Spatial analysis of the impact of macroeconomic factors on common movements in exchange rate markets: OECD countries

The exchange rate, which is one of the most important concepts affecting the balance in the global economy, is a critical economic indicator for countries and is affected by many macroeconomic variables. This study examines the relationship between exchange rates and macroeconomic factors in OECD countries over the period 2008-2022 and evaluates the effects of common movements in exchange rate markets. The main objective of the study is to analyze the impact of macroeconomic factors on the exchange rate through spatial econometric models, taking into account neighborhood relations. The study uses various spatial econometric models to understand the spatial dimension of the relationship between exchange rate and macroeconomic variables. These models include the Spatial Durbin Model (SDM), Spatial Autoregressive Model (SAR), Spatial Error Model (SEM) and Spatial Sequential Autoregressive Combined Model (SAC). After determining the most appropriate model, a detailed analysis was carried out using the Dynamic Spatial Model (DSDM). The analysis stages of the study were carried out with the STATA 17 program. In addition, the Spatial Dynamic Durbin Model is also applied in this study to provide a more comprehensive analysis of the spatial interactions between exchange rates and macroeconomic factors. In this context, it is aimed to better understand exchange rate dynamics and to reveal the effects of spatial factors on economic outcomes. The analysis conducted in this thesis reveals that GDP has a negative effect on the exchange rate while the terms of trade has a positive effect. Moreover, according to the results of the Spatial Dynamic Durbin Model, GDP, imports and long-term interest rates have strong effects on economic outcomes, while inflation and short-term interest rates have a more limited effect. The long-run analysis reveals that increases in imports in neighboring regions have a negative impact on the local economy, while GDP has a positive impact. Keywords: Exchange rate, macroeconomic indicators, spatial analysis.