Advanced Search
MyIDEAS: Login to save this paper or follow this series

Real Exchange Rate Misalignment in Turkey, 1987-2003 (in Turkish)

Contents:

Author Info

  • Aykut Kibritcioglu

    (Ankara University Turkey)

  • Bengi Kibritcioglu

    (Undersecretariat of the Treasury Turkey)

Abstract

Real exchange rate misalignment measures deviations of actual real exchange rate from its long-run, or equilibrium, level. Policy makers and many researchers are interested in predicting and monitoring misalignment in the foreign exchange market, because, in many cases, it is closely related to possible current account problems or impending currency crises. This study mainly aims to discuss the sensitivity of estimation results to the alternative combinations of different actual real exchange rate indices and equilibrium definitions, by using quarterly data from 1987 to 2003 for Turkish lira. The 16 measures of misalignment employed in this study show that the differences between these alternative measures vary between 6.5 and 36.5 percent points, which actually is a strong indication for high sensitivity of the degree of misalignment to the combination of the actual real exchange rate index and the definition of its long-run level. ABSTRACT IN TURKISH: TURKIYE'DE UZUN-DONEM REEL DOVIZ KURU DENGESIZLIGI, 1987-2003. Cari reel doviz kurunun uzun-donem denge reel doviz kurundan sapma derecesi, son yillarda iktisatcilar ve politika yapicilar tarafindan giderek daha cok olculmeye, izlenmeye ve aciklanmaya calisilmaktadir. Bu calismada, once farkli cari reel doviz kuru tanimlari uzerinde durulup uzun-donem reel denge doviz kuru olcum yontemleriyle ilgili genis literatur ozetlenmekte; daha sonra ise, Turkiye ekonomisiyle ilgili az sayidaki ampirik arastirma yontem, donem ve bulgulari acisindan kisaca karsilastirilmaktadir. Calisma; Turkiye'de 1987-2003 yillarinda meydana gelen "reel doviz kuru sapmalari"nin farkli yontem ve varsayimlara gore guncel zaman serisi teknikleri kullanilarak tahmin edilmesini ve sapmalarin derecesindeki degismelerin olgusal ve makroekonomik bilgiler isiginda degerlendirilmesini amaclamaktadir. Arastirmanin bulgulari; kullanilan 16 farkli cari kur - denge kuru bilesiminin veri donemler icin 6.5 ile 36.5 yuzde puan arasinda degisen ciddi sapma tahmini farkliliklari dogurabildigini gostermektedir.]

Download Info

If 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.
File URL: http://128.118.178.162/eps/mac/papers/0403/0403006.pdf
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0403006.

as in new window
Length:
Date of creation: 05 Mar 2004
Date of revision: 09 Mar 2004
Handle: RePEc:wpa:wuwpma:0403006

Note: Type of Document -
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords: Exchange rate determination; purchasing power parity; real exchange rate; misalignment; time series techniques; Turkish economy;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Maurice Obstfeld, 2001. "International Macroeconomics: Beyond the Mundell-Fleming Model," NBER Working Papers 8369, National Bureau of Economic Research, Inc.
  2. Ofair Razin & Susan M. Collins, 1997. "Real Exchange Rate Misalignments and Growth," NBER Working Papers 6174, National Bureau of Economic Research, Inc.
  3. W A Razzak & Thomas Grennes, 1998. "The long-run nominal exchange rate: specification and estimation issues," Reserve Bank of New Zealand Discussion Paper Series G98/5, Reserve Bank of New Zealand.
  4. 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.
  5. Irfan Civcir, 2003. "Before the Fall, Was the Turkish Lira Overvalued?," Eastern European Economics, M.E. Sharpe, Inc., vol. 41(2), pages 69-99, March.
  6. Ghura, Dhaneshwar & Grennes, Thomas J., 1993. "The real exchange rate and macroeconomic performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 42(1), pages 155-174, October.
  7. Michael G. Arghyrou & Virginie Boinet & Christopher Martin, 2003. "Non-linear and non-symmetric exchange-rate adjustment:New evidence from medium- and high-inflation countries," Economics and Finance Discussion Papers 03-12, Economics and Finance Section, School of Social Sciences, Brunel University.
  8. Ronald MacDonald, 1995. "Long-Run Exchange Rate Modeling," IMF Working Papers 95/14, International Monetary Fund.
  9. Jose De Gregorio & Alberto Giovannini & Holger C. Wolf, 1993. "International Evidence on Tradables and Nontradables Inflation," Working Papers 93-17, New York University, Leonard N. Stern School of Business, Department of Economics.
  10. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  11. Luci Ellis, 2001. "Measuring the Real Exchange Rate: Pitfalls and Practicalities," RBA Research Discussion Papers rdp2001-04, Reserve Bank of Australia.
  12. Peter J. Montiel & Jonathan D. Ostry, 1994. "The Parallel Market Premium: Is It a Reliable Indicator of Real Exchange Rate Misalignment in Developing Countries?," IMF Staff Papers, Palgrave Macmillan, vol. 41(1), pages 55-75, March.
  13. Joannes Mongardini, 1998. "Estimating Egypt's Equilibrium Real Exchange Rate," IMF Working Papers 98/5, International Monetary Fund.
  14. Lucio Sarno, 2000. "Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 285-291.
  15. Peter B. Clark & Steven A. Symansky & Tamim Bayoumi & Mark P. Taylor, 1994. "Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies," IMF Working Papers 94/17, International Monetary Fund.
  16. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  17. Erdinc Telatar & Hasan Kazdagli, 1998. "Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey 1980-93," Applied Economics Letters, Taylor & Francis Journals, vol. 5(1), pages 51-53.
  18. Frenkel, Jacob A., 1981. "The collapse of purchasing power parities during the 1970's," European Economic Review, Elsevier, vol. 16(1), pages 145-165.
  19. Umit Ozale & Erinc Yeldan, 2002. "Measuring Exchange Rate Misalignment," Working Papers 0206, Economic Research Forum, revised Feb 2002.
  20. Ahmet N. Kipici & Mehtap Kesriyeli, 1997. "Reel Doviz Kuru Tanimlari ve Hesaplama Yontemleri," Working Papers 9701, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  21. Ibrahim A. Elbadawi & Raimundo Soto, . "Real Exchange Rates and Macroeconomic Adjustment in Sub-Sahara Africa and Other Developing Countries," ILADES-Georgetown University Working Papers inv093, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  22. Alper, C. Emre & Saglam, Ismail, 1999. "The Equilibrium Real Exchange Rate: Evidence from Turkey," MPRA Paper 1924, University Library of Munich, Germany.
  23. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584.
  24. Jacob A. Frenkel & Assaf Razin, 1987. "The Mundell-Fleming Model a Quarter Century Later: A Unified Exposition," IMF Staff Papers, Palgrave Macmillan, vol. 34(4), pages 567-620, December.
  25. Nadeem U. Haque & Kajal Lahiri & Peter J. Montiel, 1990. "A Macroeconometric Model for Developing Countries," IMF Staff Papers, Palgrave Macmillan, vol. 37(3), pages 537-559, September.
  26. Hakkio, Craig S., 1984. "A re-examination of purchasing power parity : A multi-country and multi-period study," Journal of International Economics, Elsevier, vol. 17(3-4), pages 265-277, November.
  27. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  28. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  29. Jose De Gregorio & Holger C. Wolf, 1994. "Terms of Trade, Productivity, and the Real Exchange Rate," NBER Working Papers 4807, National Bureau of Economic Research, Inc.
  30. Ofair Razin & Susan M. Collins, 1997. "Real Exchange Rate Misalignments and Growth," International Finance 9707001, EconWPA.
  31. 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.
  32. K. Doroodian & Chulho Jung & Ahmet Yucel, 2002. "Estimating the equilibrium real exchange rate: the case of Turkey," Applied Economics, Taylor & Francis Journals, vol. 34(14), pages 1807-1812.
  33. Ronald Macdonald, 1995. "Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence," IMF Staff Papers, Palgrave Macmillan, vol. 42(3), pages 437-489, September.
  34. Elbadawi, Ibrahim A. & Soto, Raimundo, 1994. "Capital flows and long-term equilibrium real exchange rates in Chile," Policy Research Working Paper Series 1306, The World Bank.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpma:0403006. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.