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De Jure ve De Facto kur rejimlerinin makroekonomik değişkenlerin oynaklığına etkisi

Author

Listed:
  • A. Duygu AYHAN

    (Dokuz Eylül Üniversitesi)

  • Adnan KASMAN

    (Dokuz Eylül Üniversitesi)

Abstract

Kur rejimi tercihi, en önemli makroekonomik politikalardan biridir. Bu çalışma, Türkiye'de 1982-2007 dönemi için kur rejimlerinin makroekonomik değişkenlerin oynaklığına etkisini "de jure" ve "de facto" kur rejimleri sınıflandırması kapsamında incelemektedir. Çalışmada, yinelenen birikimli kareler toplamı algoritması kullanılarak yapısal kırılmalı simetrik ve asimetrik koşullu varyans modelleri tahmin edilmiştir. Elde edilen bulgular, ihracat, ithalat, toplam kredi hacmi ve hisse senedi fiyat endeksi oynaklığının de jure kur rejimlerinden; döviz rezervleri, nominal döviz kuru, reel döviz kuru, ihracat ve toplam Türk Lirası mevduat oynaklığının ise, de facto kur rejimlerinden etkilendiğini göstermektedir. Bu bulgular, "de jure kur rejimi yansızlığı" ya da "de facto kur rejimi yansızlığı"nın olmadığını ortaya koymaktadır.

Suggested Citation

  • A. Duygu AYHAN & Adnan KASMAN, 2009. "De Jure ve De Facto kur rejimlerinin makroekonomik değişkenlerin oynaklığına etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(278), pages 46-69.
    • Handle: RePEc:iif:iifjrn:v:24:y:2009:i:278:p:46-69
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    More about this item

    Keywords

    Kur rejimleri; makroekonomik değişkenlerin oynaklığı; oynaklıkta kırılma(lar);
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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