Buradasınız

Anasayfa » Content

Döviz Kurları Öngörüsünde Parasal Model ve Arima Modelleri: Türkiye Örneği

Journal Name:

  • Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

Publication Year:

  • 2007

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study by using the monetary approach which is a structural model and a rival to the structural models the ARIMA model which is one of the time series analyzing method that was developed to forecasting the foreign exchange has been aimed to compare the forecasting powers of the two methods and the foreign exchange rate forecasting of Turkey. In order to realize this, for the period of 1980-2001, the monthly real foreign exchange rate datas have been used related to the Turkish Liras and the five countries which Turkey has the most trade with. (U.S.A, Germany, England, France, Italy). The datas belong to variables have been got from the data bases of the International Financial Statistics (IFS) and the OECD Main Economic Indicators. As the series monthly, they have been used in the analysis after being purified from the seasonal effect and taking their natural loga¬rithm. In all of the analysis, it was utilized from the Econometric Views packet pro¬gram. As comparing the forecasting powers of the two models, firstly utilized from the error terms statistics. Also to learn which model is better the regression coef¬ficient of the forecasting values directed ex post and the real values have been tested by investigating. At the end of the all analysis that has been done, it has been concluded that the ARIMA model's forecasting power is better according to the monetary model.
Bookmark/Search this post with
Abstract (Original Language): 
Bu çalışma ile döviz kuru öngörüsü için geliştirilen, yapısal modellerden parasal yaklaşım modeli ile yapısal modellere rakip olan zaman serisi analizi yöntemlerinden ARIMA modeli kullanılarak Türkiye için döviz kuru öngörüsü yapılması ve bu iki yön¬temin öngörü güçlerinin karşılaştırılması amaçlanmıştır. Bunu gerçekleştirmek için 1980-2001 dönemi için Türkiye'nin en fazla ticaret yaptığı beş ülke (A.B.D., Almanya, İngiltere, Fransa, İtalya) ile Türk lirasına ilişkin reel döviz kurunun aylık verileri kul¬lanılarak parasal yaklaşım modeli ve zaman serisi modellerine dayanan döviz kuru ön¬görüleri tahmin edilmiştir. Bu iki modelin öngörü güçlerinin karşılaştırması sonucunda parasal modeldeki değişkenlerin döviz kurunu açıklamada etkisi olduğu görülmesine karşın, ARIMA modelinin Parasal modele göre öngörü gücünün daha iyi olduğu sonucu¬na varılmıştır.
FULL TEXT (PDF): 
PDF icon arastirmax-doviz-kurlari-ongorusunde-parasal-model-arima-modelleri-turkiye-ornegi.pdf
  • 13
211
231
  • Turkish

REFERENCES

References: 

Bilson, J.
(1978), "The Monetary Approach to the Exchange Rate: Some Empirical
Evidence", IMF Staff Papers, No. 25: 48-75. Box, G.P. and G.M. Jenkins, (1970), Time Series Analysis: Forecasting and Control, Holden-
day.
Çavuşoğlu,
A.T. (1997), "Sticky-Price Monetary of Exchange Rate: A Cointegration
Analysis", ERC Araştırma Raporları, No. 97: 15-19. Civcir, İ. (2003), "The Long-run Validity of Monetary Exchange Rate Model for a High
Inflation Country and Misalignment: The Case of Turkey", Forthicoming in Russian and
East European Finance and Trade, 23:1-19. Civcir, İ. (2004), "The monetary model of the exchange rate under high inflation: Long-run
relationship and misalignment of Turkish Lira", Emerging Market Finance and Trade,
Vol. 40 (4) : 87-102.
Diamandis, P.F. vd, (1998), The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability, Journal of Macroeconomics, Vol. 20, No. 4: 741-766.
Dornbusch, R. (1976), "Exchange Rate Expectations and Monetary Policy", Journal of International Economics, Vol. 6, No. 2: 231-244.
Dornbusch, R. (1980), "Exchange Rate Economics: Where Do We Stand?", Brookings Paper on Economic Activity, Washington, D.C.: 144-151.
Dülger, F. ve M.F.Cin, (2002), "Türkiye'de Döviz Kuru Dinamiklerinin Belirlenmesinde Para-salcı Yaklaşım ve Eşbütünleşme Analiziyle Sınama", ODTÜ Gelişme Dergisi, 29(1-2): 47¬68.
Enders, W.
(2004), Applied Econometric Time Series, Second Edition, John Wiley &Sons,
Inc. NJ, USA.
Eren, E.; 1992, Makro İktisat, Bursa: Ezgi Kitapevi.
Frenkel, J.A. (1976), "A Monetary Approach to The Exchange Rate: Doctrinal Aspects and
Emprical Evidence", Scandinavian Journal of Economics, Vol. 78: 200-224. Frenkel, J.A. (1980), "Exchange Rates, Prices and Money: Lessons From The 1920's",
American Economic Review, Vol. 70, No. 2: 235-42. Frenkel, J.A. (1981), "On The Mark: Reply", American Economic Review, Vol. 71: 1079-1085. Frenkel, J.A. (1984), "Tests of Monetary of Portfolio Balance Models of Exchange Rate
Determination", Exchange Rate Theory and Practice, J.F.O.Bilson and R.C.Marston
(eds.), Chicago: Chicago University Press.
Frenkel,
J.A. (1995), On Thie Mark: A Thieory of Floating Exchange Rates Based on Real
Interest Differantial, On Exchiange Rates, MIT Press. Gujarati, D.N. (2003), Basic Econometrics, fourth edition, McGraw Hill, Irwin..
Döviz Kurları Öngörüsünde Parasal Model ve Arima ModellerL.231
Haynes, S. E. and J. A. Stone, (1981), "On The Mark: Comment", American Economic
Review, Vol. 71, No. 5: 1060-1067.
Kennedy, P. (1998), A Guide to Econometrics, The MIT Press, Cambridge Massachusetts. Kouri, P.J.K. (1976), "The Exchange Rate and The Balance of Payments in The Shor Run and in the Long Run : A Monetary Approach", Scandinavian Journal of Economics, Vol. 78:
280-304.
Mussa, M. (1976), "The Exchange Rate, The Balance of Payments Monetary And Fiscal Policy Under A Rejime of Controlled Floating", Scandinavian Journal of Economics, Vol.
78: 229-248.
Pindyck, R.S. and D.L. Rubinfeld,
(1991)
, Econometric Models and Economic Forecast, Third
Edition, McGraw-Hill, Inc., A.B.D.
Seyidoğlu,
H. (2001),
Uluslararası
İktisat, İstanbul: Güzem Yayınları.
Tobin, J.
(1980), "The Short-Run Macroeconomics of Floating Exchange Rates: An Exposition", Flexible Exchange Rates and the Balance of Payments, In John S. Chipman and Charles P. Kindelberger (eds.), with Jorge Braga de Macedo, North-Holland: 20-29

Thank you for copying data from http://www.arastirmax.com