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Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy

Listed author(s):
  • Levent, Korap

Akyuz, Y. and Boratav, K. (2003). The making of the Turkish financial crisis, World Development, 31/9, 1549-1566. Alper, C.E. (2001). The Turkish liquidity crisis of 2000: What went wrong, Russian and East European Finance and Trade, 37/6, 51-71. Aslan, O. and Korap L. (2007). Structural VAR identification of the Turkish business cycles, International Research Journal of Finance and Economics, 9, 72-86. Baillie, R.T. and Bollerslev, T. (2000). The forward premium anomaly is not as bad as you think, Journal of International Money and Finance, 19, 471-488. Beyaert, A., García-Solanes, J., and Pérez-Castejón, J.J. (2007). Uncovered interest parity with switching regimes, Economic Modelling, 24, 189-202. Bhatti, R.H. and Moosa, I.A. (1995). An alternative approach to testing uncovered interest parity, Applied Economics Letters, 2, 478-481. Chinn, M.D. and Meredith, G. (2004). Monetary policy and long-horizon uncovered interest parity, IMF Staff Papers, 51/3, 409-430. DeJong, D. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H. (1989). Integration versus trend-stationarity in macroeconomic time-series, University of Iowa Working Paper Series, No. 89/31, December. Dickey, D. A., Jansen, D. W. and Thornton, D. L. (1991). A primer on cointegration with an application to money and income, The Federal Reserve Bank of St. Louis Review, March/April, 58-78. Dornbusch, R. (2001). A primer on emerging market crises, NBER Working Paper, 8326, June. Dulger, F. and Cin, M.F. (2002). Monetary approach to determining exchange rate dynamics in Turkey and a test for co-integration (in Turkish), METU Studies in Development, 29/1-2, 47-68. Eichengreen, B. (2001). Crisis preventation and management: Any new lessons from Argentina and Turkey?, Background Paper Written for the World Bank’s Global Development Finance 2002, University of California, Berkeley. Ekinci, N.K. and Erturk, K.A. (2007). Turkish currency crisis of 2000-2001, revisited, International Review of Applied Economics, 21/1, January, 29-41. Engle, R. F. and Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing, Econometrica, 55, 251-276. Ertugrul, A. and Yeldan, E. (2002). On the structural weakness of the post-1999 Turkish disinflation program, Turkish Studies Quarterly, 4/2, 53-67. Flood, R.P. and Rose, A.K. (2002). Uncovered interest parity in crisis, IMF Staff Papers, 49/2, 252-266. Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables, Oxford Bulletin of Economics and Statistics, 48/3, 213-228. Granger, C.W.J. and Newbold, P. (1974). Spurious regressions in economics, Journal of Econometrics, 2/2, 111-120. Huisman, R., Koedijk, K., Kool, C., and Nissen, F. (1998). Extreme support for uncovered interest parity, Journal of International Money and Finance, 17, 211-228. Isard, P. (2006). Uncovered interest parity, IMF Working Paper, WP/06/96. Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210. Kesriyeli, M. (1994). Policy regime changes and testing for the Fisher and UIP hypothesis: The Turkish experience, CBRT Research Department Discussion Paper, No. 9411, December. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root, Journal of Econometrics, 54, 159-178. Leigh, D. and Rossi, M. (2002). Exchange rate pass-through in Turkey, IMF Working Paper, WP/02/2004. MacKinnon, J.G. (1996). Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601-618. McCallum, B. T. (1994). A reconsideration of the uncovered interest parity relationship, Journal of Monetary Economics, 33, 105-132. Phillips, P. (1986). Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-40. Sachsida, A., Ellery Jr., R. and Teixeira, J.R. (2001). Uncovered interest parity and the peso problem: The Brazilian case, Applied Economics Letters, 8, 179-181. Sul, D. (1999). Does ex-post uncovered interest differential reflect the degrees of capital mobility?, Applied Economics Letters, 6, 97-102. Uygur, E. (2001). From crisis to crisis in Turkey: 2000 November and 2001 February crises (in Turkish), Turkish Economic Association Discussion Paper, 2001/1.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19618.

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Date of creation: 2007
Publication status: Published in International Research Journal of Finance and Economics 10 (2007): pp. 120-128
Handle: RePEc:pra:mprapa:19618
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  1. Akyuz, Yilmaz & Boratav, Korkut, 2003. "The Making of the Turkish Financial Crisis," World Development, Elsevier, vol. 31(9), pages 1549-1566, September.
  2. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  3. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-433, March.
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
  5. Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
  6. Adolfo Sachsida & Roberto Ellery & Joanilio Rodolpho Teixeira, 2001. "Uncovered interest parity and the peso problem: the Brazilian case," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 179-181.
  7. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
  8. Mehtap Kesriyeli, 1994. "Policy Regime Changes and Testing for the Fisher and UIP Hypotheses : The Turkish Evidence," Discussion Papers 9411, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  9. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  10. Robert P. Flood & Andrew K. Rose, 2002. "Uncovered Interest Parity in Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 49(2), pages 1-6.
  11. Peter Isard, 2006. "Uncovered Interest Parity," IMF Working Papers 06/96, .
  12. Razzaque Bhatti & Imad Moosa, 1995. "An alternative approach to testing uncovered interest parity," Applied Economics Letters, Taylor & Francis Journals, vol. 2(12), pages 478-481.
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  14. 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 213-228, August.
  15. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
  16. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, vol. 24(2), pages 189-202, March.
  17. Rudi Dornbusch, 2002. "A Primer on Emerging-Market Crises," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 743-754 National Bureau of Economic Research, Inc.
  18. James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
  19. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
  20. Levent, Korap, 2007. "Structural VAR identification of the Turkish business cycles," MPRA Paper 21971, University Library of Munich, Germany.
  21. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.
  22. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  23. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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