Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation
This paper investigates the hypothesis that there is a causal relation between speculative pressure and real exchange rate overvaluation, banking-sector fragility, and the level of international reserves in Turkey. An autoregressive distributed lag (ARDL) bounds-testing procedure and Granger causality within vector error-correction models (VECM) are applied to the period after the liberalization of capital flows (August 1989-August 2006). The results of the ARDL bounds test support the theory that exchange market pressure is in a long-run equilibrium relation with the three hypothesized variables over the sample period. On the other hand, the results of the short-run and long-run Granger causality tests indicate the existence of Granger causality running from the three variables to exchange market pressure. The findings further suggest that a feedback relation exists between banking-sector fragility and exchange market pressure.
Volume (Year): 45 (2009)
Issue (Month): 2 (March)
|Contact details of provider:|| Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998.
"Leading Indicators of Currency Crises,"
IMF Staff Papers,
Palgrave Macmillan, vol. 45(1), pages 1-48, March.
- Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
- KOMULAINEN Tuomas LUKKARILA Johanna, . "What Drives Financial Crises in Emerging Markets?," EcoMod2003 330700082, EcoMod.
- Frank J. Atkins & Apostolos Serletis, 2003. "Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low-Frequency International Data," Manchester School, University of Manchester, vol. 71(6), pages 673-679, December.
- Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996.
"Financial Crises in Emerging Markets: The Lessons from 1995,"
Harvard Institute of Economic Research Working Papers
1759, Harvard - Institute of Economic Research.
- Jeffrey D. Sachs & Aaron Tornell & Andrés Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(1), pages 147-216.
- Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," NBER Working Papers 5576, National Bureau of Economic Research, Inc.
- Deniz Atasoy & Sweta C. Saxena, 2006.
"Misaligned? Overvalued?. The Untold Story of the Turkish Lira,"
Emerging Markets Finance and Trade,
M.E. Sharpe, Inc., vol. 42(3), pages 29-45, May.
- Deniz Atasoy & Sweta C. Saxena, 2005. "Misaligned? Overvalued? The Untold Story of the Turkish Lira," International Finance 0508002, EconWPA.
- Bengi Kibritcioglu & Bulent Kose & Gamze Ugur, 2001. "A Leading Indicators Approach to the Predictability of Currency," International Finance 0108001, EconWPA, revised 06 Sep 2001.
- Salih Katircioglu, 2009. "Tourism, trade and growth: the case of Cyprus," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2741-2750.
- Tuomas Komulainen & ) & Johanna Lukkarila, 2003. "What drives financial crises in emerging markets?," Macroeconomics 0304010, EconWPA.
- Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," Emerging Markets Review, Elsevier, vol. 4(3), pages 248-272, September.
- Morley, Bruce, 2006. "Causality between economic growth and immigration: An ARDL bounds testing approach," Economics Letters, Elsevier, vol. 90(1), pages 72-76, January.
- Kumar, Mohan & Moorthy, Uma & Perraudin, William, 2003. "Predicting emerging market currency crashes," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 427-454, September.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999.
"The Twin Crises: The Causes of Banking and Balance-of-Payments Problems,"
American Economic Review,
American Economic Association, vol. 89(3), pages 473-500, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
- Ramon Moreno, 1995.
"Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies,"
Pacific Basin Working Paper Series
95-05, Federal Reserve Bank of San Francisco.
- Ramon Moreno, 1995. "Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16.
- C. Emre Alper & Ziya Onis, 2001.
"Financial Globalization, the Democratic Deficit and Recurrent Crises in Emerging Markets: the Turkish Experience in the Aftermath of Capital Account Liberalization,"
2001/14, Bogazici University, Department of Economics.
- C. Emre Alper & Ziya Onis, 2003. "Financial Globalization, the Democratic Deficit, and Recurrent Crises in Emerging Markets : The Turkish Experience in the Aftermath of Capital Account Liberalization," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(3), pages 5-26, May.
- Narayan, Paresh Kumar & Smyth, Russell, 2005. "Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests," Energy Policy, Elsevier, vol. 33(9), pages 1109-1116, June.
- F. Gulcin Ozkan, 2005. "Currency and Financial Crises in Turkey 2000-2001: Bad Fundamentals or Bad Luck?," The World Economy, Wiley Blackwell, vol. 28(4), pages 541-572, 04.
- Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," BOFIT Discussion Papers 5/2003, Bank of Finland, Institute for Economies in Transition.
- Mariano Roberto S & Gultekin Bulent N & Ozmucur Suleyman & Shabbir Tayyeb & Alper C. Emre, 2004. "Prediction of Currency Crises: Case of Turkey," Review of Middle East Economics and Finance, De Gruyter, vol. 2(2), pages 1-21, August.
- Aykut Kibritcioglu, 2002. "Monitoring Banking Sector Fragility," Macroeconomics 0206004, EconWPA, revised 05 Apr 2004.
- 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.
When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:45:y:2009:i:2:p:65-81. 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: (Chris Nguyen)The email address of this maintainer does not seem to be valid anymore. Please ask Chris Nguyen to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.