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

Author

Listed:
  • Serpil Turkyilmaz
  • Mustafa Ozer
  • Erol kutlu

    () (Bilecik University
    Anadolu University)

Abstract

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
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    File URL: http://www.anadolu.edu.tr/arastirma/hakemli_dergiler/sosyal_bilimler/pdf/2007-2/bolum_08.pdf
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    More about this item

    Keywords

    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

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