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Journals / Finans Politik ve Ekonomik Yorumlar Dergisi / 2012 / Cilt: 49 - Sayı: 573

Currency substitution and determinants of it: An empiric application (a sample of Turkey for 1990-2010)

Para ikamesi ve para ikamesinin belirleyicileri: Ekonometrik bir uygulama (1990-2010 Türkiye örneği)

Erkan DEMİRBAŞ
M. Veysel KAYA
Pages
47–66
DOI
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AI Summary & Key Takeaways

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

According to the results, in the long run there is a negative relation between real effective exchange index and currency substitution, where as there is a positive relation between Central Bank gross foreign currency reserve and currency substitution.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to analyze the causality relation between Currency Substitution and its Determinants such as real effective exchange index, Central Bank gross foreign currency reserve, interest rate differentials, and public sector borrowing requirement.
📊
Key Findings & Data:For this purpose, Autoregressive Distributed Lag Model (ARDL or Bound Test) is used.
💡
Conclusion & Impact:According to the results, in the long run there is a negative relation between real effective exchange index and currency substitution, where as there is a positive relation between Central Bank gross foreign currency reserve and currency substitution.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

The aim of this study is to analyze the causality relation between Currency Substitution and its Determinants such as real effective exchange index, Central Bank gross foreign currency reserve, interest rate differentials, and public sector borrowing requirement. For this purpose, Autoregressive Distributed Lag Model (ARDL or Bound Test) is used. In the short run analyses, Vector Error Correction model is used. According to the results, in the long run there is a negative relation between real effective exchange index and currency substitution, where as there is a positive relation between Central Bank gross foreign currency reserve and currency substitution.

Özet

Bu çalışmanın amacı reel efektif kur endeksi, Türkiye Cumhuriyet Merkez Bankası (TCMB) Brüt Döviz Rezervi, faiz oranı farkı, kamu kesimi borçlanma gereği ile para ikamesi arasındaki nedensellik ilişkisini incelemektir. Bu amaçla, gecikmesi dağıtılmış otoregresif model (ARDL veya sınır testi yaklaşımının) kullanılmıştır. Kısa dönem analizinde ise Vector Hata Düzeltme Modeli kullanılmıştır. Elde edilen sonuçlara göre, uzun dönemde reel efektif kur endeksi ve para ikamesi arasında negatif; Merkez Bankası brüt döviz rezervi ile para ikamesi arasında ise pozitif bir nedensellik ilişkisi tespit edilmiştir.

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Cite This Article

DEMİRBAŞ, E., KAYA, M. V. (2012). Currency substitution and determinants of it: An empiric application (a sample of Turkey for 1990-2010). Finans Politik ve Ekonomik Yorumlar Dergisi, Cilt: 49 - Sayı: 573, 47–66. https://ajindex.com/articles/348245

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