{"id":2157,"date":"2011-06-29T09:41:53","date_gmt":"2011-06-29T06:41:53","guid":{"rendered":"http:\/\/www.bilgeyatirimci.com\/?p=2157"},"modified":"2011-06-29T09:42:04","modified_gmt":"2011-06-29T06:42:04","slug":"nasil-oluyor-da-oluyor-faiz-ve-kur-4","status":"publish","type":"post","link":"https:\/\/www.bilgeyatirimci.com\/i\/nasil-oluyor-da-oluyor-faiz-ve-kur-4\/","title":{"rendered":"Nas\u0131l oluyor da oluyor? Faiz ve kur (4)"},"content":{"rendered":"<p>Dizinin bu b\u00f6l\u00fcm\u00fcndeki d\u00f6rd\u00fcnc\u00fc yaz\u0131da biraz da d\u00f6viz kurunun nas\u0131l belirlendi\u011fini a\u00e7\u0131klamaya \u00e7al\u0131\u015fan iktisat kuramlar\u0131n\u0131n ba\u015far\u0131s\u0131zl\u0131klar\u0131ndan s\u00f6z edece\u011fim. Kuram\u0131n en zay\u0131f oldu\u011fu alanlardan biri bu. Buna kar\u015f\u0131n d\u00f6viz kurunun \u015fu ya da bu de\u011feri almas\u0131 &#8216;gerekti\u011fi&#8217; konusunda s\u0131kl\u0131kla a\u00e7\u0131klamalar duyuyoruz. O a\u00e7\u0131klamalar\u0131 yapanlar kendi \u00e7\u0131karlar\u0131 do\u011frultusunda d\u00f6viz kurunun olmas\u0131 &#8216;gerekti\u011fi&#8217; yeri s\u00f6ylemiyorlarsa, demek ki iktisat\u00e7\u0131lar\u0131n bilmedikleri modelleri baz\u0131 var. Ya da \u00e7ok bilinen, ama do\u011frulu\u011fu kan\u0131tlanamayan bir ili\u015fkiye dayan\u0131yorlar: Sat\u0131n alma g\u00fcc\u00fc paritesi. Ondan ba\u015flayay\u0131m i\u015fe.<\/p><div class=\"bilge-yaziust\" style=\"margin-top: 10px;margin-bottom: 10px;\" id=\"bilge-4243389474\"><ins class=\"adsbygoogle\"\r\n     style=\"display:block\"\r\n     data-ad-client=\"ca-pub-7495567325667578\"\r\n     data-ad-slot=\"9580705384\"\r\n     data-ad-format=\"rectangle\"\r\n     data-full-width-responsive=\"true\"><\/ins>\r\n<script>\r\n(adsbygoogle = window.adsbygoogle || []).push({});\r\n<\/script><\/div>\n<p>Sat\u0131n alma g\u00fcc\u00fc paritesi, iki \u00fclkenin para birimi aras\u0131ndaki nominal d\u00f6viz kurundaki art\u0131\u015f, o \u00fclkelerin enflasyon farkl\u0131l\u0131\u011f\u0131 kadar olmal\u0131 diyor. Mesela, lira &#8216;a\u015f\u0131r\u0131 de\u011ferli&#8217; denildi\u011finde kastedilen, T\u00fcrkiye&#8217;deki enflasyon ile ABD&#8217;deki enflasyon aras\u0131ndaki fark kadar dolar kurunun artmad\u0131\u011f\u0131; daha az artt\u0131\u011f\u0131. Bu yorumlar\u0131n do\u011fru olmas\u0131 i\u00e7in elbette sat\u0131n alma g\u00fcc\u00fc paritesinin ge\u00e7erli olmas\u0131 gerekiyor.<\/p>\n<p>Oysa yap\u0131lan \u00e7al\u0131\u015fmalar sat\u0131n alma g\u00fcc\u00fc paritesi ile ayn\u0131 fikirde de\u011filler: \u00d6zellikle k\u0131sa d\u00f6nemde sat\u0131n alma g\u00fcc\u00fc paritesi tutmuyor. Uzun d\u00f6nemde sat\u0131n alma g\u00fcc\u00fc paritesinin tuttu\u011funu g\u00f6steren \u00e7al\u0131\u015fmalar var; ama tutmad\u0131\u011f\u0131n\u0131 g\u00f6steren \u00e7al\u0131\u015fmalara k\u0131yasla az\u0131nl\u0131ktalar.<\/p>\n<p>Sat\u0131n alma g\u00fcc\u00fc paritesinin uzun d\u00f6nemde bile tutmamas\u0131n\u0131n farkl\u0131 nedenleri var. Bunlar\u0131n bir k\u0131sm\u0131 teknik; burada tart\u0131\u015fmaya gerek yok. Bir neden \u00f6nemli; belirteyim: Sermaye hareketleri art\u0131k \u00e7ok y\u00fcksek boyutlarda. Oysa sat\u0131n alma g\u00fcc\u00fc paritesi sermaye hareketlerinin \u00f6nemli olmad\u0131\u011f\u0131, d\u00f6viz arz ve talebinin daha \u00e7ok ithalat ve ihracat ile belirlendi\u011fi d\u00fcnyan\u0131n teorisi. 2009 y\u0131l\u0131nda d\u00fcnya ticaret hacmi 12.5 trilyon dolar kadard\u0131. Oysa merkez bankalar\u0131n\u0131n bankas\u0131 konumundaki BIS verilerine g\u00f6re 2010 y\u0131l\u0131nda d\u00f6viz piyasalar\u0131ndaki g\u00fcnl\u00fck i\u015flem hacmi 4 trilyon dolara ula\u015fm\u0131\u015f durumda. Dikkat: Biri y\u0131ll\u0131k, di\u011feri g\u00fcnl\u00fck miktarlar. Dolay\u0131s\u0131yla, d\u00f6viz arz ve talebini as\u0131l belirleyen d\u00f6viz piyasalar\u0131ndaki bu g\u00fcnl\u00fck al\u0131m sat\u0131m i\u015flemleri.<\/p>\n<p>Yaz\u0131n\u0131n giri\u015finde mevcut kuramlar\u0131n d\u00f6viz kurunu a\u00e7\u0131klamaktaki ba\u015far\u0131s\u0131zl\u0131klar\u0131ndan s\u00f6z ettim. Sadece sat\u0131n alma g\u00fcc\u00fc paritesi de\u011fil, daha geli\u015fmi\u015f kuramlar da ba\u015far\u0131s\u0131zlar. Bir de 1990&#8217;lar\u0131n ortalar\u0131ndan beri d\u00f6viz piyasas\u0131ndaki al\u0131m ve sat\u0131m emirlerinin arkas\u0131ndaki nedenlere inerek kur hareketlerini a\u00e7\u0131klamaya \u00e7al\u0131\u015fan yaz\u0131lar var; ilgin\u00e7 bulgular elde ediyorlar. Bu bulgular\u0131 bir sonraki yaz\u0131ya b\u0131rak\u0131p geleneksel d\u00f6viz kuru kuramlar\u0131n\u0131n nas\u0131l &#8216;\u00e7uvallad\u0131klar\u0131&#8217; \u00fczerinde k\u0131saca duraca\u011f\u0131m \u015fimdi.<\/p>\n<p>\u0130ki iktisat\u00e7\u0131 (R.Meese ve K. Rogoff) 1983&#8217;te bir \u00e7al\u0131\u015fma yay\u0131nl\u0131yorlar. O d\u00f6nemde en \u00e7ok kullan\u0131lan \u00fc\u00e7 d\u00f6viz kuru modelini al\u0131yorlar. Bu modelleri \u00e7e\u015fitli d\u00f6viz kurlar\u0131 i\u00e7in ekonometrik y\u00f6ntemlerle tahmin ediyorlar. Yani, denklemlerin katsay\u0131lar\u0131n\u0131n de\u011ferlerini buluyorlar (d\u00f6viz kuru e\u015fittir 0.2 eksi 0.5 \u00e7arp\u0131 yurti\u00e7i faiz art\u0131 0.45 \u00e7arp\u0131 yurtd\u0131\u015f\u0131 faiz gibi). Tahminde Mart 1973 ile Kas\u0131m 1976 aras\u0131ndaki ayl\u0131k verileri kullan\u0131yorlar. Sonra bu denklemler yard\u0131m\u0131yla Aral\u0131k 1976 &#8211; Haziran 1981 i\u00e7in d\u00f6rt d\u00f6viz kuruna ili\u015fkin \u00f6ng\u00f6r\u00fcleri elde ediyorlar. \u0130kinci a\u015famada Aral\u0131k 1976&#8217;y\u0131 tahmin \u00f6rneklemine dahil ediyorlar. Farkl\u0131 bir ifadeyle, denklemi Mart 1973 &#8211; Aral\u0131k 1976 i\u00e7in tahmin edip, yeni katsay\u0131lar\u0131 elde ediyorlar. Bu yeni denklemi kullanarak bu sefer Ocak 1977 &#8211; Haziran 1981 i\u00e7in d\u00f6rt d\u00f6viz kurunun alaca\u011f\u0131 de\u011ferleri \u00f6ng\u00f6r\u00fcyorlar. Giderek denklem tahmin d\u00f6nemini geni\u015fletip, d\u00f6viz kuru \u00f6ng\u00f6r\u00fc d\u00f6nemini k\u0131saltacak \u015fekilde bu i\u015flemi s\u00fcrd\u00fcr\u00fcyorlar.<\/p>\n<p>Dolay\u0131s\u0131yla, ellerinde hem d\u00f6viz kurlar\u0131n\u0131n ger\u00e7ek de\u011ferleri var, hem de d\u00f6viz kurlar\u0131na ili\u015fkin \u00f6rneklem d\u0131\u015f\u0131 \u00f6ng\u00f6r\u00fcler. Normalde \u00f6ng\u00f6r\u00fc yapmak i\u00e7in bu t\u00fcr denklemler kullan\u0131ld\u0131\u011f\u0131nda, denklemin sa\u011f taraf\u0131nda yer alan de\u011fi\u015fkenlere ili\u015fkin g\u00f6zlenen de\u011ferler elinizde olmaz. \u00d6yle ya, ileriye y\u00f6nelik \u00f6ng\u00f6r\u00fcde bulunuyorsunuz. Nereden bileceksiniz be\u015f ay sonra -s\u00f6zgelimi- yurti\u00e7i faizin alaca\u011f\u0131 de\u011feri? D\u00f6viz kurunun \u00f6ng\u00f6r\u00fc d\u00f6neminde alaca\u011f\u0131 de\u011ferleri hesaplamak i\u00e7in s\u00f6z\u00fcn\u00fc etti\u011fim iki ara\u015ft\u0131rmac\u0131 kulland\u0131klar\u0131 d\u00f6viz kuru modellerine bir &#8216;iyilik&#8217; yap\u0131yorlar. \u00d6ng\u00f6r\u00fc i\u00e7in gerekli de\u011fi\u015fkenlerin Aral\u0131k 1976- Kas\u0131m 1981 d\u00f6neminde ger\u00e7ekle\u015fen de\u011ferlerini, sanki \u00f6ng\u00f6r\u00fc yap\u0131l\u0131rken biliniyorlarm\u0131\u015f gibi kullan\u0131yorlar. Bu \u00f6ng\u00f6r\u00fcleri bir de hi\u00e7bir iktisadi kurama dayanmayan basit bir &#8216;istatistiki&#8217; modelden elde edilen \u00f6ng\u00f6r\u00fcler ile kar\u015f\u0131la\u015ft\u0131r\u0131yorlar.<\/p>\n<p>Son a\u015famada her modelden elde edilen nominal d\u00f6viz kuru \u00f6ng\u00f6r\u00fcleri ile ger\u00e7ekle\u015fmeler aras\u0131ndaki farklar (\u00f6ng\u00f6r\u00fc hatalar\u0131) kar\u015f\u0131la\u015ft\u0131r\u0131l\u0131yor. \u0130\u015fte y\u0131k\u0131c\u0131 bulgu bu kar\u015f\u0131la\u015ft\u0131rmada ortaya \u00e7\u0131k\u0131yor. \u00dc\u00e7 alma\u015f\u0131k kuramsal modelden elde edilen \u00f6ng\u00f6r\u00fc hatalar\u0131, hi\u00e7bir kurama dayanmayan modelden elde edilen \u00f6ng\u00f6r\u00fc hatalar\u0131ndan daha b\u00fcy\u00fck! Bu bulgu, d\u00f6viz kurundaki hareketleri a\u00e7\u0131klamaya \u00e7al\u0131\u015fan iktisadi modeller i\u00e7in hala \u00e7ok \u00f6nemli bir ba\u015f a\u011fr\u0131s\u0131 olu\u015fturuyor. S\u00fcrd\u00fcrece\u011fim.<\/p><div class=\"bilge-content-1\" style=\"margin-top: 10px;margin-bottom: 10px;\" id=\"bilge-1176657564\"><ins class=\"adsbygoogle\"\r\n     style=\"display:block\"\r\n     data-ad-client=\"ca-pub-7495567325667578\"\r\n     data-ad-slot=\"3167340272\"\r\n     data-ad-format=\"rectangle\"\r\n     data-full-width-responsive=\"true\"><\/ins>\r\n<script>\r\n(adsbygoogle = window.adsbygoogle || []).push({});\r\n<\/script><\/div>\n<p><strong>Fatih \u00d6ZATAY<\/strong><\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Dizinin bu b\u00f6l\u00fcm\u00fcndeki d\u00f6rd\u00fcnc\u00fc yaz\u0131da biraz da d\u00f6viz kurunun nas\u0131l belirlendi\u011fini a\u00e7\u0131klamaya \u00e7al\u0131\u015fan iktisat kuramlar\u0131n\u0131n ba\u015far\u0131s\u0131zl\u0131klar\u0131ndan s\u00f6z edece\u011fim. Kuram\u0131n en zay\u0131f oldu\u011fu alanlardan biri bu.&hellip;<\/p>\n","protected":false},"author":16,"featured_media":894,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[1],"tags":[],"class_list":["post-2157","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-tumyazilar"],"_links":{"self":[{"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/posts\/2157","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/users\/16"}],"replies":[{"embeddable":true,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/comments?post=2157"}],"version-history":[{"count":0,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/posts\/2157\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/media\/894"}],"wp:attachment":[{"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/media?parent=2157"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/categories?post=2157"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.bilgeyatirimci.com\/wp-json\/wp\/v2\/tags?post=2157"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}