An Investigation Of Real Exchange Rate Volatility On Turkish Textile And Apparel Export
AbstractDue to significant contributions of textile and apparel industry in terms of employment, export opportunities and industrial value added, it has a crucial role in the Turkish economy. Even there are many factors influencing the export performance of this sector, real exchange rate is one of the significant factors. In this study, we investigated the causal relationship between the real exchange rate and export of textile and apparel industry by using monthly data, covering from 1998-2008. Exchange rate volatility was also considered in the model using GARCH approach. In order to determine appropriate Granger causality relations, unit root, cointegtration and error correction models were used. With time-series techniques, this study provided evidence that there is a long-run relationship exist between the real exchange rate and export of textile and apparel industry. Based on the results of the model it was concluded that increasing exchange rate volatility negatively impacts on textile and apparel export. Moreover, results indicated that there is a one way casual relationship from real exchange rate to export of textile and apparel industry, and bidirectional Granger causality from exchange rate volatility to textile and apparel industry.
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Bibliographic InfoArticle provided by Anadolu University in its journal Anadolu University Journal of Social Sciences.
Volume (Year): 10 (2010)
Issue (Month): 2 (May)
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Web page: http://www.anadolu.edu.tr/akademik/birim/genelBilgi/205/3429/1
More information through EDIRC
Textile and apparel industry; real exchange rate; GARCH; causality; cointegration; export.;
Find related papers by JEL classification:
- L67 - Industrial Organization - - Industry Studies: Manufacturing - - - Other Consumer Nondurables
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- McKenzie, Michael D. & Brooks, Robert D., 1997. "The impact of exchange rate volatility on German-US trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 73-87, April.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Mckenzie, Michael D., 1998. "The impact of exchange rate volatility on Australian trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 21-38, January.
- Peree, Eric & Steinherr, Alfred, 1989. "Exchange rate uncertainty and foreign trade," European Economic Review, Elsevier, vol. 33(6), pages 1241-1264, July.
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