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Makale Geliş Tarihi / Received
: 30.11.2020
DOI: 10.21076/vizyoner.832853
Makale Kabul Tarihi / Accepted
: 08.06.2021
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
REEL DÖVİZ KURLARI ÜZERİNDEKİ ŞOKLAR GEÇİCİ Mİ, KALICI MI? DALGACIK
TABANLI BİRİM KÖK TESTLERİ İLE KIRILGAN SEKİZLİ ÜLKELERİ İÇİN BİR
UYGULAMA
ARE SHOCKS ON REAL EXCHANGE RATES TEMPORARY OR PERMANENT? AN
APPLICATION FOR THE FRAGILE EIGHT COUNTRIES BY WAVELET-BASED UNIT
ROOT TESTS
Dr.
1
ÖZ
,
, 1994 Ocak - 2020
Fourier
.
Anahtar Kelimeler:
JEL Sınıflandırma Kodları: F31, F41, C22.
ABSTRACT
In the study, it is investigated whether the effects of shocks to real exchange rates in the fragile eight countries are temporary
or permanent by wavelet-based unit root tests. In this context, the time range of the data used covers the period between 1994
January - 2020 August. Firstly, linearity tests are performed on the real exchange rates of the selected countries. Within the
framework of the results, the wavelet-based nonlinear FWKSS and WKSS tests are applied to the nonlinear series. The Fourier
term is not found to be significant for all countries. Therefore, it is seen that the FWKSS unit root test results cannot be
interpreted for all countries. This result shows that the WKSS unit root test should be used for countries. According to the
results of the WKSS test, only the real exchange rates of Argentina and South Africa are stationary at 10% significance level,
while the others have unit-roots. According to the results, the effects of shocks on the real exchange rate are temporary for
Argentina and South Africa. However, the effects of the shock in the real exchange rate are found to be permanent for Brazil,
Chile, India, Indonesia, Russia and Turkey.
Keywords: Real Exchange Rates, Permanent and Temporary Shocks, Wavelet-Based Unit Root Tests.
JEL Classification Codes: F31, F41, C22.
1
, mademir@kastamonu.edu.tr
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Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
EXTENDED SUMMARY
Purpose and Scope:
Shocks affecting real and nominal exchange rates are generally referred to as real and nominal shocks in the international
economic literature. The sources of permanent and temporary shocks on exchange rates have been a lengthy topic in
international economies. Many arguments show that macroeconomic shocks perform a key role in understanding the evaluation
of real exchange rates. At this point, another important issue is the purchasing power parity (PPP) hypothesis. PPP is the ratio
of the purchasing power of a country's currency to the purchasing power of another country's currency. If the PPP hypothesis
is valid, the real exchange rate remains in stable equilibrium in the long run. Deviations in the real exchange rate indicate that
there are deviations from PPP. From this point of view, studies on real exchange rates can be regarded as identical with the
studies that test the PPP hypothesis. At this point, considering the effects of shocks on the real exchange rate, if the real
exchange rate series includes unit root, the effects of shocks on real exchange rates are permanent and the PPP hypothesis is
invalid. In cases of shocks occurring in a variable that is temporary and permanent, a price variable is analyzed econometrically
by unit root tests. Therefore, since the exchange rate is also a price variable, it is examined econometrically by unit root tests
whether the shocks occurring in a variable are temporary and permanent. If the real exchange rate data series is stationary, the
shocks in the exchange rate are temporary, and vice versa, it is nonstationary, meaning shocks are permanent. Therefore, the
purpose of this study is to examine whether the effects of economic shocks on real exchange rates in the fragile eight countries
are permanent or temporary with wavelet-based unit root tests.
Design/methodology/approach:
If a variable is stationary, that is, if the effects of shocks are temporary, it is possible to obtain predictive values of such a
variable. On the other hand, it is not possible to make future predictions for a non-stationary variable where the effects of
shocks are permanent. Time series analysis can be performed in two different dimensions. The first of these is time and the
second is the frequency dimension. Almost all of the unit root tests in the literature perform time-scale analysis. However,
ignoring the frequency information may cause the results to be deviated, especially for high-frequency time series. Therefore,
wavelet-based unit r
(2019b) introduced the first unit root test that allows wavelet-based nonlinear and soft structural breaks in the literature. In time
series, sometimes the stationarity may not be I (0) or I (1) but in the form of fractional numbers 0 <d <1. The hyperbolic
reduction in autocorrelation functions of high-frequency time series, long-term dependency, and tendency to slow average is
defined as long memory properties. Therefore, fractional unit root tests can be used in a series with a long memory feature. In
the study, GPH (Geweke Porter Hudak) fractional unit root test (1983) was conducted to test the long-term memory properties
of the series before proceeding to nonlinear unit root tests. Subsequently, wavelet-based unit root tests, in which time and
frequency information are together, have been performed in the study. For this purpose, firstly, to determine the correct analysis
method, whether the variables have a linear structure or not were examined with the BDS test. According to the linearity test
results, all variables showed a nonlinear structure. Accordingly, the stochastic properties of all variables should be examined
by nonlinear unit root tests. In this case, FWKSS and WKSS tests were applied to the variables.
Findings:
In the study, GPH fractional unit root test was conducted to test the long-term memory properties of the series before proceeding
to nonlinear unit root tests. According to the results, the H0 hypothesis established as d = 0 is rejected in the real exchange rate
series of all countries. The rejection of the null hypothesis that there is no long memory indicates the existence of unit root. In
the study, wavelet-based unit root tests were carried out in which time and frequency information were together. For this
purpose, firstly, to determine the correct analysis method, whether the variables have a linear structure or not were examined
with the BDS test. According to the linearity test results, all variables show a nonlinear structure. In this case, FWKSS and
WKSS tests were applied to the variables. The Fourier term was not found significant for all countries. It is seen that the
FWKSS unit root test results cannot be interpreted for all countries. This result showed that the WKSS unit root test should be
used for all countries. According to the results of the WKSS test, the real exchange rates of only Argentina and South Africa
are stationary at the 10% significance level, while the others have unit-roots. Consequently, the shocks have temporary effects
on the real exchange rate in Argentina and South Africa. However, the impact of shocks to the real exchange rate is permanent
in Brazil, Chile, India, Indonesia, Turkey, and Russia. Besides, when we examine the study in terms of the PPP hypothesis, the
PPP hypothesis is valid in Argentina and South Africa. However, the PPP hypothesis is not valid in Brazil, Chile, India,
Indonesia, Turkey, and Russia.
Conclusion and Discussion:
In economies where shock effects are permanent, macroeconomic factors affecting real exchange rates should be well-
identified and policymakers should revise these factors. It is accepted in the literature that real shocks may arise from the supply
or demand of the economy and that the effects of these shocks on both real and nominal exchange rates will be permanent.
Real shocks in the economy are caused by technology and thus productivity change, pandemic, and natural disasters, etc.
Monetary and fiscal policies are relatively ineffective in the solution as they are mainly caused by these factors. Therefore,
structural reforms affecting the economy, in the long run, should be implemented by countries. Correct monetary policy
decisions to be applied in economies where the effects of shocks are temporary will further reduce the temporary effects of
shocks.
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Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
1. GİRİŞ
15: 82).
olabilmekte ve po
nelik son de
, Bununla
,
ekonomi literat
5491). Bretton Woods'un
esnek-,
(Wong, 2020: 1).
Burada bir nokta da
.
kurda meydana gelen
e
-Gasaymeh vd., 2015:32).
ile incelenmektedir
incelen, tam tersi
,
888
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
.
E
Asya ve Latin Amer ,
, bu
lik
nde in
te olan piyasa
Chowdhury, 2004: 697-698).
Bu nedenle da, de
a bir
2. LİTERATÜR TARAMASI
,
da mevcut olmakla birlikte, bu
viz kurunu etkilemektedir.
,
,
n
889
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
daha
,
,
lar ,
a , bir
-
,
ru
, nominal
belirtmektedir.
,
ve
, Hindistan
hareketleri
, bir
Tablo 1de SAGP hipotezinin
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Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
Tablo 1. SAGP Hipotezi
Ülke
SAGP Hipotezinin Geçerli Çıktığı Çalışmalar
SAGP Hipotezinin Geçersiz Çıktığı Çalışmalar
Arjantin
Rodrigues-Benavides vd. (2018), Taylor
-, Anorou
vd. (2002), Triki ve Maktouf (2015), McNown ve
Wallace (1989), ,
Mahdavi ve Zhou (1994)
Dal Bianco (2008), Al-Gasaymeh vd. (2015), Ralph
Brezilya
-Lee-
Rodrigues-Benavides vd. (2018), Taylor
-, Peng vd.
(2017), Triki ve Maktouf (2015), Chen(2017),
, Mike ve
, Mahdavi ve Zhou (1994), Su vd.
(2012)
olan sabit+kukla+trend modeline g
, Alper
(2020)
Bozkurt
,
Atasoy(2016), Gyamfi ve Adam (2017), Gyamfi
(2017), Bahmani- -i
Silvestre Birim , Al-Gasaymeh vd.
(2015), McNown ve Wallace (1989), Ralph Lu vd.
,
Vasconcelos ve Junior (2016)
(2018)
Şili
Bozgeyik ve
, Rodrigues-Benavides vd. (2018),
Arize (2011), Al-Gasaymeh vd. (2015), Jiang vd.
(2015), Triki ve Maktouf (2015), McNown ve
Wallace (1989),
, Bal vd.
(201,
Vasconcelos ve Junior (2016)
Ralph
Hindistan
(2017), Bahmani- -i
, Peng vd. (2017),
Al-Gasaymeh vd. (2019)
, Su
Mike (2019), Atasoy(2016),
Gyamfi ve Adam (2017), Gyamfi (2017), Sidiq ve
Harawati (2016), Chen(2017)
sabit+kukla+trend
Endonezya
Bahramian ve Salimine
(2019), ,
Atasoy(2016), Triki ve Maktouf
(2015), Chen(2017), Nusair (2003)
(2015),
,
Bahmani- -i Silvestre
, Al-Gasaymeh vd. (2015),
sabit+kukla+trend
891
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
Ülke
SAGP Hipotezinin Geçerli Çıktığı Çalışmalar
SAGP Hipotezinin Geçersiz Çıktığı Çalışmalar
Rusya
, Bozgeyik ve
,
-Lee-
, Arize (2011),
Peng vd. (2017)
, Su vd. (2012)
Model olan sabit+kukla+trend
,
Gyamfi ve Adam (2017), Gyamfi
(2017), Bahmani- -i
, Bahmani-
Oskooee vd. (2015)
Güney
Afrika
, Bozgeyik ,
, Anorou vd. (2002), Arize
(2011), Peng vd. (2017)
,
, Kyei-Mensah
,
Mahdavi ve Zhou (1994)
Atasoy(2016) ,
Gyamfi ve Adam (2017), Gyamfi (2017), Bahmani-
-i
, Gyamfi ve Appiah (2019
Metodu
olan sabit+kukla+trend
Türkiye
(2009),
,
Im-Lee-
(2018)
Tolgay ve Kula (2020),
Tolgay ve Kula (2019),
(2020)
Karabacak (2017),
-Strazicich Birim
Atasoy(2016), Bilgin
(2007), Konat ve Temiz (2019), Bahmani-Oskooee
-
, Al-Gasaymeh vd. (2015), Jiang vd. (2015),
Mahdavi ve Zhou (1994) ,
Gnd ,
, lerinden
nokta, liter
testini
3. EKONOMETRİK METODOLOJİ
Bir Bunlardan ilki,
etkilerinin yoksa , serinin bir
,
gerek yoktur. Se
serilere ait gelecek tahminlerinin
gelecek tahminlerinde
,
uygulanan
-10).
892
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
,
de
stesinden
bilgi gerektirmeden, ni
,
ve -11).
Zaman serilerinde analizler zaman ve f
testi,
ni b) ise,
,
-12).
t = -1 (1)
kesikli dalga
t = -1 (2)
E
b
KSS metodolojisine (Kapetanios, Shin ve Snell, 2003)
ni
2019b: 2-3).
(3)
(4)
burada
b: 4).
;
(5)
E
893
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
(6)
E
kan, 2015: 25- b), Fourier WKSS (FWKSS)
(7)
Burada V1,t
E
-,
bb)
,
b: 5).
Zaman serileri
linde olabilir.
bir seride
testleri
n
).
4. VERİ SETİ VE AMPİRİK BULGULAR
-
i
Ek1Bu sayede zaman serilerinde
ar ,
,
GPH (Geweke Porter Hudak) p
birim ktesti (1983) s da Ek Ek 2 =
H0
esas olarak
2
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Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
Tablo 2.
Boyut
BDS İstatistiği
Standart Hata
Z-İstatistiği
Olasılık Değeri
Arjantin
2
0.203346
0.003721
54.64797
0.0000
3
0.344000
0.005868
58.62739
0.0000
4
0.440539
0.006931
63.56244
0.0000
5
0.506443
0.007165
70.68586
0.0000
6
0.550881
0.006852
80.39375
0.0000
Brezilya
2
0.178065
0.002709
65.72836
0.0000
3
0.297416
0.004289
69.35191
0.0000
4
0.376239
0.005084
74.00726
0.0000
5
0.426112
0.005274
80.80062
0.0000
6
0.456672
0.005061
90.23759
0.0000
Şili
2
0.159650
0.003193
50.00481
0.0000
3
0.263867
0.005063
52.11306
0.0000
4
0.329482
0.006014
54.78388
0.0000
5
0.367644
0.006251
58.80964
0.0000
6
0.387711
0.006011
64.49499
0.0000
Hindistan
2
0.153679
0.002839
54.12597
0.0000
3
0.256294
0.004495
57.02160
0.0000
4
0.322883
0.005329
60.59501
0.0000
5
0.361679
0.005528
65.42805
0.0000
6
0.383372
0.005305
72.26311
0.0000
Endonezya
2
0.174423
0.005113
34.11328
0.0000
3
0.295257
0.008145
36.25186
0.0000
4
0.376986
0.009722
38.77690
0.0000
5
0.430999
0.010158
42.43078
0.0000
6
0.466780
0.009820
47.53367
0.0000
Rusya
2
0.185259
0.003233
57.29740
0.0000
3
0.311442
0.005123
60.79653
0.0000
4
0.396269
0.006079
65.18844
0.0000
5
0.451311
0.006312
71.49487
0.0000
6
0.486044
0.006064
80.14720
0.0000
Güney Afrika
2
0.170245
0.002770
61.46072
0.0000
3
0.285406
0.004385
65.08409
0.0000
4
0.361338
0.005199
69.50249
0.0000
5
0.409481
0.005394
75.92029
0.0000
6
0.438679
0.005176
84.74546
0.0000
Türkiye
2
0.173542
0.002475
70.11960
0.0000
3
0.289999
0.003920
73.97287
0.0000
4
0.368109
0.004650
79.16203
0.0000
5
0.418809
0.004826
86.77563
0.0000
6
0.450005
0.004634
97.10866
0.0000
895
Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
nin incelenmesi gerekmektedir. Bu durumda serilere
3
Tablo 3.
Ülke
FWKSS Testi
WKSS Testi
FWKSS
Test
İstatistiği
FWKSS
Kritik Değerleri
Aydın (2019b, Tablo 2)
T
Test
İstatistiği
k
p
WKSS
Test
İstatistiği
p
%1
%5
%10
Arjantin (Durum 1)
-2.21**
-2.63
-2.05
-1.77
1.58
2
2
-1.87***
2
Brezilya (Durum 1)
-1.17
-2.48
-1.92
-1.64
1.35
5
1
-1.18
1
-0.79
-2.63
-2.05
-1.77
0.44
2
0
-0.74
1
Hindistan (Durum 1)
-0.07
-2.48
-1.92
-1.64
0.78
5
0
-0.05
0
Endonezya (Durum 1)
-1.09
-2.48
-1.92
-1.64
1.57
5
0
-1.03
0
Rusya (Durum 1)
-0.33
-2.48
-1.92
-1.64
2.37
5
0
-0.65
0
-1.61
-2.51
-1.96
-1.68
0.65
4
1
-1.66***
1
-0.42
-2.92
-2.29
-1.97
1.31
1
2
-0.73
2
-2.40, -1.89 ve --
-2.69, -1.93, and -
% 1,% 5 ve% 10'dak
de,
,
niteliktedir. Wang ve Dunne (2003)
Inoue ve Hamori (2009), Soto (2003) ve Moore ve
Pen
, da SAGP hipotezi
Tablo 1
5. SONUÇ
,
noktada
, Arjantin ve
;
Burada
durumu,
Brezilya,
,
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Süleyman Demirel Üniversitesi Vizyoner Dergisi, Yıl: 2021, Cilt: 12, Sayı: 31, 885-902.
ISSN: 1308-9552
Süleyman Demirel University Visionary Journal, Year: 2021, Volume: 12, No: 31, 885-902.
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Ek 1.
λ/d
0.45
0.50
0.55
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
Arjantin
0.997*
1.023*
1.015*
0.990*
1.019*
1.064*
1.046*
1.048*
1.032*
1.038*
1.032*
Brezilya
0.882*
0.780*
0.928*
0.941*
0.983*
1.075*
1.084*
1.135*
1.160*
1.224*
1.214*
Şili
0.605**
0.563**
0.662*
0.711*
0.894*
0.907*
0.978*
1.070*
1.115*
1.153*
1.180*
Hindistan
0.545**
0.933*
1.055*
1.116*
1.046*
0.943*
0.998*
0.944*
0.970*
1.006*
1.008*
Endonezya
0.639***
0.694**
0.833*
1.053*
1.054*
1.010*
1.009*
1.002*
1.006*
1.123*
1.104*
Rusya
0.682*
0.960*
0.922*
1.006*
0.979*
1.046*
1.095*
1.149*
1.199*
1.211*
1.232*
Güney Afrika
0.917*
1.035*
0.939*
0.831*
0.804*
0.892*
0.969*
0.931*
0.961*
0.981*
0.976*
Türkiye
0.855*
0.806*
0.764*
0.707*
0.726*
0.798*
0.843*
0.877*
1.012*
1.027*
1.064*
Ek 2. Analizdeki Serilerin Grafikleri
0
50
100
150
200
250
300
94 96 98 00 02 04 06 08 10 12 14 16 18 20
ARJANTIN
40
60
80
100
120
94 96 98 00 02 04 06 08 10 12 14 16 18 20
BREZILYA
20
40
60
80
100
120
94 96 98 00 02 04 06 08 10 12 14 16 18 20
ENDONEZYA
40
60
80
100
120
140
94 96 98 00 02 04 06 08 10 12 14 16 18 20
GUNEYAFRIKA
80
85
90
95
100
105
94 96 98 00 02 04 06 08 10 12 14 16 18 20
HINDISTAN
20
40
60
80
100
120
94 96 98 00 02 04 06 08 10 12 14 16 18 20
RUSYA
80
90
100
110
120
94 96 98 00 02 04 06 08 10 12 14 16 18 20
SILI
40
50
60
70
80
90
100
110
94 96 98 00 02 04 06 08 10 12 14 16 18 20
TURKIYE