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Vector Autoregression Approach To The Relations Among Current Account, Real Exchange Rate And Growth In Turkey

Author

Listed:
  • ?brahim Bak?rta?

    (Aksaray University)

  • Süleyman Koç

    (Aksaray University)

Abstract

Current account deficit (CAD) is particularly the main vulnerability of Turkish economy in the post 2001 crises period. High level of CAD/GDP ratio was a crisis indicator for Turkish economy but this remarkable indicator can not cause any crisis despite of 5 percent period mean value in the post 2001 crisis era. In this study we try to determine dynamic relationship among CAD, real effective exhange rate (REER) and economic growth in Turkey by using Vector Autoregression (VAR) method in the 2003Q1-2014Q3 period. Based on the estimated VAR model, impulse-response functions and forecast error variance decompositions shows that current account deficit (CAD) is a strong determiner of economic growth in Turkey. We also found that CAD and REER are granger cause of economic growth in Turkish economy.

Suggested Citation

  • ?brahim Bak?rta? & Süleyman Koç, 2015. "Vector Autoregression Approach To The Relations Among Current Account, Real Exchange Rate And Growth In Turkey," Proceedings of International Academic Conferences 2504064, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:2504064
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    File URL: https://iises.net/proceedings/16th-international-academic-conference-amsterdam/table-of-content/detail?cid=25&iid=011&rid=4064
    File Function: First version, 2015
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    More about this item

    Keywords

    Current Account Deficit; Vector Autoregression; Growth; Real Exchange Rate; Turkish economy.;
    All these keywords.

    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; State Space Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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