Trade and Exchange-Rate Risk in the G–7 Countries: Cointegration and Error-Correction Models. Review of Financial Economics, 6(1), 95-112.
• Arslan, C. (2005). Döviz Kuru Riski ve Yönetimi. Yüksek Lisans Tezi, Ankara Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
• Asseery, A. ve Peel, D.A. (1991). The Effects of Exchange Rate Volatility on Exports. Economics Letters, 37, 173-177.
• Asterious, D. Masatci, K. ve Pilbeam, K. (2016). Exchange Rate Volatility and International Trade: International Evidence from the MINT Countries. Economic Modelling, 58, 133–140. https://doi.org/10.1016/j.econmod.2016.05.006.
• Baek, J. (2014). Exchange Rate Effects on Korea–U.S. Bilateral Trade: A New Look. Research in Economics, 68(3), 214–221. https://doi.org/10.1016/j.rie.2014.05.002.
• Bahmani-Oskooee, M. ve Gelan, A. (2012). Is There a J-Curve Effect in Africa? International Review of Applied Economics, 26(1), 73–81.
• Baldemir, E. ve Gökalp, F. (1999, 14-16 Mayıs). Türkiye’de Döviz Kuru ve Dış Ticaret Hadleri İlişkisinin Ekonometrik Analizi. IV. Ulusal Ekonometri ve İstatistik Sempozyumu Bildirileri, Antalya.
• Barak, D. ve Naimoğlu, M. (2018). Reel Döviz Kurunun Dış Ticaret Üzerindeki Etkisi: Kırılgan Beşli Örneği, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(2), 82-95, ISSN: 2564-6931. DOI: 10.25287/ohuiibf.396831 http://dergipark.gov.tr/ohuiibf/
• Baum, C.F. Çağlayan, M. ve Özkan, N. (2004). Nonlinear Effects of Exchange Volatility on the Volume of Bilateral Exports, Journal of Applied Econometrics, 19, 1–23.
• Baxter, M. M. ve Kouparitsas, A. (2006). What Determines Bilateral Trade Flows? NBER Working Papers Nu: 12188.
• Bilgin, M.H. (2004). Döviz Kuru İşsizlik İlişkisi: Türkiye Üzerine Bir İnceleme, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (8), 80- 94.
• Chiu, Y. B. Lee, C.C. ve Sun, C.H. (2010). The U.S. Trade İmbalance and Real Exchange Rate: An Application of the Heterogeneous Panel Cointegration Method. Economic Modelling, 27(3), 705–716.doi:10.1016/j.econmod.2010.01.011
• Clark, P. Taminise, N. Wei, S.J. Sadikow, A. ve Zeng, L. (2004). Exchange Rate Volatility And Trade Flows-Some New Evidence, IMF Research Department.
• Clark, P.B. (1973). Uncertainity, Exchange Risk, and the Level of International Trade. Western Economic Journal, 11(3), 302-313.
• Dellas, H. ve Zilberfarb, B. Z. (1993). Real Exchange Rate Volatility and İnternational Trade: A Re-Examination of the Theory. Southern Economic Journal, 59, 641-647.
• Dinler, Z. (2007). İktisat. Bursa: Ekin Kitabevi.
• Either W. (1973). International Trade And The Forward Exchange Markets, American Economic Review, 63(3), 494-503.
• Ertek, T. (2007). Temel Ekonomi. İstanbul: Beta Yayınları.
• Hodge, D. (2005). The Effect Of Exchange Rate Volatility on Trade And Employment: A Brief Review of Literature, Employment Growth&Development Intiative, Human Sciences Resource Council. http://www.hsrc.ac.za/en/research-data/ktree-doc/1308 Et. 28.09.2020
• Hooper, P. ve Kohlhagen, S. (1978). The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade. Journal of International Economics, 8, 483-511.
• In, F. ve Menon, J. (1996). The Long-Run Relationship Between The Real Exchange Rate And Terms of Trade In OECD Countries. Applied Economics, 28, 1075- 1080.
• Kihangire, D. (2004). The Effects of Exchange Rate Variability on Exports: Evidence from Uganda (1988 – 2001). ESRC Oxford, 1-41, http://econwpa.repec.org/eps/it/papers/0505/0505013.pdf
• Koch, P.D. ve Rosensweigh, J.A. (1992). The Dollar and the US Terms of Trade. Journal of Macroeconomics, 14, 467-486.
• Krugman, P. ve Obstfeld, M. (2003). International Economics: Theory And Policy, Sixth Edition, Addison Wesley World Student Series.WP Nu:4, Worldbank.
• MacKinnon, J.G. (2006). Critical Values for Cointegration Tests. Queen’s Economics Department Working Paper No. 1227.
• Mckenzie, M.D. (1999). The Impact of Exchange Rate Volatility on International Trade Flows. Journal of Economic Surveys, 13(1), 71–106.
• Mckenzie, M.D. ve Brooks, R.D. (1997). The Impact Of Exchange Rate Volatility On German-U.S. Trade Flows. Journal of İnternational Financial Markets Institutions and Money,7(1), 73-87.
• Nam, K.K.S. ve Arize, A.C. (2006). Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property. Rev Quant Finan Acc 26, 137–163. https://doi.org/10.1007/s11156-006-7213-0
• Pesaran, M.H. Shin, Y. ve Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. doi:10.1002/jae.616
• Petrović, P. ve Gligorić, M. (2010). Exchange Rate and Trade Balance: J-Curve Effect, Panoeconomicus, 1, 23-41.
• Salvatore, D. (2019). International Economics. 13th. Ed. Widely Publish. ISBN: 978-1-119-55492-9 (PBK).
• Savvides, A. (1992). Unanticipated Exchange Rate Variability and the Growth of International Trade. Weltwirtschaftliches Archiv, 3, 446–463.
• Sercu, P. ve Uppal, R. (2003). Exchange Rate Volatility and International Trade: A General-Equilibrium Analysis. European Economic Review, 47(3), 429-441.
• Serenis, D. ve Serenis, P. (2008). The İmpact of Exchange Rate Volatility on Exports: Evidance Four European Countries. International Conference on Applied Economics. 835-837.
• Seyidoğlu, H. (2007). Uluslararası İktisat Teori Politika ve Uygulama (Geliştirilmiş 16. baskı). İstanbul: Güzem Can Yayınları.
• Takaendase, P. Tsheole, T. ve Aziakpono, M. (2005). Real Exchange Rate Volatility and Its Effect On Trade Flows: New Evidence From South Africa. The Biennial Conference of The Economic Society of South Africa, Durban, 1-20.
• Vergil, H. ve Erdoğan, S. (2009). Döviz kuru – dış ticaret dengesi ilişkisi: Türkiye örneği. ZKÜ Sosyal Bilimler Dergisi, (5) 9, 35-57.
• Wang, K.L. ve Barrett, C.B. (2007). Estimating the Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics, 32(2), 225-255 (31 pages), Published By: Western Agricultural Economics Association, https://www.jstor.org/stable/40987362
• Yılmaz, Ö. ve Kaya, V. (2007). İhracat, İthalat ve Reel Döviz Kuru İlişkisi: Türkiye için Bir VAR modeli. İktisat, İşletme ve Finans Dergisi. 22(250), 69-84. http://www.iif.com.tr/index.php/iif/article/