Serpil Turkyilmaz Mustafa Ozer Erol kutlu () (Bilecik University, Anadolu University)
Abstract
In this study, monthly nominal exchange rate volatility has been obtained by using AR(1)- TGARCH(1,1) model over the period 1999:01-2007:01 in Turkey and the direction of causality relationships among nominal exchange rate volatility, import and export have been tried to be determined by the Granger Causality Test of the Standard VAR model. Furthermore, in the study, the results of the Impulse-Response Analysis and the Variance Decomposition Analysis of the StandardVAR model have been obtained as an evidence of presence of one sided causality relationship from exportto nominal exchange rate volatility, and two sided causality relationships between import and the nominal exchange rate volatility, and between import and export.
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Volume (Year): 7 (2007) Issue (Month): 2 (December) Pages: 133-150 Download reference. The following formats are available: HTML
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