Dollarization and Risk Premium in a Risky Country:  An Investigation on Turkiye

Murat Eren; Selim Başar; Bengü Tosun

Makale detayları

Dollarization and Risk Premium in a Risky Country: An Investigation on Turkiye

Yazarlar:

Murat Eren | Selim Başar | Bengü Tosun

Yayıncı:

Istanbul University

Ana Başlıklar:

İşletme

Dergi:

İstanbul İktisat Dergisi Vol.72 Issue 2, pp.625-651

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001282618

pISSN:

2602-4152

Anahtar kelimeler:

Özet:

 In this study, developed from the importance of the deformation caused by dollarization in developing countries, the effect of risk level on financial dollarization is examined. In the research conducted for Turkey, one of the riskiest countries in the world according to the five-year Credit Default Swaps CDS premium values as of the date of the study, weekly data between the period of December 14, 2012 and February 11, 2022 are used to determine the effect of the risk level for short periods. The relationship between variables is examined using the Fourier Cointegration Test FSHIN cointegration test and the Dynamic Least Squares DOLS estimator. The findings show that country risk, exchange rate, and domestic currency deposit interest rates affect financial dollarization positively, while foreign currency deposit interest rates affect it negatively. The study carried out for Turkey sheds light on the factors that should be considered in high-risk countries facing the dollarization problem and presents policy recommendations for developing countries in this direction.

 In this study, developed from the importance of the deformation caused by dollarization in developing countries, the effect of risk level on financial dollarization is examined. In the research conducted for Turkey, one of the riskiest countries in the world according to the five-year Credit Default Swaps CDS premium values as of the date of the study, weekly data between the period of December 14, 2012 and February 11, 2022 are used to determine the effect of the risk level for short periods. The relationship between variables is examined using the Fourier Cointegration Test FSHIN cointegration test and the Dynamic Least Squares DOLS estimator. The findings show that country risk, exchange rate, and domestic currency deposit interest rates affect financial dollarization positively, while foreign currency deposit interest rates affect it negatively. The study carried out for Turkey sheds light on the factors that should be considered in high-risk countries facing the dollarization problem and presents policy recommendations for developing countries in this direction.

 In this study, developed from the importance of the deformation caused by dollarization in developing countries, the effect of risk level on financial dollarization is examined. In the research conducted for Turkey, one of the riskiest countries in the world according to the five-year Credit Default Swaps CDS premium values as of the date of the study, weekly data between the period of December 14, 2012 and February 11, 2022 are used to determine the effect of the risk level for short periods. The relationship between variables is examined using the Fourier Cointegration Test FSHIN cointegration test and the Dynamic Least Squares DOLS estimator. The findings show that country risk, exchange rate, and domestic currency deposit interest rates affect financial dollarization positively, while foreign currency deposit interest rates affect it negatively. The study carried out for Turkey sheds light on the factors that should be considered in high-risk countries facing the dollarization problem and presents policy recommendations for developing countries in this direction.

 Gelişmekte olan ülkelerde dolarizasyonun neden olduğu deformasyonun öneminden yola çıkılarak geliştirilen bu çalışmada, para politikası, döviz kuru ve risk düzeyinin finansal dolarizasyon üzerindeki etkileri incelenmiştir. Çalışma tarihi itibariyle dünyanın en riskli ülkesi olan Türkiye için gerçekleştirilen araştırmada, risk seviyesinin kısa dönemler için etkisini belirlemek amacıyla haftalık veriler kullanılmıştır. Değişkenler arasındaki ilişki FSHIN eşbütünleşme testi ve DOLS tahmincisi kullanılarak incelenmiştir. Bulgular, ülke riski, döviz kuru ve yerli para mevduat faiz oranlarının finansal dolarizasyonu olumlu, yabancı para mevduat faiz oranlarının ise olumsuz etkilediğini göstermektedir. Makalenin özgünlüğü, yüksek riskli bir ülke için dolarizasyonun ekonomik göstergeler ve kısa dönemli riskler dikkate alınarak incelenmesinde yatmaktadır. Buna göre dolarizasyon, riskler ve ekonomi politikaları arasındaki ilişkiye ilişkin literatürdeki boşluğun doldurulması amaçlanmaktadır.

Makale detayları

Dollarization and Risk Premium in a Risky Country: An Investigation on Turkiye

Yazarlar:

Murat Eren | Selim Başar | Bengü Tosun

Yayıncı:

Istanbul University

Ana Başlıklar:

İşletme

Dergi:

İstanbul İktisat Dergisi Vol.72 Issue 2, pp.625-651

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001282618

pISSN:

2602-4152

Dollarization

Credit Default Swaps

Risk Level

Monetary Policy

Dolarizasyon

Kredi Temerrüt Takasları

Risk Seviyesi

Para Politikası

Sayı

Makale detayları

Yazarlar: Murat Eren | Selim Başar | Bengü Tosun

Yayıncı: Istanbul University

Ana Başlıklar: İşletme

Dergi: İstanbul İktisat Dergisi Vol.72 Issue 2, pp.625-651

Belge Tipi: Makale

Yayın Tarihi: 1/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001282618

pISSN: 2602-4152

Sayı

Yazarlar:

Murat Eren | Selim Başar | Bengü Tosun

Yayıncı:

Istanbul University

Ana Başlıklar:

İşletme

Dergi:

İstanbul İktisat Dergisi Vol.72 Issue 2, pp.625-651

Belge Tipi:

Makale

Yayın Tarihi:

1/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001282618

pISSN:

2602-4152