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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2011 / Cilt: 5 - Sayı: 1

The effects of real and nominal shocks on real and nominal exchange rates: the case of Turkey

Reel ve nominal şokların reel ve nominal döviz kurları üzerindeki etkileri: Türkiye örneği

Ahmet Murat ALPER
Pages
35–71
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results indicate that unlike the previous study of Erlat and Erlat (1998), the contribution of nominal shocks to real exchange rate fluctuations and the contribution of real shocks to nominal exchange rate are not negligible.

📌 3 Key Takeaways

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Objective & Hypothesis:This paper aims to explain the sources of real exchange rate fluctuations in Turkey.
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Key Findings & Data:For this purpose, a bivariate SVAR model with the rates of change in the real and in the nominal exchange rates as endogenous variables is specified, and two types of structural shocks are identified as real and nominal shocks in the sprit of two dimensional model of Lastrapes (1992).
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Conclusion & Impact:The results indicate that unlike the previous study of Erlat and Erlat (1998), the contribution of nominal shocks to real exchange rate fluctuations and the contribution of real shocks to nominal exchange rate are not negligible.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

This paper aims to explain the sources of real exchange rate fluctuations in Turkey. For this purpose, a bivariate SVAR model with the rates of change in the real and in the nominal exchange rates as endogenous variables is specified, and two types of structural shocks are identified as real and nominal shocks in the sprit of two dimensional model of Lastrapes (1992). Using the approach pioneered by Blanchard and Quah (1989), it is assumed that nominal shocks have no permanent effect on the real exchange rate. The results indicate that unlike the previous study of Erlat and Erlat (1998), the contribution of nominal shocks to real exchange rate fluctuations and the contribution of real shocks to nominal exchange rate are not negligible.

Özet

Bu çalışma Türkiye’deki reel döviz kuru dalgalanmalarının kaynaklarını açıklamayı amaçlamaktadır. Bu amaçla, Lastrapes’in (1992) iki boyutlu modelinin ruhuna uygun olarak,reel ve nominal döviz kurlarındaki değişim oranlarının içsel değişken olarak yer aldığı iki değişkenli SVAR modeli belirlenmekte ve reel ile nominal şoklar olmak üzere iki tür yapısal şok tanımlanmaktadır. Blanchard ve Quah’ın (1989) öncüsü olduğu yaklaşım kullanılarak, nominal şokların reel döviz kuru üzerinde kalıcı etkisi olmadığı varsayımı yapılmaktadır. Sonuçlar, Erlat ve Erlat’ın (1998) önceki çalışmasından farklı olarak, nominal şokların reel döviz kuru dalgalanmalarına yaptığı katkı ile reel şokların nominal döviz kuru dalgalanmalarına yaptığı katkının ihmal edilemeyeceğine işaret etmektedir.

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Cite This Article

ALPER, A. M. (2011). The effects of real and nominal shocks on real and nominal exchange rates: the case of Turkey. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 5 - Sayı: 1, 35–71. https://ajindex.com/articles/146217

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