(A)SYMMETRIC DOLARIZATION CASE: VAR ANALYSIS AND HATEMI-J ASYMMETRIC TEST

Rümeysa Erkan; Emin Ertürk

Makale detayları

(A)SYMMETRIC DOLARIZATION CASE: VAR ANALYSIS AND HATEMI-J ASYMMETRIC TEST

Yazarlar:

Rümeysa Erkan | Emin Ertürk

Yayıncı:

Pamukkale University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 60, pp.269-280

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001309980

pISSN:

1308-2922

Anahtar kelimeler:

Özet:

 The purpose of this study is to first determine the source of the dollarization rate in terms of the inflation rate expected and actual, exchange rate expected and actual, CDS premium and the interest rate applied to TL deposits, and then to examine the asymmetric structure of the dollarization rate. For this purpose, Var Analysis and Hatemi-J Asymmetric Causality analysis were applied by using monthly data from 2013:01 to 2023:04. According to the Decomposition of Variance, which examines the sources of dollarization, it was concluded that the most effective variable on the dollarization rate in the Turkish economy was the exchange rate 19.8. On the other hand, according to the asymmetric causality analysis, in which the causality relationship between variables is examined, there is a symmetrical causality relationship between dollarization rate and exchange rate, inflation rate and risk premium, while there is no causality relationship between dollarization rate and interest rate. Thus, a decrease in the exchange rate expected and actual, inflation rate expected and actual and the risk premium are a cause of a decrease in the dollarization rate or reverse dollarization. Based on this, it is seen that the expected and actual values give similar results.

 The purpose of this study is to first determine the source of the dollarization rate in terms of the inflation rate expected and actual, exchange rate expected and actual, CDS premium and the interest rate applied to TL deposits, and then to examine the asymmetric structure of the dollarization rate. For this purpose, Var Analysis and Hatemi-J Asymmetric Causality analysis were applied by using monthly data from 2013:01 to 2023:04. According to the Decomposition of Variance, which examines the sources of dollarization, it was concluded that the most effective variable on the dollarization rate in the Turkish economy was the exchange rate 19.8. On the other hand, according to the asymmetric causality analysis, in which the causality relationship between variables is examined, there is a symmetrical causality relationship between dollarization rate and exchange rate, inflation rate and risk premium, while there is no causality relationship between dollarization rate and interest rate. Thus, a decrease in the exchange rate expected and actual, inflation rate expected and actual and the risk premium are a cause of a decrease in the dollarization rate or reverse dollarization. Based on this, it is seen that the expected and actual values give similar results.

 The purpose of this study is to first determine the source of the dollarization rate in terms of the inflation rate expected and actual, exchange rate expected and actual, CDS premium and the interest rate applied to TL deposits, and then to examine the asymmetric structure of the dollarization rate. For this purpose, Var Analysis and Hatemi-J Asymmetric Causality analysis were applied by using monthly data from 2013:01 to 2023:04. According to the Decomposition of Variance, which examines the sources of dollarization, it was concluded that the most effective variable on the dollarization rate in the Turkish economy was the exchange rate 19.8. On the other hand, according to the asymmetric causality analysis, in which the causality relationship between variables is examined, there is a symmetrical causality relationship between dollarization rate and exchange rate, inflation rate and risk premium, while there is no causality relationship between dollarization rate and interest rate. Thus, a decrease in the exchange rate expected and actual, inflation rate expected and actual and the risk premium are a cause of a decrease in the dollarization rate or reverse dollarization. Based on this, it is seen that the expected and actual values give similar results.

 Çalışmanın amacı, öncelikle enflasyon oranı beklenen ve gerçekleşen, döviz kuru beklenen ve gerçekleşen, CDS primi ve TL cinsinden mevduata uygulanan faiz oranı açısından dolarizasyon oranının kaynağını tespit etmek ve sonrasında ise dolarizasyon oranının asimetrik yapısını incelemektir. Bu amaçla 2013:01 ile 2023:04 dönemine ait aylık veriler kullanılarak VAR Analizi ve Hatemi-J Asimetrik Nedensellik testi uygulanmıştır. Dolarizasyonun kaynaklarının incelendiği Varyans Ayrıştırmasına göre, Türkiye ekonomisinde dolarizasyon oranı üzerinde en etkili olan değişkenin döviz kuru 19.8 olduğu sonucuna varılmıştır. Diğer taraftan, değişkenler arası nedensellik ilişkisinin incelendiği asimetrik nedensellik analizine göre, dolarizasyon oranı ile döviz kuru, enflasyon oranı ve risk primi arasında simetrik bir nedensellik ilişkisi var iken, dolarizasyon oranı ile faiz oranı arasında ise herhangi bir nedensellik ilişkisi söz konusu değildir. Dolayısıyla döviz kuru beklenen ve gerçekleşen, enflasyon oranı beklenen ve gerçekleşen ve risk primindeki bir düşüş dolarizasyon oranının azalmasının veya tersine dolarizasyonun bir nedenidir. Buradan hareketle, beklenen ve gerçekleşen değerlerin benzer sonucu verdiği görülmektedir.

Makale detayları

(A)SYMMETRIC DOLARIZATION CASE: VAR ANALYSIS AND HATEMI-J ASYMMETRIC TEST

Yazarlar:

Rümeysa Erkan | Emin Ertürk

Yayıncı:

Pamukkale University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 60, pp.269-280

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001309980

pISSN:

1308-2922

Dollarization rate

Variance decomposition

Hatemi-J asymmetric causality analysisDolarizasyon oranı

Varyans ayrıştırması

Hatemi-J nedensellik analizi

Sayı

Makale detayları

(A)SYMMETRIC DOLARIZATION CASE: VAR ANALYSIS AND HATEMI-J ASYMMETRIC TEST

Yazarlar: Rümeysa Erkan | Emin Ertürk

Yayıncı: Pamukkale University

Ana Başlıklar: Uluslararası Finans

Dergi: Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 60, pp.269-280

Belge Tipi: Makale

Yayın Tarihi: 1/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001309980

pISSN: 1308-2922

Dollarization rate

Variance decomposition

Hatemi-J asymmetric causality analysisDolarizasyon oranı

Varyans ayrıştırması

Hatemi-J nedensellik analizi

Sayı

Yazarlar:

Rümeysa Erkan | Emin Ertürk

Yayıncı:

Pamukkale University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Issue 60, pp.269-280

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001309980

pISSN:

1308-2922