Döviz kurlarının belirlenmesi: Teori ve Türkiye ekonomisine uygulama
Exchange rate determination: Theory and application to Turkish economy
- Tez No: 41563
- Danışmanlar: PROF. DR. KORKUT BORATAV
- Tez Türü: Yüksek Lisans
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Döviz kuru, Döviz piyasası, Ekonomi, Para, Portföy, Satın alma gücü paritesi, Türkiye, Exchange rate, Currency market, Economy, Money, Portfolio, Purchasing power parity, Türkiye
- Yıl: 1995
- Dil: Türkçe
- Üniversite: Ankara Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
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Özet (Çeviri)
İngilizce özet (summary in English): EXCHANGE RATE DETERMINATION: THEORY AND APPLICATION TO TURKISH ECONOMY This study is include two main part. In the first part, theoretical models to exchange rate determination and empirical results on these models are examined. These are purchasing power parity (PPP), monetary (flexible-price, sticky-price and currency substution versions) and portfolio balance (uniform preference, small-country and preferred local habitat versions) models. In the second part, some of these models are tested and estimated for TL/DM and TL/US$ exchange rates with data which is collected from Turkish, German and American Economies. In empirical studies, stationary properties of the time series are tested with Dickey-Fuller and Augmented Dickey-Fuller Tests. Long run properties of the models are tested and estimated with Engle and Granger's two stage cointegration and Johansen's multivariate cointegration methods. The results as follows. For PPP, cointegration relationship between the exchange rate and national price levels are not found. But, for monetary model and portfolio model [a modified version of the Branson, Halttunen and Masson (1977) small country model] cointegration relationship is exist. We conclude that asset market approach give promise for analysis the exchange rate movements in the Turkish Economy. Espicially, works on portfolio balance models will be very usefull. 105
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