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Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration

  • Kasman, Adnan
  • Ayhan, Duygu
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4P30258-1/2/44d2b3165aad95b7722d64857a766b5e
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 25 (2008)
    Issue (Month): 1 (January)
    Pages: 83-92

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    Handle: RePEc:eee:ecmode:v:25:y:2008:i:1:p:83-92
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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    1. Aizenman, Joshua & Marion, Nancy, 2003. "The high demand for international reserves in the Far East: What is going on?," Journal of the Japanese and International Economies, Elsevier, vol. 17(3), pages 370-400, September.
    2. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    3. Hakan Berument & Asli Günay, 2003. "Exchange Rate Risk and Interest Rate: A Case Study for Turkey," Open Economies Review, Springer, vol. 14(1), pages 19-27, January.
    4. Philip Lane & Dominic Burke, 2001. "The Empirics of Foreign Reserves," Trinity Economics Papers 20015, Trinity College Dublin, Department of Economics.
    5. Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Subidey Togan & Hasan Ersel, 2004. "Foreign Exchange Regime, the Real Exchange Rate and Current Account Sustainability: The Case of Turkey," Working Papers 0422, Economic Research Forum, revised Oct 2004.
    7. U. Ozlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1839-1849.
    8. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
    9. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
    10. Cem Aysoy & Ercan Balaban & Cigdem Kogar & Cevriye Ozcan, 1996. "Daily Volatility in the Turkish Foreign Exchange Market," Discussion Papers 9625, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    11. Cem Aysoy & Ercan Balaban, 1996. "The Term Structure of Volatility in the Turkish Foreign Exchange : Implications for Option Pricing and Hedging Decisions," Discussion Papers 9613, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    12. Pablo García & Claudio Soto, 2006. "Large Hoardings of International Reserves: Are They Worth It?," Central Banking, Analysis, and Economic Policies Book Series, in: Ricardo Caballero & César Calderón & Luis Felipe Céspedes & Norman Loayza (Series Editor) & Klaus Sc (ed.), External Vulnerability and Preventive Policies, edition 1, volume 10, chapter 6, pages 171-206 Central Bank of Chile.
    13. Hakan Berument & N. Nergiz Dincer, 2004. "The effects of exchange rate risk on economic performance: the Turkish experience," Applied Economics, Taylor & Francis Journals, vol. 36(21), pages 2429-2441.
    14. Akash Gupta & Rahul Agarwal, 2004. "How should emerging economies manage their foreign exchange reserves?," International Finance 0401005, EconWPA.
    15. Levy, Victor, 1983. "Demand for international reserves and exchange-rate intervention policy in an adjustable-peg economy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 89-101.
    16. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
    17. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    18. Paresh Kumar Narayan & Russell Smyth, 2004. "The relationship between the real exchange rate and balance of payments: empirical evidence for China from cointegration and causality testing," Applied Economics Letters, Taylor & Francis Journals, vol. 11(5), pages 287-291.
    19. Akcay, O. Cevdet & Alper, C. Emre & Karasulu, Meral, 1997. "Currency substitution and exchange rate instability: The Turkish case," European Economic Review, Elsevier, vol. 41(3-5), pages 827-835, April.
    20. Selçuk, Faruk, 2004. "Free float and stochastic volatility: the experience of a small open economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 693-700.
    21. Joshua Aizenman & Nancy Marion, 2003. "Foreign exchange reserves in East Asia: why the high demand?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr25.
    22. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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