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Journals / İstanbul İktisat Dergisi / 2018 / Cilt: 68 - Sayı: 1

The Effect of Exchange Rate Volatility on Export: The Case of Turkey (1995-2017)

Döviz Kuru Volatilitesinin İhracat Üzerine Etkisi: Türkiye Örneği (1995-2017)

Rümeysa ÇELİK
Pages
181–220
Publication Date
2018-06-27
DOI
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AI Summary & Key Takeaways

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

In other words, while the industrial production index and imports affect exports positively in both the long and short terms, the true effective exchange rate index and exchange rate volatility are negatively affected in both the long and short terms.

📌 3 Key Takeaways

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Objective & Hypothesis:In this research, the effect of exchange rate volatility on exports in Turkey as measured by conditional variable variance models is examined using an ARDL (Autoregressive Distributed Lags Model) boundary test and error correction model methods with monthly data between January 1995 and January 2017.
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Key Findings & Data:First, the relationship of cointegration among variables was researched, using the Bound Test Approach, which was developed by Pesaran, Shin & Smith (2001).
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Conclusion & Impact:In other words, while the industrial production index and imports affect exports positively in both the long and short terms, the true effective exchange rate index and exchange rate volatility are negatively affected in both the long and short terms.
🔬Design:Modeling & Simulation
📍Scope:2017 Verileri
⚙️Variables:Döviz kuru volatilitesi · ARDL sınır testi · hata düzeltme modeli

Abstract

In this research, the effect of exchange rate volatility on exports in Turkey as measured by conditional variable variance models is examined using an ARDL (Autoregressive Distributed Lags Model) boundary test and error correction model methods with monthly data between January 1995 and January 2017. First, the relationship of cointegration among variables was researched, using the Bound Test Approach, which was developed by Pesaran, Shin & Smith (2001). After determining that a cointegration relationship exist, the long and short-term relationships between exchange rate volatility and exports were analyzed, using the ARDL and error correction model (ECM). The findings show, that both long and short term signs of the coefficients agree with expectations and are statistically significant. In other words, while the industrial production index and imports affect exports positively in both the long and short terms, the true effective exchange rate index and exchange rate volatility are negatively affected in both the long and short terms.

Özet

Bu çalışmada Türkiye’de koşullu değişen varyans modelleriyle ölçülen döviz kuru volatilitesinin ihracat üzerine etkisi, 1995:01 ile 2017:01 dönemi arasında aylık veriler kullanılarak ARDL (Otoregresif Dağıtılmış Gecikme Modeli) sınır testi ve hata düzeltme modeli (ECM) yöntemleriyle incelenmiştir. Öncelikle Pesaran, Shin ve Smith (2001) tarafından geliştirilen sınır testi yaklaşımıyla değişkenler arasında eşbütünleşme (koentegrasyon) ilişkisi araştırılmıştır. Eşbütünleşme ilişkisi olduğunun belirlenmesinin ardından ARDL ve hata düzeltme modeli kullanılarak döviz kuru volatilitesi ile ihracat arasında uzun ve kısa dönemli ilişkiler analiz edilmiştir. Elde edilen bulgular, hem uzun hem de kısa dönem katsayılarının işaretleri beklentilerle uyumlu ve istatistiksel olarak anlamlı olduğu şeklindedir. Diğer bir ifadeyle, dış geliri temsil eden sanayi üretim endeksi ve ithalat, hem uzun hem de kısa dönemde ihracatı pozitif etkiler iken reel efektif döviz kuru endeksi ve döviz kuru volatilitesi ise hem uzun hem de kısa dönemde negatif etkilemektedir.

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Cite This Article

ÇELİK, R. (2018). The Effect of Exchange Rate Volatility on Export: The Case of Turkey (1995-2017). İstanbul İktisat Dergisi, Cilt: 68 - Sayı: 1, 181–220. https://ajindex.com/articles/244042

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