Türkiye’de Küresel Finansal Kriz Sonrası Nakit İkamesinin Seyri: Markov Rejim Değişim Modelleri
The Course of Currency Substitution after the Global Financial Crisis in Turkey: Markov Regime Switching Models

Summary/Abstract: The study aims to investigate the driving forces of currency substitution after the Global Financial Crisis in Turkey. The models determined in accordance with the theoretical background also include a dummy variable for the Foreign Exchange Protected Deposit (FXPD) period in addition to the exchange rate expectations, inflation rate and domestic-foreign interest rate difference for the period 2010:01-2023:02. Two different models with two regimes are estimated by the Markov regimeswitching regression method. According to the findings obtained from these models, exchange rate expectations are the most important determinant of currency substitution. Exchange rate expectations and currency substitution are positively related. Decreases in interest rate differential cause an increase in currency substitution, while increases in interest rate difference do not have a significant effect on currency substitution decisions. In addition, it has found that inflation rates do not have a significant effect on currency substitution. Nonetheless, currency substitution is heavily influenced by currency substitution decisions for the previous period. Lastly, it has been determined that the FXPD provides a significant and quite high decrease in currency substitution. However, it is thought that it would be more appropriate to prefer policies with high credibility, consistent and strength rather than high-cost policies such as FXPD in the fight against currency substitution.

• Details
• Contents