Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach

Alper Yılmaz

doi:10.17233/sosyoekonomi.2024.02.13

Araştırma Makalesi

Türkiye ve AB-Dışı Başlıca Ticaret Ortakları Arasındaki J Eğrisi Etkisi: Doğrusal ve Doğrusal Olmayan ARDL Yaklaşımından Kanıtlar

Yıl 2024, Cilt: 32 Sayı: 60, 259 - 290, 28.04.2024

Alper Yılmaz

https://doi.org/10.17233/sosyoekonomi.2024.02.13

Öz

Bu çalışmada Türkiye ekonomisi için J Eğrisi hipotezi analiz edilmiştir. Bu kapsamda, Türk lirasında meydana gelen devalüasyonların, revalüasyonlardan istatistiki olarak farklı olup olmadığı, Asimetrik Toda-Yamamoto nedensellik testine ek olarak doğrusal ve doğrusal olmayan ARDL eş bütünleşme yöntemi ile de incelenmiştir. Doğrusal modelden elde edilen sonuçlara göre J eğrisi etkisi sadece Rusya ve BAE için tespit edilmiştir ve elde edilen uzun dönem katsayıları istatistiksel olarak anlamlıdır. Bu sonuçlara göre Türk lirasının değer kaybetmesi, söz konusu partnerlerle ticarette dengeyi olumlu etkilemekte ancak Türk lirasının değerlendiği durumlarda negatif etki ortaya çıkmaktadır. Buna mukabil, kur değişkeninde ait pozitif ve negatif değişkenler, işaret, katsayı büyüklüğü ve istatistiki önem seviyesi olarak farklılık gösterdiği için asimetrik ilişki reddedilememekte ve bu bağlamda doğrusal olmayan model daha fazla kanıt sunmaktadır. Bu yöntemde J Eğrisi etkisi yedi partnerin üçünde (Hindistan, ABD ve BAE) gözlemlenmiştir. Üçüncü olarak, kısa ve uzun dönem arasında Türk lirasında oluşan değerlenme, ticaret dengesini etkilemektedir. Ayrıca, hata düzeltme parametresi, uzun dönemde, kısa döneme göre denge durumuna daha hızlı dönüldüğüne işaret etmektedir. Son olarak, kur değişkeni ile ticaret dengesi arasında, yukarıda bahsedilen dört ticaret partneri özelinde nedensellik ilişkisine dair kanıtlar sunmaktadır. Dolayısıyla belli ticari partnerlerle olan ilişkilerde kur politikalarının dikkate alınması gereken bir belirleyici olduğu söylenebilir.

Anahtar Kelimeler

J Eğrisi, Ticaret Dengesi, Döviz Kurları, Asimetrik Etki, Doğrusal Olmayan ARDL

Proje Numarası

Yok

Kaynakça

Ahn, J. et al. (2017), “Real Exchange Rate And External Balance: How Important Are Price deflators?”, IMF Working Paper WP/17/81.
Akbostancı, E. (2004), “Dynamics of The Trade Balance: The Turkish J Curve”, Economic Research Centre Emerging Markets Finance & Trade, 40(5), 55-73.
Akerlof, G. (1970), “The Market for “Lemons”: Quality Uncertainty and The Market Mechanism”, The Quarterly Journal of Economics, 84(3), 488-500.
Albayrak, Ş.G. & H.S. Korkmaz (2019), “Turkish J-Curve: Trade Balance and Real Exchange Rate Relation”, Selçuk Üniversitesi SBE Dergisi, (Prof.Dr. Fuat Sezgin Özel Sayısı), 348-359.
Arı, A. et al. (2019), “J-Curve in Turkish Bilateral Trade: A Nonlinear Approach”, The International Trade Journal, 33(1), 31-53.
Aries, M. et al. (2006), “A Model for a Fair Exchange Rate”, Review of Pacific Basin Financial Markets and Policies, 9(1), 51-66.
Arize, A.C. & J. Malindretos (2012), “Nonstationarity and Nonlinearity in Inflation Rate: some further evidence”, International Review of Economics & Finance, 24, 224-234.
Arora, S. et al. (2003), “Bilateral J-Curve Between India and Her Trading Partners”, Applied Economics, 35(9), 1037-1041.
Aytac, O. (2016), “Macroeconomic Developments and Exchange-Rate Policy in Turkey, 1980-2001”, Accounting and Finance Research, 5(2), 115-125.
Baek, J. (2006), “The J-Curve Effect and The USA-Canada Forest Products Trade”, Journal of Forest Economics, 13, 245-258.
Bahmani-Oskee, M. & N. Durmaz (2021), “Exchange rate volatility and Turkey-EU commodity trade: an asymmetry analysis”, Empirica, 48(1), 429-482.
Bahmani-Oskoee, M. & Z. Ardalani (2006), “Exchange Rate Sensitivity of USA Trade Flows: Evidence From Industry Data”, Southern Economic Journal, 72(3), 542-559.
Bahmani-Oskooee M. & H. Fariditavana (2015), “Nonlinear ARDL Approach, Asymmetric Effects And The J-Curve”, Journal of Economic Studies, 42(3), 519-530.
Bahmani-Oskooee, M. & A.M. Kutan (2009), “The J-Curve in the Emerging Economies of Eastern Europe”, Applied Economics, 41(20), 2523-2532.
Bahmani-Oskooee, M. & H. Harvey (2010), “The J-Curve: Malaysia Versus Her Major Trading Partners”, Applied Economics, 42, 1067-1076.
Bahmani-Oskooee, M. & J. Alse (1994), “Short-Run Versus Long-Run Effects of Devaluation: Error Correction Modelling and Cointegration”, Eastern Economic Journal, 20, 453-464.
Bahmani-Oskooee, M. & T. Kanitpong (2017), “Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on The Trade Balance of Asian Countries?”, Applied Economics, 49(46), 4668-4678.
Bahmani-Oskooee, M. (1985), “Devaluation and The J-Curve: Some Evidence From LDCs”, The Review of Economics and Statistics, 67(3), 500-504.
Bahmani-Oskooee, M. et al. (2006), “Bilateral J-Curve Between The UK Vis-À-Vis Her Major Trading Partners”, Applied Economics, 38(8), 879-888.
Bahmani-Oskooee, M. et al. (2016), “Mexican Bilateral Trade and The J-Curve: An Application of The Nonlinear ARDL Model”, Economic Analysis and Policy, 50, 23-40.
Baldwin, R. & P. Krugman (1989), “Persistent trade effects of large exchange rate shocks”, Quarterly Journal of Economics, 104, 635-654.
Bayoumi, T. et al. (2005), “A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates”, IMF Working Paper, WP/05/229.
Bilgin, C. (2020), “Asymmetric Effects of Exchange Rate Changes on Exports: A Sectoral Nonlinear Cointegration Analysis for Turkey”, MPRA Paper No. 1013.
Boyd, D. et al. (2001), “Real Exchange Rate Effects on The Balance of Trade: Cointegration and The Marshall-Lerner Condition”, International Journal of Finance & Economics, 6(3), 187-200.
Brada, J.C. et al. (1997), “The Exchange Rate and The Balance of Trade: The Turkish Experience”, Journal of Development Studies, 33, 675-692.
Campa, J. & L. Goldberg (2005), “Exchange Rate Pass-Through into Import Prices”, The Review of Economics and Statistics, 87(4), 679-690.
Ceyhan, T. & S. Gürsoy (2021), “The J Curve Hypothesis: An Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 12(3), 1169-1181.
Çelik, S. & H. Kaya (2010), “Real Exchange Rates and Bilateral Trade Dynamics of Turkey: Panel Cointegration Approach”, Applied Economics Letters, 17(8), 791-795.
Dellate, A.L. & A.L. Villavicencio (2021), “Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries”, Journal of Macroeconomics, 34(3), 833-844.
Dennis, P. et al. (2006), “Stock Returns, Implied Volatility Innovations, and The Asymmetric Volatility Phenomenon”, The Journal of Financial and Quantitative Analysis, 41(2), 381-406.
Doroodian, K. et al. (1999), “The J-Curve Effect And US Agricultural And Industrial Trade”, Applied Economics, 31(6), 687-695.
El-Bejaoui, H.J. (2013), “Asymmetric Effects of Exchange Rate Variations: An Empirical Analysis for Four Advanced Countries”, International Economics, 135-136, 29-46.
Engle, R. & C. Granger (1987), “Cointegration and Error Correction Representation: Estimation and Testing”, Econometrica, 55, 251-276.
Erdem, E. et al. (2010), “The Macroeconomy and Turkish Agricultural Trade Balance with The EU Countries: Panel ARDL Analysis”, International Journal of Economic Perspectives, 4(1), 371-379.
Erdoğan, S. et al. (2022), “Analyzing Asymmetric Effects of Cryptocurrency Demand on Environmental Sustainability”, Environmental Science and Pollution Research, 29, 31723-31733.
Felmingham, B.S. (1988), “Where Is The Australian J‐Curve?”, Bulletin of Economic Research, 40(1), 43-56.
Frieden, J. (2008), “Globalization and Exchange Rate Policy”, in: E. Zedillo (ed.), The Future of Globalization (344-357), New York: Routledge.
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Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach

Yıl 2024, Cilt: 32 Sayı: 60, 259 - 290, 28.04.2024

Alper Yılmaz

https://doi.org/10.17233/sosyoekonomi.2024.02.13

Öz

This research analysed the bilateral J-curve phenomenon in the Turkish economy. For this purpose, we applied both the linear and non-linear Autoregressive Distributed Lag (NARDL) co-integration methods, in addition to the asymmetric Toda-Yamamoto causality test, to examine whether the impact of Turkish lira appreciations differs from that of lira depreciation. The findings from the linear model indicate statistically significant coefficients for the long term, and J-curve effects were observed in the case of two countries: Russia and the UAE. This suggests that when the Turkish lira depreciates, it positively affects Turkey's trade balance with these partners; however, lira appreciations have a negative impact. In contrast, the non-linear model provides more evidence, with the results revealing that asymmetry cannot be ignored, as the positive and negative variables exhibit differences in signs, magnitudes, and levels of significance. We found the J-curve effect for only three countries (India, USA, and UAE) out of seven partners in this model. Third, the lira evaluation between the short and long run affected the external balance. Furthermore, the long-run error correction mechanisms converge to steady-state equilibrium faster. Lastly, there is a unidirectional or bilateral linkage between the FX rate and the external deficit for these four partners. Therefore, exchange rate policies are a determinant that should be considered in relationships with certain trading partners.

Anahtar Kelimeler

J-Curve, Trade balance, Exchange rate, Asymmetry effects, Nonlinear ARDL

Destekleyen Kurum

Yok

Proje Numarası

Yok

Teşekkür

Kaynakça

Ahn, J. et al. (2017), “Real Exchange Rate And External Balance: How Important Are Price deflators?”, IMF Working Paper WP/17/81.
Akbostancı, E. (2004), “Dynamics of The Trade Balance: The Turkish J Curve”, Economic Research Centre Emerging Markets Finance & Trade, 40(5), 55-73.
Akerlof, G. (1970), “The Market for “Lemons”: Quality Uncertainty and The Market Mechanism”, The Quarterly Journal of Economics, 84(3), 488-500.
Albayrak, Ş.G. & H.S. Korkmaz (2019), “Turkish J-Curve: Trade Balance and Real Exchange Rate Relation”, Selçuk Üniversitesi SBE Dergisi, (Prof.Dr. Fuat Sezgin Özel Sayısı), 348-359.
Arı, A. et al. (2019), “J-Curve in Turkish Bilateral Trade: A Nonlinear Approach”, The International Trade Journal, 33(1), 31-53.
Aries, M. et al. (2006), “A Model for a Fair Exchange Rate”, Review of Pacific Basin Financial Markets and Policies, 9(1), 51-66.
Arize, A.C. & J. Malindretos (2012), “Nonstationarity and Nonlinearity in Inflation Rate: some further evidence”, International Review of Economics & Finance, 24, 224-234.
Arora, S. et al. (2003), “Bilateral J-Curve Between India and Her Trading Partners”, Applied Economics, 35(9), 1037-1041.
Aytac, O. (2016), “Macroeconomic Developments and Exchange-Rate Policy in Turkey, 1980-2001”, Accounting and Finance Research, 5(2), 115-125.
Baek, J. (2006), “The J-Curve Effect and The USA-Canada Forest Products Trade”, Journal of Forest Economics, 13, 245-258.
Bahmani-Oskee, M. & N. Durmaz (2021), “Exchange rate volatility and Turkey-EU commodity trade: an asymmetry analysis”, Empirica, 48(1), 429-482.
Bahmani-Oskoee, M. & Z. Ardalani (2006), “Exchange Rate Sensitivity of USA Trade Flows: Evidence From Industry Data”, Southern Economic Journal, 72(3), 542-559.
Bahmani-Oskooee M. & H. Fariditavana (2015), “Nonlinear ARDL Approach, Asymmetric Effects And The J-Curve”, Journal of Economic Studies, 42(3), 519-530.
Bahmani-Oskooee, M. & A.M. Kutan (2009), “The J-Curve in the Emerging Economies of Eastern Europe”, Applied Economics, 41(20), 2523-2532.
Bahmani-Oskooee, M. & H. Harvey (2010), “The J-Curve: Malaysia Versus Her Major Trading Partners”, Applied Economics, 42, 1067-1076.
Bahmani-Oskooee, M. & J. Alse (1994), “Short-Run Versus Long-Run Effects of Devaluation: Error Correction Modelling and Cointegration”, Eastern Economic Journal, 20, 453-464.
Bahmani-Oskooee, M. & T. Kanitpong (2017), “Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on The Trade Balance of Asian Countries?”, Applied Economics, 49(46), 4668-4678.
Bahmani-Oskooee, M. (1985), “Devaluation and The J-Curve: Some Evidence From LDCs”, The Review of Economics and Statistics, 67(3), 500-504.
Bahmani-Oskooee, M. et al. (2006), “Bilateral J-Curve Between The UK Vis-À-Vis Her Major Trading Partners”, Applied Economics, 38(8), 879-888.
Bahmani-Oskooee, M. et al. (2016), “Mexican Bilateral Trade and The J-Curve: An Application of The Nonlinear ARDL Model”, Economic Analysis and Policy, 50, 23-40.
Baldwin, R. & P. Krugman (1989), “Persistent trade effects of large exchange rate shocks”, Quarterly Journal of Economics, 104, 635-654.
Bayoumi, T. et al. (2005), “A Fair Exchange? Theory and Practice of Calculating Equilibrium Exchange Rates”, IMF Working Paper, WP/05/229.
Bilgin, C. (2020), “Asymmetric Effects of Exchange Rate Changes on Exports: A Sectoral Nonlinear Cointegration Analysis for Turkey”, MPRA Paper No. 1013.
Boyd, D. et al. (2001), “Real Exchange Rate Effects on The Balance of Trade: Cointegration and The Marshall-Lerner Condition”, International Journal of Finance & Economics, 6(3), 187-200.
Brada, J.C. et al. (1997), “The Exchange Rate and The Balance of Trade: The Turkish Experience”, Journal of Development Studies, 33, 675-692.
Campa, J. & L. Goldberg (2005), “Exchange Rate Pass-Through into Import Prices”, The Review of Economics and Statistics, 87(4), 679-690.
Ceyhan, T. & S. Gürsoy (2021), “The J Curve Hypothesis: An Analysis for Turkey”, Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 12(3), 1169-1181.
Çelik, S. & H. Kaya (2010), “Real Exchange Rates and Bilateral Trade Dynamics of Turkey: Panel Cointegration Approach”, Applied Economics Letters, 17(8), 791-795.
Dellate, A.L. & A.L. Villavicencio (2021), “Asymmetric Exchange Rate Pass-Through: Evidence from Major Countries”, Journal of Macroeconomics, 34(3), 833-844.
Dennis, P. et al. (2006), “Stock Returns, Implied Volatility Innovations, and The Asymmetric Volatility Phenomenon”, The Journal of Financial and Quantitative Analysis, 41(2), 381-406.
Doroodian, K. et al. (1999), “The J-Curve Effect And US Agricultural And Industrial Trade”, Applied Economics, 31(6), 687-695.
El-Bejaoui, H.J. (2013), “Asymmetric Effects of Exchange Rate Variations: An Empirical Analysis for Four Advanced Countries”, International Economics, 135-136, 29-46.
Engle, R. & C. Granger (1987), “Cointegration and Error Correction Representation: Estimation and Testing”, Econometrica, 55, 251-276.
Erdem, E. et al. (2010), “The Macroeconomy and Turkish Agricultural Trade Balance with The EU Countries: Panel ARDL Analysis”, International Journal of Economic Perspectives, 4(1), 371-379.
Erdoğan, S. et al. (2022), “Analyzing Asymmetric Effects of Cryptocurrency Demand on Environmental Sustainability”, Environmental Science and Pollution Research, 29, 31723-31733.
Felmingham, B.S. (1988), “Where Is The Australian J‐Curve?”, Bulletin of Economic Research, 40(1), 43-56.
Frieden, J. (2008), “Globalization and Exchange Rate Policy”, in: E. Zedillo (ed.), The Future of Globalization (344-357), New York: Routledge.
Gözen, M.C. & C. Bostancı (2021), “Validity of J-Curve for Turkey and Its Main External Trade Partners: An Application of a Panel Data Approach”, Sosyoekonomi, 29(50), 149-168.
Granger, C.W.J. & G. Yoon (2002), “Hidden Cointegration. University of California”, Economics, Working Paper No, 2002-02.
Granger, C.W.J. (1969), “Investigating Causal Relations By Econometric Models and Cross-Spectral Methods”, Econometrica, 37(3), 424-438.
Gujarati, D.N. (2004), Basic Econometrics, 4th ed., The McGraw-Hill Companies.
Hacker, R.S. & A. Hatemi-J (2003), “Is The J-Curve Effect Observable for Small North European Economies?”, Open Economies Review, 14, 119-134.
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Toplam 99 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Konular	Uluslararası İktisat (Diğer)
Bölüm	Makaleler
Yazarlar	Alper Yılmaz 0000-0002-1253-7097
Proje Numarası	Yok
Erken Görünüm Tarihi	28 Nisan 2024
Yayımlanma Tarihi	28 Nisan 2024
Gönderilme Tarihi	29 Ağustos 2023
Yayımlandığı Sayı	Yıl 2024 Cilt: 32 Sayı: 60

Kaynak Göster

APA	Yılmaz, A. (2024). Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach. Sosyoekonomi, 32(60), 259-290. https://doi.org/10.17233/sosyoekonomi.2024.02.13
AMA	Yılmaz A. Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach. Sosyoekonomi. Nisan 2024;32(60):259-290. doi:10.17233/sosyoekonomi.2024.02.13
Chicago	Yılmaz, Alper. “Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach”. Sosyoekonomi 32, sy. 60 (Nisan 2024): 259-90. https://doi.org/10.17233/sosyoekonomi.2024.02.13.
EndNote	Yılmaz A (01 Nisan 2024) Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach. Sosyoekonomi 32 60 259–290.
IEEE	A. Yılmaz, “Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach”, Sosyoekonomi, c. 32, sy. 60, ss. 259–290, 2024, doi: 10.17233/sosyoekonomi.2024.02.13.
ISNAD	Yılmaz, Alper. “Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach”. Sosyoekonomi 32/60 (Nisan 2024), 259-290. https://doi.org/10.17233/sosyoekonomi.2024.02.13.
JAMA	Yılmaz A. Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach. Sosyoekonomi. 2024;32:259–290.
MLA	Yılmaz, Alper. “Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach”. Sosyoekonomi, c. 32, sy. 60, 2024, ss. 259-90, doi:10.17233/sosyoekonomi.2024.02.13.
Vancouver	Yılmaz A. Bilateral J-Curve Between Türkiye and Its Major Non-EU Trading Partners: Evidence from Both Linear and Non-Linear Approach. Sosyoekonomi. 2024;32(60):259-90.

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