Döviz Mevduatlarının Makroekonomik ve Finansal Belirleyicileri: Enerji İthalatçısı ve Enerji İhracatçısı Ülkelerde Panel Veri Analizi ile Bir Dedolarizasyon İncelemesi

Abstract

The main purpose of this thesis is to examine the determinants of deposit dollarization in developing countries within the framework of energy trade regimes and to investigate whether dollarization dynamics differ between energy-importing and energy-exporting countries. The study analyzes monthly data covering the period 2012–2024 for a sample of 12 countries. The energy-exporting group consists of Azerbaijan, Algeria, Kuwait, Nigeria, Russia, and Saudi Arabia, while the energy-importing group includes South Korea, India, Japan, Egypt, Türkiye, and Ukraine. The FX deposit ratio is used as the indicator of dollarization. Geopolitical risk, financial development, inflation, the VIX index, energy self-sufficiency ratio, policy interest rate, and exchange rate variables are included in the model. The analysis first tests for cross-sectional dependence, then applies second-generation panel unit root tests. Long-run relationships are examined using the Westerlund (2008) cointegration test, while long-run coefficients are estimated through the Pesaran (2006) CCEMG estimator. In addition, country-level ARDL bounds test analyses are conducted. The findings indicate that there is a long-run relationship between dollarization and macro-financial variables in energy-importing countries. In contrast, no similar long-run relationship is identified for energy-exporting countries. According to the CCEMG results, geopolitical risk and financial development have statistically significant effects on dollarization in energy-importing countries. Country-level ARDL findings also reveal that dollarization dynamics exhibit a heterogeneous structure across countries. Overall, the study demonstrates that energy trade structure plays a significant role in shaping dollarization dynamics and suggests that dedollarization policies should be designed by considering countries’ structural characteristics.