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Cointegration And Causality Among Exchange Rate, Export, And Import: Empirical Evidence From Turkey

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  • SEKMEN, Fuat
  • SARIBAS, Hakan

Abstract

This paper examines the cointegration and causality among exchange rate, export, and import for Turkey during the period of 1998-2006. The econometrics results show that there is a cointegration between exports and import, but direction of causality is bi-directional between these two variables. The impulse response functions also supports that there is a trade-off between exports and imports; for example, when imports are high, there is smaller exports at that time. This study supports few investigators who find no negative effect of exchange rate volatility on trade volume since it is found that exchange rates cannot determine the variation in exports and imports.

Suggested Citation

  • SEKMEN, Fuat & SARIBAS, Hakan, 2007. "Cointegration And Causality Among Exchange Rate, Export, And Import: Empirical Evidence From Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 71-78.
    • Handle: RePEc:eaa:aeinde:v:7:y:2007:i:2_5
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    References listed on IDEAS

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    Cited by:

    1. Rambeli@Ramli, Norimah & Hashim, Emilda & Hashim, Asmawi & Affizzah Awang Marikan, Dayang & Podivinsky, Jan, 2017. "Empirical Analysis on Exchange Rate Fluctuation and Sectoral Stock Returns in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 51(1), pages 31-38.
    2. Erten, Irem & Okay, Nesrin, 2012. "Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011," MPRA Paper 56191, University Library of Munich, Germany.
    3. Jiranyakul, Komain, 2011. "Are Thai Manufacturing Exports and Imports of Capital Goods Related?," MPRA Paper 45654, University Library of Munich, Germany.
    4. SEKMEN, Fuat, 2008. "Is Current Account Deficit A Message For Economic Crises For Turkey," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 49-60.
    5. Zuhal Ozbay Das, 2021. "Inequality and the Import Demand in Turkey," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 71(71-2), pages 395-410, December.

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    More about this item

    Keywords

    Export; Import; Exchange Rate; Cointegration; and Impulse Response Function;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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