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Cointegration and Causality among Foreign Direct Investment in Tourism Sector, GDP, and Exchange Rate Volatility in Turkey

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Sekmen, Fuat

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Abstract

The Granger-causality (GC) and error correction (ECM) techniques were applied 1980-2005 data for Turkey to examine cointegration and causality among foreign direct investment(FDI) in tourism sector, overall GDP, and exchange rate volatility (EX). According to the ECM technique, the hypothesis that “no cointegration” was rejected for all three variables. The GC results detect causality runs from one-way from GDP to FDI, but the GC results detect bi-directional causality between GDP and EX suggesting that GDP and EX are jointly determined, but one way causality running from FDI to EX.

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File URL: http://mpra.ub.uni-muenchen.de/8736/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8736.

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Date of creation: Jan 2007
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Handle: RePEc:pra:mprapa:8736

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Related research
Keywords: Cointegration; Causality; Vector Error Correction Model; Turkey.;

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E0 - Macroeconomics and Monetary Economics - - General

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  1. Ethier, Wilfred, 1973. "International Trade and the Forward Exchange Market," American Economic Review, American Economic Association, vol. 63(3), pages 494-503, June. [Downloadable!] (restricted)
  2. Jong Il Choe, 2003. "Do Foreign Direct Investment and Gross Domestic Investment Promote Economic Growth?," Review of Development Economics, Blackwell Publishing, vol. 7(1), pages 44-57, February. [Downloadable!] (restricted)
  3. Henrik Hansen & John Rand, 2006. "On the Causal Links Between FDI and Growth in Developing Countries," The World Economy, Blackwell Publishing, vol. 29(1), pages 21-41, 01. [Downloadable!] (restricted)
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  4. Broll, Udo, 1994. "Foreign Production and Forward Markets," Australian Economic Papers, Blackwell Publishing, vol. 33(62), pages 1-6, June.
  5. Giovannini, Alberto, 1988. "Exchange rates and traded goods prices," Journal of International Economics, Elsevier, vol. 24(1-2), pages 45-68, February. [Downloadable!] (restricted)
  6. Sebnem Kalemli-Ozcan & Laura Alfaro & Selin Sayek & Areendam Chanda, 2002. "FDI and Economic Growth: The Role of Local Financial Markets," Macroeconomics 0212007, EconWPA. [Downloadable!]
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  7. Romer, Paul, 1993. "Idea gaps and object gaps in economic development," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 543-573, December. [Downloadable!] (restricted)
  8. Gagnon, Joseph E., 1993. "Exchange rate variability and the level of international trade," Journal of International Economics, Elsevier, vol. 34(3-4), pages 269-287, May. [Downloadable!] (restricted)
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  9. Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June. [Downloadable!] (restricted)
  10. Borensztein, E. & De Gregorio, J. & Lee, J-W., 1998. "How does foreign direct investment affect economic growth?1," Journal of International Economics, Elsevier, vol. 45(1), pages 115-135, June. [Downloadable!] (restricted)
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