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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Costas Karfakis, 2003. "Exchange rate determination during hyperinflation: the case of the Romanian lei," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 473-476.
- Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
- Irfan Civcir, 2003. "The Monetary Model of the Exchange Rate under High Inflation -The case of the Turkish Lira/US Dollar," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 53(3-4), pages 113-129, March.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Marco Rossi & Daniel Leigh, 2002. "Exchange Rate Pass-Through in Turkey," IMF Working Papers 02/204, International Monetary Fund.
- Groen, Jan J. J., 2000.
"The monetary exchange rate model as a long-run phenomenon,"
Journal of International Economics,
Elsevier, vol. 52(2), pages 299-319, December.
- Jan J.J. Groen, 1998. "The Monetary Exchange Rate Model as a Long-Run Phenomenon," Tinbergen Institute Discussion Papers 98-082/2, Tinbergen Institute.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Bahmani-Oskooee, Mohsen & Kara, Orhan, 2000. "Exchange rate overshooting in Turkey," Economics Letters, Elsevier, vol. 68(1), pages 89-93, July.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Mark, Nelson C. & Sul, Donggyu, 2001.
"Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel,"
Journal of International Economics,
Elsevier, vol. 53(1), pages 29-52, February.
- Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.