Leading Economic Determinants of Foreign Trade Volume in Turkish Agriculture Sector
We empirically analyze the main economic factors affecting the export and import levels in Turkish agriculture sector. Using monthly time series of certain domestic and international variables, we make three complementary analysis; namely, principal component analysis, causality and co-integration analysis, and multivariate GARCH analysis. The empirical findings point out the fact that foreign trade volume in Turkish agriculture sector is statistically in relation with agricultural production, consumer price index, market capitalization of the firms, and international agriculture prices.
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, December.
- Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology.
- Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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