IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v7y2000i5p285-291.html
   My bibliography  Save this article

Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997

Author

Listed:
  • Lucio Sarno

Abstract

The long-run purchasing power parity (PPP) hypothesis is re-examined using data for Turkey and its major trading partners during the period 1980-97, extending recent work by Telatar and Kazdagli. The empirical analysis suggests that, while conventional unit root tests do not enable the detection of mean reversion in real exchange rates and hence imply rejection of long-run PPP over the sample, using recently developed nonlinear modelling techniques, strong support is provided for the validity of long-run PPP as well as for theoretical models which predict nonlinear adjustment in real exchange rates. Results are in accord with previous evidence that PPP holds more closely on data for countries which have experienced unusually high inflation.

Suggested Citation

  • Lucio Sarno, 2000. "Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 285-291.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:5:p:285-291
    DOI: 10.1080/135048500351401
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048500351401&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/135048500351401?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & Huay-Huay Lee, 2008. "Linearity and Stationarity of South Asian Real Exchange Rates," The IUP Journal of Applied Economics, IUP Publications, vol. 0(5), pages 48-58, September.
    2. Zeynel Abidin Ozdemir, 2007. "The purchasing power parity hypothesis in Turkey: evidence from nonlinear STAR error correction models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(4), pages 307-311.
    3. Dağdeviren, Sengül & Ogus Binatli, Ayla & Sohrabji, Niloufer, 2011. "Misalignment under different exchange rate regimes: the case of Turkey," MPRA Paper 46774, University Library of Munich, Germany.
    4. Mark J. Holmes, 2010. "Are Asia‐Pacific Real Exchange Rates Stationary? A Regime‐Switching Perspective," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 189-203, May.
    5. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
    6. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    7. Irfan Civcir, 2003. "Before the Fall, Was the Turkish Lira Overvalued?," Eastern European Economics, Taylor & Francis Journals, vol. 41(2), pages 69-99, March.
    8. Venus Khim-Sen Liew & Chee-Keong Choong & Evan Lau & Kian-Ping Lim, 2005. "Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia," Economics Bulletin, AccessEcon, vol. 6(11), pages 1-16.
    9. Aykut Kibritcioglu & Bengi Kibritcioglu, 2004. "Real Exchange Rate Misalignment in Turkey, 1987-2003 (in Turkish)," Macroeconomics 0403006, University Library of Munich, Germany, revised 22 Apr 2004.
    10. Tsangyao Chang & Ming Jing Yang & Chien-Chung Nieh & Chi-Chen Chiu, 2008. "Nonlinear short-run adjustments in US stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(13), pages 1075-1083.
    11. Mubariz Hasanov, 2009. "A note on efficiency of Australian and New Zealand stock markets," Applied Economics, Taylor & Francis Journals, vol. 41(2), pages 269-273.
    12. Zeynel Abidin Ozdemir & Emre Aksoy, 2015. "Are real exchanges rate series really persistent?: evidence from three commonwealth of independent states countries," Applied Economics, Taylor & Francis Journals, vol. 47(40), pages 4299-4309, August.
    13. Dimitrios Sideris, 2006. "Purchasing Power Parity in economies in transition: evidence from Central and East European countries," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 135-143.
    14. Thomas L Bradley & Paul B Eberle, 2023. "Purchasing Power Parity In Russia And The Transitioning Economy 1990-1995," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 85-111, June.
    15. Joseph Alba & Donghyun Park, 2005. "Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 12(11), pages 701-704.
    16. Huseyin Kalyoncu, 2009. "New evidence of the validity of purchasing power parity from Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 63-67.
    17. repec:cii:cepiei:2012-q2-130-4 is not listed on IDEAS
    18. Ashley, Richard & Li, Guo, 2014. "Re-examining the impact of housing wealth and stock wealth on retail sales: Does persistence in wealth changes matter?," Journal of Housing Economics, Elsevier, vol. 26(C), pages 109-118.
    19. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
    20. Nilgün Çil Yavuz, 2009. "Purchasing power parıty with multiple structural breaks: evidence from Turkey," Economics Bulletin, AccessEcon, vol. 29(2), pages 1201-1210.
    21. Adiguzel, Ugur & Sahbaz, Ahmet & Ozcan, Ceyhun Can & Nazlioglu, Saban, 2014. "The behavior of Turkish exchange rates: A panel data perspective," Economic Modelling, Elsevier, vol. 42(C), pages 177-185.
    22. repec:ebl:ecbull:v:6:y:2005:i:11:p:1-16 is not listed on IDEAS
    23. Bulent Guloglu & Serdar Ispira & Deniz Okat, 2011. "Testing the validity of quasi PPP hypothesis: evidence from a recent panel unit root test with structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 18(18), pages 1817-1822, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:7:y:2000:i:5:p:285-291. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.