Kamu harcamaları ve reel döviz kuru ilişkisi: Gelişmekte olan ülkelerden bulgular

Findings from recent empirical studies contradict the prediction of the theoretical models regarding the impact of government spending on real exchange rate. Standard macroeconomic framework including both traditional Mundell - Fleming models and international real business cycle models predicts an appreciation of the real exchange rate in response to a positive shock in government spending. However, the results from recent empirical studies report that an increase in government spending is associated with a depreciation of the currency in real terms. In this paper we provide additional empirical evidence on the dynamic relationship between government spending and real exchange rate through a panel-VAR analysis. Unlike former studies, our sample focuses on developing countries and covers 1950 ? 2010 period. Our results document real exchange rate depreciation in response to a government spending shock and according to our impulse response analysis the impact does not fade away immediately. In an alternative specification, our impulse response analysis reports similar responses of output, consumption and real exchange rate to the ones in benchmark model, along with a negative response of bond position which is consistent with the prediction of infinite horizon model under the assumption of incomplete international markets. Key words: government spending, real exchange rate, panel VAR, impulse response analysis