发展中国家的汇率是否存在价格泡沫?以金砖国家和土耳其为例

H. Yıldırım, Saffet Akdağ, A. Alola
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引用次数: 4

摘要

过去几十年经历了日益一体化的全球政治和经济动态,特别是从汇率和贸易的影响到其他不确定因素。本研究的目的是考察巴西、俄罗斯、印度、中国和南非(金砖国家)以及土耳其共和国的汇率动态。鉴于这种感知到的全球动态,本研究使用2002年1月至2019年8月期间的美元月度汇率数据,考察了金砖国家和土耳其共和国的汇率动态。本文用最优增广迪基-富勒(SADF)和广义最优增广迪基-富勒(GSADF)方法研究了明显由投机运动引起的资产价格超过实际价值的价格泡沫。因此,GSADF检验结果认为,除美元/印度卢比汇率外,其他国家的美元汇率均存在价格泡沫。由于相关国家在结构上被归类为发展中国家,预计它们也会成为投机性汇率变动的对象。汇率的投机变动可能给国民经济带来严重问题。因此,本研究为金砖国家和土耳其共和国提供了一个政策框架。
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Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey
PurposeThe last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates and trade amid other sources of uncertainties. The purpose of this study is to examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey.Design/methodology/approachGiven this perceived global dynamics, the current study examined the BRICS countries and the Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January 2002 and August 2019. The price bubble which is expressed as exceeding the real value of assets' prices which is observably caused by speculative movements is investigated by using the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) approaches.FindingsAccordingly, the GSADF test results opined that there are price bubbles in the dollar exchange rate of other countries except for the United States Dollar (USD)/Indian Rupee (INR) exchange rate. As the related countries are classified as developing countries in terms of their structure, they are also expectedly the subject of speculative exchange rate movements. Speculative movements in exchange rates may cause serious problems in national economies.Originality/valueThus, the current study provides a policy framework to the BRICS countries and the Republic of Turkey.
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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