A monetary model of TL/US$ exchange rate: a co-integrating approach
AbstractIn our paper, we investigate the exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following the monetary model exchange rate determination based on the economic fundamentals, the multivariate Johansen-Juselius type co-integrating modeling is employed to reveal the long-run stationary relationships leading to the determination of nominal exchange rate for the Turkish economy. Our findings give strong support to the monetary model of exchange rate and indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20389.
Date of creation: 2008
Date of revision:
Publication status: Published in İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Dergisi 59.19(2009): pp. 75-80
Exchange Rates; Monetary Model; Turkish Economy;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
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