Bu çalışmanın amacı Türkiye’de, döviz kuru değişkenliği ile dış ticaret arasındaki ilişkiyi asimetrik nedensellik testi aracılığıyla güncel veriler ile incelemektir. Bu amaçla, çalışmada Ocak 1990- Mayıs 2019 dönemine ait aylık veriler kullanılmıştır. Döviz kuru değişkenliği GARCH modeli ile tahmin edilerek değişkenlik serisi elde edilmiştir. Döviz kuru değişkenliği serisinin dış ticaret değişkenleri olan ithalat ve ihracat ile nedensellik ilişkisi Hatemi-J 2012 tarafından geliştirilen asimetrik nedensellik testleri incelenmiştir. Elde edilen bulgulara göre, döviz kuru değişkenliği ihracatın nedeni iken, ihracat döviz kuru değişkenliğinin nedeni değildir. Diğer taraftan ithalat ile döviz kuru değişkenliği arasında karşılıklı nedensellik ilişkisi söz konusudur. Asimetrik nedensellik analizinden elde edilen bulgulara bakıldığında ise, pozitif bileşenlerde ithalat döviz kuru değişkenliğinin nedeni iken, negatif bileşenlerde döviz kuru değişkenliği ithalatın nedenidir. Diğer durumlar için nedensellik söz konusu değildir
The aim of this study in Turkey is to study the relationship between currency exchange and foreign trade through the asymmetric causality test with current data. For this purpose, the study used monthly data from January 1990 to May 2019. The currency currency variability is estimated with the GARCH model and the variability series is obtained. The asymmetrical causality tests developed by Hatemi-J 2012 are the external trade variables of the currency exchange series. According to the findings obtained, the exchange rate variation is the cause of export, while export is not the cause of the exchange rate variation. On the other hand, it is a causal relationship between import and exchange currency. In view of the findings obtained from the asymmetrical causality analysis, the import in the positive components is the cause of the exchange rate variation, while the exchange rate variation in the negative components is the cause of the import. There is no cause for other cases.
The aim of this study is to examine the relationship between exchange rate volatility and foreign trade with current data through asymmetric causality test in Turkey. For this purpose, monthly data for the period January 1990 - May 2019 were used in the study. Exchange rate volatility was estimated with the GARCH model and the volatility series was obtained. Asymmetric causality tests developed by Hatemi-J 2012 examined the causality relationship between import and export, which are foreign trade variables of the exchange rate volatility series. According to the findings, while exchange rate volatility is the cause of exports, exports are not the cause of exchange rate volatility. On the other hand, there is a mutual causality relationship between imports and exchange rate volatility. When we look at the findings from asymmetric causality analysis, the reason for import exchange rate volatility in positive components is, while the reason for import exchange rate volatility in negative components is. For other cases, causality is out of the question
Alan : Eğitim Bilimleri; Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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