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Bu çalışmada, Türkiye ekonomisinde 2000Q1-2018Q2 döneminde reel efektif döviz kuru riskinin belirlenerek, söz konusu riski ortaya çıkaran makroekonomik değişkenlerin etkileri analiz edilmiştir. EGARCH ve EKK yöntemlerinin kullanıldığı çalışmanın sonucunda elde edilen analiz bulgularına göre, reel efektif döviz kurunda meydana gelen şokların etkisinin yaklaşık 40 gün sürdüğü ve negatif şokların reel efektif döviz kuru oynaklığı üzerinde pozitif şoklara göre daha etkili olduğu görülmüştür. Ayrıca, Türkiye’de döviz kuru riskini portföy yatırımları, cari açık ve merkez bankası rezervleri pozitif etkilerken doğrudan yabancı yatırımların istatistiki olarak anlamlı bir etkisi saptanmamıştır.
In this study, real effective exchange rate risk was determined and the effects of macroeconomic variables that cause so-called risk were analyzed for the period of 2000Q1-2018Q2 in Turkey. For this purpose, EGARCH and OLS models were used. The empirical findings of the study suggested that the effects of the shocks in real effective exchange rate continued approximately 40 days and negative shocks affected real effective exchange rate volatility more than positive shocks. Besides, a positive relationship between exposure and portfolio investments, current account deficit and central bank reserves, while there was a negative relationship between exposure and foreign direct investments.
In this study, real effective exchange rate risk was determined and the effects of macroeconomic variables that cause so-called risk were analyzed for the period of 2000Q1-2018Q2 in Turkey. For this purpose, EGARCH and OLS models were used. The empirical findings of the study suggested that effects of the shocks in real effective exchange rate continued approximately 40 days and negative shocks affected real effective exchange rate volatility more than positive shocks. Besides, a positive relationship between exposure and portfolio investments, current account deficit and central bank reserves, while there was a negative relationship between exposure and foreign direct investments.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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