IDEAS home Printed from
   My bibliography  Save this article

Atime Series Analysis Ofthe Relationships Between The Volatilityofexchange Rate, Exports And Imports


  • Serpil Turkyilmaz
  • Mustafa Ozer
  • Erol kutlu

    () (Bilecik University
    Anadolu University)


In this study, monthly nominal exchange rate volatility has been obtained by using AR(1)- TGARCH(1,1) model over the period 1999:01-2007:01 in Turkey and the direction of causality relationships among nominal exchange rate volatility, import and export have been tried to be determined by the Granger Causality Test of the Standard VAR model. Furthermore, in the study, the results of the Impulse-Response Analysis and the Variance Decomposition Analysis of the StandardVAR model have been obtained as an evidence of presence of one sided causality relationship from exportto nominal exchange rate volatility, and two sided causality relationships between import and the nominal exchange rate volatility, and between import and export.

Suggested Citation

  • Serpil Turkyilmaz & Mustafa Ozer & Erol kutlu, 2007. "Atime Series Analysis Ofthe Relationships Between The Volatilityofexchange Rate, Exports And Imports," Anadolu University Journal of Social Sciences, Anadolu University, vol. 7(2), pages 133-150, December.
  • Handle: RePEc:and:journl:v:7:y:2007:i:2:p:133-150

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Nominal Exchange Rate Volatility; Import; Export; TGARCH Modeli; the Granger Causality Test; the Impulse-Response Analysis; the Variance Decomposition Analysis.;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • 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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:and:journl:v:7:y:2007:i:2:p:133-150. 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: (Social Sciences Institute). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.