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Türkiye’de Altın Rezervi ve Döviz Kuru İlişkisinin Fourier Yaklaşımı ile Test Edilmesi

Year 2021, Volume: 10 Issue: 2, 1728 - 1742, 30.06.2021
https://doi.org/10.15869/itobiad.826859

Abstract

Altın rezervleri, riskleri azaltma ve ekonomik gücü simgelemesi noktasında önemli bir tampon görevindedir. Politik ve ekonomik çalkantı dönemlerinde, yatırımcılar açısından portföy riskinin azaltılması ve servetin koruması noktasında, altın rezervleri etkili bir araç haline gelmektedir. Bugün dünyada, altın hala çoğu merkez bankasının döviz rezervinin bir parçası olmakla birlikte, ülkelerin ekonomik gücünü gösteren simge niteliğindedir. Döviz kuru, yabancı rezervleri etkileyen önemli değişkenlerden biridir. Döviz kurunun değerlenmesi, yerli para biriminin değer kaybetmesi anlamına gelmektedir. Bu durum, Merkez Bankası rezerv talebinin artmasına neden olmaktadır. Bu çalışmada, Türkiye’deki altın rezervi ve döviz kuru ilişkisi ele alınmıştır. 2008:01-2019:12 aylık verilerin ele alındığı çalışmanın, literatürde bu konuda ciddi boşluk olması ve güncel teknikleri kullanarak iktisadi ilişkiyi açıklaması açısından, literatüre önemli katkı sağlayacağı düşünülmektedir. Ayrıca çalışmada, birim kök ve eşbütünleşme ilişkisi incelemelerinde, güncel bir yöntem olan Fourier yaklaşımları kullanılmıştır. Fourier ADF ve Fourier KSS testleriyle birim kök incelemesi yapılmıştır. Modelde kullanılan değişkenlerin seviye itibariyle değil de, fark itibariyle durağan olduğu sonucuna ulaşılmıştır. Serilerin fark itibariyle durağan olduğu anlaşıldıktan sonra, Fourier eşbütünleşme testiyle de eşbütünleşme ilişkisinin varlığı sınanmıştır. Yapılan analizler sonucunda, uluslararası rezervler ile döviz kuru arasında, eşbütünleşme ilişkisinin varlığı olduğu ispatlanmıştır. Yani döviz kurunda meydana gelen değişmelerin, uluslararası rezervleri uzun dönemde etkilediği sonucuna ulaşılmıştır. Çalışmada birim kök ve eşbütünleşme ilişkisinin varlığı sınandıktan sonra, son aşamada dols tahmin yöntemiyle, model tahminine yer verilmiştir. Model tahmini sonucunda, kur ve rezerv arasında doğru yönlü ilişki olduğu tespit edilmiştir. Buna göre teorik olarak, modelde anlamlı sonuçlara ulaşılmıştır. Sonuç olarak yapılan analiz neticesinde, döviz kurlarında meydana gelen artışın, altın rezervlerini arttırdığı sonucuna ulaşılmıştır.
Anahtar Kelimeler: Altın Rezervi, Döviz Kuru, Fourier ADF, Fourier KSS, Fourier Eşbütünleşme, Türkiye

References

  • Abdullateef, U. ve Waheed, I. (2010). External Reserve Holdings in Nigeria: İmplications for Investment, Inflation and Exchange Rate. Journal of Economics and International finance, 2(9), 183-189.
  • Aizenman, J. ve Sun, Y. (2012). The Financial Crisis and Sizable İnternational Reserves Depletion: From ‘Fear of Floating’to the ‘Fear of Losing İnternational Reserves’?. International Review of Economics & Finance, 24, 250-269.
  • Aizenman, J. ve Inoue, K. (2013). Central Banks and Gold Puzzles. Journal of the Japanese and International Economies, 28, 69-90.
  • Akpan, A. U. (2016). Foreign Reserves Accumulation and Macroeconomic Environment: The Nigerian Experience (2004-2014). International Journal of Economics and Finance Studies, 8(1), 26-47.
  • Archer, D. ve Halliday, J. (1998). Rationale for Holding Foreign Currency Reserves. Reserves Bank of New Zealand Bulletin, 61(4), 347-51.
  • Aşarkaya, A. (2013). Dünyada ve Türkiye’de Altın Piyasası. İş Bankası İktisadi Araştırmalar Bölümü. https://ekonomi.isbank.com.tr/ContentManagement/Documents/ar_08_2013.pdf
  • ATO (2020). Günlük Basın Özetleri. https://www.ankaratb.org.tr/lib_upload/30.10.20%20Bas%C4%B1n%20Oezeti.pdf
  • Azar, S. A. ve Aboukhodor, W. (2017). Foreign Exchange Reserves and the Macro-economy in the GCC Countries. Accounting and Finance Research, 6(3), 72-87.
  • Azeem, M. ve Khurshid, M. (2019). Impact of Macroeconomic Variables on Foreign Exchange Reserves: A Case From Pakistan. Economic Journal of Emerging Markets, 11(2), 173-182.
  • Bastourre, D., Carrera, J. ve Ibarlucia, J. (2009). Why Countries Accumulate Foreign Reserves? A Dynamic Panel Approach. Review of International Economics, 17(4), 861-877.
  • Bayat, T., Şentürk, M., ve Kayhan, S. (2014). Exchange Rates and Foreign Exchange Reserves in Turkey: Nonlinear and Frequency Domain Causality Approach. Theoretical & Applied Economics, 21(11), 27-42.
  • Bayram, K., Abdullah, A. ve Meera, A. K. (2018). Identifying the optimal level of gold as a reserve asset using Black–Litterman model. https://www.researchgate.net/publication/323526589_Identifying_the_optimal_level_of_gold_as_a_reserve_asset_using_Black-Litterman_model_The_case_for_Malaysia_Turkey_KSA_and_Pakistan/link/5aa60b960f7e9badd9ab630a/download
  • Becker, R., Enders, W., ve Lee, J. (2006). A Stationarity Test In The Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Christopoulos, D. K. ve Miguel A. L. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates, Journal of International Money and Finance, 29(6), 1076-1093.
  • Çeştepe, H., ve Güdenoğlu, E. (2020). Türkiye’de Döviz Rezervleri ve Döviz Kuru Arasındaki Asimetrik İlişki: NARDL Yaklaşımı Bulguları. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 231-251.
  • Destek, M. A. ve Okumuş, İ. (2016). Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği. Gaziantep University Journal of Social Sciences, 15(1), 73-87.
  • Engle, R. F. ve Granger, C. Wj. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251–276.
  • Erdoğan, L., Tiryaki, A., ve Ceylan, R. (2018). Türkiye'de Uzun Dönem Ekonomik Büyümenin Belirleyicilerinin ARDL, FMOLS, DOLS ve CCR Yöntemleriyle Tahmini. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(4), 39-57.
  • Gökhale, M. S. ve Raju, JV R. (2013). Causality Between Exchange Rate and Foreign Exchange Reserves in the Indian Context. Global Journal of Management and Business Research, 13(7), 7-12.
  • Gosselin, M. ve Parent, N. (2005). An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia (No. 2005-38). Bank of Canada. https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-38.pdf
  • Gülmez, A. ve Yardımcıoğlu, F. (2012). OECD Ülkelerinde Ar-Ge Harcamaları ve Ekonomik Büyüme İlişkisi: Panel Eşbütünleşme ve Panel Nedensellik Analizi (1990-2010). Maliye Dergisi, 163(1), 335-353.
  • Heller, H.R., (1996). Optimal International Reserves. The Economic Journal, 76(302), 296-311.
  • Irefin, D., ve Yaaba, B. N., (2011). Determinants of Foreign Reserves in Nigeria: an Autoregressive Distributed Lag Approach. CBN Journal of Applied Statistics, 2(2), 63-82.
  • Ito, H. ve McCauley, R. N., (2020). Currency Composition of Foreign Exchange Reserves. Journal of International Money and Finance, 102, 1-32.
  • Khan, K., Eatzaz, A., ve Kazmi, A. A. (2005). The Demand for International Reserves: A Case Study of Pakistan. The Pakistan Development Review, 44(4), 939–957.
  • Koutsoyiannis, A., (1983). A Short-Run Pricing Model of A Speculative Asset Tested With Data from The Gold Bullion Market. Journal of Applied Economics, 15(5), 563-582.
  • Ndikumana, L. ve Elhiraika, A. (2007). Reserves Accumulation in African Countries: Sources, Motivations, and Effects (No. 2007-12). University of Massachusetts Amherst, Department of Economics.
  • Nguyen, TK P., Nguyen, V. T., ve Hoang, TT H., (2019). The Impact of Foreign Reserves Accumulation on Inflation in Vietnam: An ARDL Bounds Testing Approach. In International Econometric Conference of Vietnam, Springer, Cham, 765-778.
  • Pedroni, P., (2000). Fully-Modified OLS for Heterogeneous Cointegrated Panels. Advances in Econometrics, 15, 93-130.
  • Pedroni, P. (2001). Purchasing Power Parity Tests In Cointegrated Panels. Review of Economics and Statistics, 83(4), 727-731.
  • Seyidoğlu, H. (2017). Uluslararası İktisat Teori Politika ve Uygulama, Güzem Can Yayınları, İstanbul.
  • TCMB (2020). Elektronik Veri Dağıtım Sistemi, https://evds2.tcmb.gov.tr/
  • Tsong, C.-C., Lee, C.-F., Tsai, Li-Ju ve Hu, Te-C., (2016). The Fourier Approximation and Testing For The Null of Cointegration, Empirical Economics, 51(3), 1085-1113.
  • Umeora, C. (2013). Effects of Foreign Direct Investment (FDI) on Economic Growth in Nigeria. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2285329
  • Vieira, F. V. ve Silva, C. G. (2019). The Role of International Reserves on Real Exchange Rate: A Panel ARDL Model Approach, https://www.anpec.org.br/encontro/2019/submissao/files_I/i7-e663d175e7e89c0a1f449df31cf14d87.pdf
  • Yasir, M., Shahzad, F., Ahmed, K. ve Sehrish, S. (2012). Relationship Among Exchange Rate, FDI And Foreign Exchange Reserves: An Empirical Investigation in case of Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 4(5), 225-232.
  • Yılancı, V. ve Eris, Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Forier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V. (2019). A Residual-Based Cointegration Test with a Fourier Approximation. https://mpra.ub.uni-muenchen.de/95395/1/MPRA_paper_95395.pdf
  • Yılancı, V. (2017). Petrol Fiyatları ile Ekonomik Büyüme Arasındaki İlişkinin İncelenmesi: Fourier Yaklaşimi, Ekonometri ve Istatistik Dergisi, (27), 51-67.
  • Yüksel, S. ve Özsari, M. (2017). Türkiye Cumhuriyet Merkez Bankası’nın Döviz Rezervlerine Etki Eden Makroekonomik Faktörlerin Belirlenmesi. Finans Politik & Ekonomik Yorumlar, 54(631), 41-53.

Testing Gold Reserve and Exchange Rate Relations in Turkey with Fourier Approach

Year 2021, Volume: 10 Issue: 2, 1728 - 1742, 30.06.2021
https://doi.org/10.15869/itobiad.826859

Abstract

Gold reserves act as an important buffer in terms of reducing risks and symbolizing economic power. In times of political and economic turmoil, gold reserves become an effective tool for investors to reduce portfolio risk and protect wealth. Today, although gold is still part of most central banks’ foreign exchange reserves, it is the symbol of economic power. Exchange rate is one of the important variables affecting reserves. Appreciation of the exchange rate means depreciation of the local currency. This situation causes an increase in the demand for Central Bank reserves. In this study, gold reserves and foreign exchange relations in Turkey is discussed. It is thought that the study, in which 2008:01 – 2019:12 months data is handled, will make a significant contribution to the literature in terms of the serious gap in the literature and explaining the economic relationship by using current techniques. In addition, Fourier approaches which are up-to-date methods are used to examine the unit root and cointegration relationship. Unit root analysis is carried out with Fourier ADF and Fourier CSR tests. It is concluded that the variables used in the model are stationary not by level but by difference. After understanding that the series are stationary by difference, the existence of the cointegration relationship is tested with the Fourier Cointegration test. As a result of the analysis, the existence of a cointegration relationship between international reserves and exchange rate is proved. After testing the existence of unit root and cointegration relationship, the model estimation is used with the dols estimation method at the last stage. As a result, a correct relationship between exchange rate and reserve is determined. Accordingly, theoretically, meaningful results are obtained in the model. As a result of the analysis, it is concluded that the increase in exchange rates increases the gold reserves.

References

  • Abdullateef, U. ve Waheed, I. (2010). External Reserve Holdings in Nigeria: İmplications for Investment, Inflation and Exchange Rate. Journal of Economics and International finance, 2(9), 183-189.
  • Aizenman, J. ve Sun, Y. (2012). The Financial Crisis and Sizable İnternational Reserves Depletion: From ‘Fear of Floating’to the ‘Fear of Losing İnternational Reserves’?. International Review of Economics & Finance, 24, 250-269.
  • Aizenman, J. ve Inoue, K. (2013). Central Banks and Gold Puzzles. Journal of the Japanese and International Economies, 28, 69-90.
  • Akpan, A. U. (2016). Foreign Reserves Accumulation and Macroeconomic Environment: The Nigerian Experience (2004-2014). International Journal of Economics and Finance Studies, 8(1), 26-47.
  • Archer, D. ve Halliday, J. (1998). Rationale for Holding Foreign Currency Reserves. Reserves Bank of New Zealand Bulletin, 61(4), 347-51.
  • Aşarkaya, A. (2013). Dünyada ve Türkiye’de Altın Piyasası. İş Bankası İktisadi Araştırmalar Bölümü. https://ekonomi.isbank.com.tr/ContentManagement/Documents/ar_08_2013.pdf
  • ATO (2020). Günlük Basın Özetleri. https://www.ankaratb.org.tr/lib_upload/30.10.20%20Bas%C4%B1n%20Oezeti.pdf
  • Azar, S. A. ve Aboukhodor, W. (2017). Foreign Exchange Reserves and the Macro-economy in the GCC Countries. Accounting and Finance Research, 6(3), 72-87.
  • Azeem, M. ve Khurshid, M. (2019). Impact of Macroeconomic Variables on Foreign Exchange Reserves: A Case From Pakistan. Economic Journal of Emerging Markets, 11(2), 173-182.
  • Bastourre, D., Carrera, J. ve Ibarlucia, J. (2009). Why Countries Accumulate Foreign Reserves? A Dynamic Panel Approach. Review of International Economics, 17(4), 861-877.
  • Bayat, T., Şentürk, M., ve Kayhan, S. (2014). Exchange Rates and Foreign Exchange Reserves in Turkey: Nonlinear and Frequency Domain Causality Approach. Theoretical & Applied Economics, 21(11), 27-42.
  • Bayram, K., Abdullah, A. ve Meera, A. K. (2018). Identifying the optimal level of gold as a reserve asset using Black–Litterman model. https://www.researchgate.net/publication/323526589_Identifying_the_optimal_level_of_gold_as_a_reserve_asset_using_Black-Litterman_model_The_case_for_Malaysia_Turkey_KSA_and_Pakistan/link/5aa60b960f7e9badd9ab630a/download
  • Becker, R., Enders, W., ve Lee, J. (2006). A Stationarity Test In The Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Christopoulos, D. K. ve Miguel A. L. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates, Journal of International Money and Finance, 29(6), 1076-1093.
  • Çeştepe, H., ve Güdenoğlu, E. (2020). Türkiye’de Döviz Rezervleri ve Döviz Kuru Arasındaki Asimetrik İlişki: NARDL Yaklaşımı Bulguları. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 7(1), 231-251.
  • Destek, M. A. ve Okumuş, İ. (2016). Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği. Gaziantep University Journal of Social Sciences, 15(1), 73-87.
  • Engle, R. F. ve Granger, C. Wj. (1987). Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251–276.
  • Erdoğan, L., Tiryaki, A., ve Ceylan, R. (2018). Türkiye'de Uzun Dönem Ekonomik Büyümenin Belirleyicilerinin ARDL, FMOLS, DOLS ve CCR Yöntemleriyle Tahmini. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(4), 39-57.
  • Gökhale, M. S. ve Raju, JV R. (2013). Causality Between Exchange Rate and Foreign Exchange Reserves in the Indian Context. Global Journal of Management and Business Research, 13(7), 7-12.
  • Gosselin, M. ve Parent, N. (2005). An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia (No. 2005-38). Bank of Canada. https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-38.pdf
  • Gülmez, A. ve Yardımcıoğlu, F. (2012). OECD Ülkelerinde Ar-Ge Harcamaları ve Ekonomik Büyüme İlişkisi: Panel Eşbütünleşme ve Panel Nedensellik Analizi (1990-2010). Maliye Dergisi, 163(1), 335-353.
  • Heller, H.R., (1996). Optimal International Reserves. The Economic Journal, 76(302), 296-311.
  • Irefin, D., ve Yaaba, B. N., (2011). Determinants of Foreign Reserves in Nigeria: an Autoregressive Distributed Lag Approach. CBN Journal of Applied Statistics, 2(2), 63-82.
  • Ito, H. ve McCauley, R. N., (2020). Currency Composition of Foreign Exchange Reserves. Journal of International Money and Finance, 102, 1-32.
  • Khan, K., Eatzaz, A., ve Kazmi, A. A. (2005). The Demand for International Reserves: A Case Study of Pakistan. The Pakistan Development Review, 44(4), 939–957.
  • Koutsoyiannis, A., (1983). A Short-Run Pricing Model of A Speculative Asset Tested With Data from The Gold Bullion Market. Journal of Applied Economics, 15(5), 563-582.
  • Ndikumana, L. ve Elhiraika, A. (2007). Reserves Accumulation in African Countries: Sources, Motivations, and Effects (No. 2007-12). University of Massachusetts Amherst, Department of Economics.
  • Nguyen, TK P., Nguyen, V. T., ve Hoang, TT H., (2019). The Impact of Foreign Reserves Accumulation on Inflation in Vietnam: An ARDL Bounds Testing Approach. In International Econometric Conference of Vietnam, Springer, Cham, 765-778.
  • Pedroni, P., (2000). Fully-Modified OLS for Heterogeneous Cointegrated Panels. Advances in Econometrics, 15, 93-130.
  • Pedroni, P. (2001). Purchasing Power Parity Tests In Cointegrated Panels. Review of Economics and Statistics, 83(4), 727-731.
  • Seyidoğlu, H. (2017). Uluslararası İktisat Teori Politika ve Uygulama, Güzem Can Yayınları, İstanbul.
  • TCMB (2020). Elektronik Veri Dağıtım Sistemi, https://evds2.tcmb.gov.tr/
  • Tsong, C.-C., Lee, C.-F., Tsai, Li-Ju ve Hu, Te-C., (2016). The Fourier Approximation and Testing For The Null of Cointegration, Empirical Economics, 51(3), 1085-1113.
  • Umeora, C. (2013). Effects of Foreign Direct Investment (FDI) on Economic Growth in Nigeria. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2285329
  • Vieira, F. V. ve Silva, C. G. (2019). The Role of International Reserves on Real Exchange Rate: A Panel ARDL Model Approach, https://www.anpec.org.br/encontro/2019/submissao/files_I/i7-e663d175e7e89c0a1f449df31cf14d87.pdf
  • Yasir, M., Shahzad, F., Ahmed, K. ve Sehrish, S. (2012). Relationship Among Exchange Rate, FDI And Foreign Exchange Reserves: An Empirical Investigation in case of Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 4(5), 225-232.
  • Yılancı, V. ve Eris, Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Forier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V. (2019). A Residual-Based Cointegration Test with a Fourier Approximation. https://mpra.ub.uni-muenchen.de/95395/1/MPRA_paper_95395.pdf
  • Yılancı, V. (2017). Petrol Fiyatları ile Ekonomik Büyüme Arasındaki İlişkinin İncelenmesi: Fourier Yaklaşimi, Ekonometri ve Istatistik Dergisi, (27), 51-67.
  • Yüksel, S. ve Özsari, M. (2017). Türkiye Cumhuriyet Merkez Bankası’nın Döviz Rezervlerine Etki Eden Makroekonomik Faktörlerin Belirlenmesi. Finans Politik & Ekonomik Yorumlar, 54(631), 41-53.
There are 40 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Havanur Ergün Tatar 0000-0002-4284-9083

Publication Date June 30, 2021
Published in Issue Year 2021 Volume: 10 Issue: 2

Cite

APA Ergün Tatar, H. (2021). Türkiye’de Altın Rezervi ve Döviz Kuru İlişkisinin Fourier Yaklaşımı ile Test Edilmesi. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 10(2), 1728-1742. https://doi.org/10.15869/itobiad.826859

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