Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index?

Year 2019, Volume: 33 Issue: 2, 479 - 494, 29.03.2019

Efe Çağlar Çağlı Fatma Dilvin Taşkın

Abstract

In this paper, we examine the long-run
relationship between Dollar Index and foreign exchange rates of ‘Fragile Five’
economies, respectively. We analyze foreign exchange rates of Turkey,
Indonesia, Brazil, South Africa, India, and weighted average of the foreign
exchange value of the US dollar against the currencies of both the broad group
of major U.S. trading partners and group of the major currencies. We employ
nonlinear cointegration framework and Granger causality tests on the weekly
data covering January 2002 – June 2018. The empirical results that the foreign
exchange rates do not have significant long-run relationship with the trade
weighted US Dollar index. However, the dollar index does have significant
impact on the foreign exchange rates of Fragile Five, respectively, in the
short-run.

Keywords

Fragile Five, Dollar Index, Nonlinear Cointegration, Nonlinear Causality

Kırılgan Beşli Ekonomilerinin Döviz Kuru Hareketleri: Dolar Endeksini Takip Ediyorlar mı?

Abstract

Bu çalışmada, dolar endeksi ile ‘Kırılgan Beşli’ ülkeleri döviz kurları
arasındaki uzun dönemli ilişki incelenmektedir. Türkiye, Endonezya, Brezilya,
Güney Afrika ve Hindistan’ın döviz kurları ile birlikte ana ticaret ortakları
ve başlıca para birimleri ağırlıklı dolar endeksleri analiz edilmiştir. Ocak
2002 – Haziran 2018 dönemini kapsayan haftalık verilere doğrusal olmayan
eşbütünleşme sistemi ve Granger nedensellik testleri uygulanmıştır. Sonuçlar,
döviz kurlarının, ana ticaret ortakları ağırlıklı dolar endeksiyle uzun vadeli
ilişkiye sahip olmadığını göstermektedir. Bununla birlikte, dolar endeksinin,
kısa vadede Kırılgan Beşli döviz kurları üzerinde anlamlı etkisinin olduğu
görülmektedir.

Keywords

Kırılgan Beşli, Dolar Endeksi, Doğrusal Olmayan Eşbütünleşme, Doğrusal Olmayan Nedensellik

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