Finansal Olmayan Sirketlerin Bilancolarinda Kur Uyumsuzlugu ve Yabanci Para Pozisyonunun Belirleyicileri

Aylin Aslan and Burcu Zuhal Iman Er

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Reel sektorun yabanci para (YP) cinsinden varlik ve yukumluluklerinin duzenli olarak takip edilmesi finansal istikrar acisindan onem tasimaktadir. Turkiye Cumhuriyet Merkez Bankasi (TCMB) bunyesinde kurulmus olan Sistemik Risk Veri Takip Sistemi (SRVTS), finansal olmayan firmalarin doviz pozisyonlarinin yakindan izlenmesine olanak saglamaktadir. Bu calismada, belirtilen sistem kapsaminda 2021 yili ocak ayindan itibaren verisi temin edilen, veri kalitesi kontrolleri sonucunda tutarli bulunan ve sektor temsil gucu yuksek olan firmalarin bilancolarindaki kur uyumsuzlugu incelenmektedir. Borclarin varliklara oraninin kur esnekligi olarak tanimlanan kur uyumsuzlugu kisa vadede sifira yakin ve 2024 yili basina kadar YP varlik payinin yuksek oldugunu gosterirken, uzun vadede YP yukumluluklerin payi daha yuksektir. Ayrica, bu firmalarin icerisinde dis ticaret islemleri bulunan firmalarin YP pozisyonunun belirleyicileri, firma seviyesindeki mikro veriler ile kur, beklenen enflasyon, faiz, cikti acigi ve kredi temerrut takasi (CDS) gibi makro veriler kullanilarak tahmin edilmistir. Sonuclar, vade yapisina gore farklilik gostermektedir. Kisa vadede firmalarin YP pozisyonuyla kur degisiminin ters yonlu iliskili oldugu bulgulanmistir. Uzun vadede ise ihracat ve beklenen enflasyonun YP pozisyonunu pozitif yonde etkiledigi gorulmustur. Ek olarak, her iki vade kiriliminda da kur oynakligindaki artisin firmalarin doviz pozisyonlari uzerinde artirici yonde etkili oldugu izlenmistir. Tahminler, imalat sektoru firmalari ve nette ihracatci firmalar icin tekrarlandiginda bulgular orneklem genelinden farklilik gostermemektedir. [EN] Monitoring the foreign currency assets and liabilities of the real sector regularly is crucial for financial stability. Systemic Risk Data Monitoring System, established within the Central Bank of the Republic of Türkiye, enables close monitoring of the foreign exchange positions of non-financial companies. In this study, the exchange rate mismatch in the balance sheets of companies, whose data were obtained since January 2021 within the scope of system, which are found to be consistent as a result of data quality checks, and have high sector representation is examined. The exchange rate mismatch, defined as the exchange rate elasticity of the ratio of liabilities to assets, is close to zero in the short term and shows that the share of FX assets is high until the beginning of 2024, while the share of FX liabilities is higher in the long term. Furthermore, the determinants of foreign currency positions for firms involved in foreign trade operations are estimated using firm-specific micro data and macroeconomic data such as exchange rates, expected inflation, interest rates, output gap, and credit default swaps (CDS). Analysis results are different depending on the maturity structure. In the short term, it is found that the FX position of the firms is negatively affected by the exchange rate change in a statistically significant way. In the long term, it is seen that the export and expected inflation variables affect the FX position positively. It is also found that the exchange rate volatility has a positive effect on the FX positions of the firms in both maturity breakdowns. The estimates are repeated for manufacturing sector firms and net exporting firms and the results do not differ from the overall sample.

Date: 2025
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