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İndirme
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Merkez bankası rezervleri; para ve kur politikalarının etkin bir şekilde uygulanması, yabancı para cinsinden iç ve dış borç ödemelerinin gerçekleştirilmesi ve ülke ekonomisinin finansal kırılganlıklara karşı daha dayanıklı olması gibi nedenlerden dolayı gelişmekte olan ülke ekonomileri için oldukça önemlidir. Bu çerçevede çalışmanın amacı Türkiye’de merkez bankası rezervleri ile döviz kuru oynaklığı arasındaki ilişkiyi 2002:01-2021:06 dönemi aylık veriler kullanarak incelemektir. Çalışmada merkez bankası rezervleri brüt rezervler ve net rezervler şeklinde iki açıdan ele alınmıştır. Döviz kuru oynaklığı ise TÜFE bazlı reel efektif döviz kuru verileriyle hareketli ortalamalara dayalı standart sapma yöntemi kullanılarak hesaplanmıştır. Çalışmada geleneksel ADF ve PP birim kök testleri ile yapısal kırılmaları dikkate alan Zivot-Andrews birim kök testleri kullanılarak serilerin durağanlıkları test edilmiştir. Değişkenler arasındaki nedensellik ilişkisi Toda-Yamamoto nedensellik analizi ile incelenmiştir. Elde edilen bulgular sonucunda döviz kuru oynaklığı ile merkez bankası net rezervleri arasında çift yönlü ilişki bulunurken merkez bankası brüt rezervlerinden döviz kuru oynaklığına doğru tek yönlü ilişki bulunmuştur.
Central bank reserves are very important for the developing economies due to reasons such as the effective implementation of currency and currency policies, the implementation of domestic and external debt payments and the country’s economy is more resistant to financial vulnerabilities. The aim of the study in this framework is to examine the relationship between the central bank reserves in Turkey and the currency rate rate by using monthly data for the period 2002:01-2021:06. In the study, central bank reserves were addressed in two ways in the form of gross reserves and net reserves. The currency rate is calculated using the standard deviation method based on moving average with real effective currency rate data based on TÜFE. The study tested the stages of the series using Zivot-Andrews unit root tests, which took into account structural fractures with traditional ADF and PP unit root tests. The causality relationship between the variables was studied by the Toda-Yamamoto causality analysis. The findings resulted in a bilateral relationship between the currency rate and the central bank's net reserves, while the central bank's gross reserves found a one-way relationship towards the currency rate rate.
Central bank reserves are very important for developing country economies because of reasons such as effective implementation of monetary and exchange rate policies, realization of domestic and foreign debt payments in foreign currency and the country's economy is more resilient to financial vulnerabilities. In this context, the aim of the study is to examine the relationship between central bank reserves and exchange rate volatility in Turkey using monthly data for the period 2002:01-2021:06. In the study, central bank reserves are discussed in two aspects as gross reserves and net reserves. Exchange rate volatility was calculated using CPI-based real effective exchange rate data and moving average-based standard deviation method. In the study, the stationarity of the series was tested using traditional ADF and PP unit root tests and Zivot-Andrews unit root tests that take into account structural breaks. The causality relationship between the variables was examined by Toda-Yamamoto causality analysis. As a result of the findings, there was a bidirectional relationship between exchange rate volatility and central bank net reserves, while a unidirectional relationship was found from central bank gross reserves to exchange rate volatility.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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