Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States

Recep TARI, (Kocaeli Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Kocaeli, Türkiye)
Mehmet Çağrı GÖZEN (Kocaeli Üniversitesi, Kocaeli, Türkiye)
Ege Akademik Bakış
5 1
Yıl: 2018 Cilt: 18 Sayı: 3 Sayfa Aralığı: 423 - 434 Metin Dili: İngilizce DOI: 10.21121/eab.2018339491 İndeks Tarihi: 14-03-2019

Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States

Öz:
Turkish economy started to be liberated in thebeginning of 1980’s and gradually to be a part ofglobal economic and financial system. But as a resultof economic articulation of Turkey to the globalworld, global economic and financial headwindshave affected trade and economy especially viaexchange rates. Since Turkey is of ever-growingforeign trade volume with global economic worlddetermination of fluctuations in exchange rates hasincreased in importance. Due to global integrationof financial markets, inflow and outflow of foreignbonds could cause economic agents to changecurrency composition of foreign assets to reducethe risks arisen from exchange rates. This situationcan negatively affect exchange rates by fluctuatingthem. Aim of this study is to empirically investigatethe portfolio balance effect on exchange rates. Inthis context, different version of Cushman’s model(2007) using monthly bilateral data of Turkeyand U.S. covering the period 2006-2016 will beemployed and portfolio balance approach to theexchange rates determination will be tested byperforming cointegration test allowing for multiplestructural breaks.
Anahtar Kelime:

Konular: İşletme İktisat Uluslararası İlişkiler

Döviz Kurlarının Belirlenmesinde Portföy Yaklaşımı: Türkiye ve ABD’nin Karşılıklı Verilerini Kullanarak Bir Modelin Test Edilmesi

Öz:
Türkiye ekonomisi 1980’li yılların başında serbestleşmeye ve küresel ekonominin ve finansal sistemin bir parçası olmaya başladı. Türkiye’nin dünya ekonomisine eklemlenmesinin bir sonucu olarak, küresel iktisadi ve finansal dalgalanmalar, özellikle döviz kurları aracılığıyla, Türkiye’nin dış ticaretini ve ekonomisini etkilemektedir. Türkiye küresel ekonomi ile birlikte sürekli büyüyen bir dış ticaret hacmine sahip olduğu için döviz kurlarındaki dalgalanmaların belirlenmesinin önemi artmaktadır. Finansal piyasalardaki küresel entegrasyondan dolayı yabancı fonların yurt içine giriş ve çıkışları iktisadi birimlerin, döviz kurları tarafından oluşturulan risklerin azaltılması amacıyla, yabancı varlıklarının döviz kompozisyonlarını değiştirmesine neden olabilmektedir. Bu durum döviz kurlarını olumsuz yönde etkileyebilmektedir. Bu çalışmanın amacı döviz kurları üzerindeki portföy dengesi etkisini incelemektir. Bu bağlamda, Cushman (2007) tarafından kullanılan modelin farklı bir versiyonundan faydalanılarak, Türkiye ve ABD’ye ait 2006-2016 dönemini kapsayan karşılıklı aylık veriler kullanılmıştır. Döviz kurlarını belirlemede portföy dengesi yaklaşımı çoklu yapısal kırılmaya izin veren eşbütünleşme testi ile sınanmıştır.
Anahtar Kelime:

Konular: İşletme İktisat Uluslararası İlişkiler
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA TARI R, Gözen M (2018). Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. , 423 - 434. 10.21121/eab.2018339491
Chicago TARI RECEP,Gözen Mehmet Çağrı Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. (2018): 423 - 434. 10.21121/eab.2018339491
MLA TARI RECEP,Gözen Mehmet Çağrı Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. , 2018, ss.423 - 434. 10.21121/eab.2018339491
AMA TARI R,Gözen M Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. . 2018; 423 - 434. 10.21121/eab.2018339491
Vancouver TARI R,Gözen M Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. . 2018; 423 - 434. 10.21121/eab.2018339491
IEEE TARI R,Gözen M "Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States." , ss.423 - 434, 2018. 10.21121/eab.2018339491
ISNAD TARI, RECEP - Gözen, Mehmet Çağrı. "Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States". (2018), 423-434. https://doi.org/10.21121/eab.2018339491
APA TARI R, Gözen M (2018). Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. Ege Akademik Bakış, 18(3), 423 - 434. 10.21121/eab.2018339491
Chicago TARI RECEP,Gözen Mehmet Çağrı Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. Ege Akademik Bakış 18, no.3 (2018): 423 - 434. 10.21121/eab.2018339491
MLA TARI RECEP,Gözen Mehmet Çağrı Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. Ege Akademik Bakış, vol.18, no.3, 2018, ss.423 - 434. 10.21121/eab.2018339491
AMA TARI R,Gözen M Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. Ege Akademik Bakış. 2018; 18(3): 423 - 434. 10.21121/eab.2018339491
Vancouver TARI R,Gözen M Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States. Ege Akademik Bakış. 2018; 18(3): 423 - 434. 10.21121/eab.2018339491
IEEE TARI R,Gözen M "Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States." Ege Akademik Bakış, 18, ss.423 - 434, 2018. 10.21121/eab.2018339491
ISNAD TARI, RECEP - Gözen, Mehmet Çağrı. "Portfolio Balance Approach to Exchange Rate Determination: Testing a Model by Applying Bilateral Data of Turkey and United States". Ege Akademik Bakış 18/3 (2018), 423-434. https://doi.org/10.21121/eab.2018339491
Sayfa Oluşturulma Tarihi
23-04-2024 7:28

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