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The Dynamic Effect of Exchange-Rate Volatility on Turkish Exports: Parsimonious Error-Correction Model Approach

Author

Listed:
  • Erdal Demirhan
  • Banu Demirhan

Abstract

This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchange-rate stability has a significant positive effect on real export volume, both in the short and the long run. Key words: Exchange-rate volatility, Export function, Parsimonious error-correction model, Cointegration, Turkey.JEL: F10, F31.

Suggested Citation

  • Erdal Demirhan & Banu Demirhan, 2015. "The Dynamic Effect of Exchange-Rate Volatility on Turkish Exports: Parsimonious Error-Correction Model Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(4), pages 429-451.
    • Handle: RePEc:voj:journl:v:62:y:2015:i:4:p:429-451:id:56
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    File URL: https://panoeconomicus.org/index.php/jorunal/article/view/56/53
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    Cited by:

    1. Burak Darici & Ahmet Aydin & Fatih Ayhan & Merve Altaylar, 2023. "Macroeconomic Determinants of Tourism Demand Toward Emerging Markets," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-2), pages 837-864, December.

    More about this item

    Keywords

    Exchange-rate volatility; Export function; Parsimonious error-correction mode; Cointegration; Turkey;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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