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EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH

Year 2008, Issue: 7, 24 - 50, 05.09.2011

Abstract

In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following a large literature review we first highlight various approaches explaining monetary model exchange rate determination based on economic fundamentals and then construct an empirical model revealing both long-run stationary relationships and short-run dynamic adjustment processes of the nominal exchange rate for the Turkish economy. Our findings employing multivariate Johansen-Juselius type co-integrating approach indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based
equilibrium course of the nominal exchange rate have permanent effects on the long-run equilibrium exchange rate and so have been stemmed from the existence of some form of hysteresis effects dominated in the nominal exchange rate. 

References

  • Abhyankar, A., Sarno, L. and Valente, G. (2005). Exchange rates and fundamentals: evidence on the economic value of predictability, Journal of International Economics, 66, 325-348.
  • Anderson, R. G., Hoffman, D. and Rasche, R. H. (1998). A vector error correction forecasting model of the U.S.
  • economy, The Federal Reserve Bank of St Louis Working Paper, 98-008A, May.
  • Bahmani-Oskooee, M. and Kara, O. (2000). Exchange rate overshooting in Turkey, Economics Letters, 68, 89- 93.
  • Berkowitz, J. and Giorgianni, L. (2001). Long-horizon exchange rate predictability?, Review of Economics and Statistics, 83/1, 81-91.
  • Bilson, J.F.O. (1978a). Rational expectations and the exchange rate, In: Frenkel, J.A. and Johnson, H.G. (eds.), The Economics of Exchange Rates: Selected Studies, New York: Addison-Wesley, 201-223.
  • Bilson, J.F.O. (1978b). The monetary approach to the exchange rate: some empirical evidence, IMF Staff Papers, 25, 48-75.
  • Cheung, Y.-W. and Chinn, M. D. (1998). Integration, cointegration and the forecast consistency of structural exchange rate models, Journal of International Money and Finance, 17, 813-830.
  • Cheung, Y.-W. and Lai, K. S. (1993). Finite-sample sizes of Johansen’s likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics, 55, 313-28.
  • Chinn, M.D. and Meese, R.A. (1995). Banking on currency forecasts: is change in money predictable?, Journal of International Economics, 38, 161-178.
  • Civcir, I. (2003a). Before the fall was the Turkish lira overvalued, Eastern European Economics, 41/2, 69-90.
  • Civcir, I. (2003b). The monetary model of the exchange rate under high inflation: the case of Turkish Lira-US Dollar, Finance A Uver, 53/3-4, 113-129.
  • Civcir, I. (2003c). The monetary models of the exchange rate: long-run relationships, short-run dynamics and forecasting, Eastern European Economics, 41/6 43-69.
  • 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. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit
  • root, Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with unit roots, Econometrica, 49, July, 1057-1072.
  • 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.
  • Doornik, J.A., Hendry, D.F. and Nielsen, B. (1998). Inference in cointegrating models: UK M1 revisited, Journal of Economic Surveys, 12/5, 533-572.
  • Dornbusch, R. (1976). Expectations and exchange rate dynamics, Journal of Political Economy, 84/6, 1161- 1176.
  • Dulger, F. and Cin, M.F. (2002). Monetary approach to determining exchange rate dynamics in Turkey and a test for cointegration (in Turkish), METU Studies in Development, 29/1-2, 47-68.
  • Enders, W. (2004). Applied Econometric Time Series, Second Ed., John Wiley & Sons, Inc.
  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
  • Engle, R. F. and Yoo, B. S. (1987). Forecasting and testing in cointegrated systems, Journal of Econometrics, 35, 143-159.
  • Erlat, H. (2003). The nature of persistence in Turkish real exchange rates, Emerging Markets Finance and Trade, 39/2, 70-97.
  • Frankel, J.A. (1979). On the mark: a theory of floating exchange rates based on real interest differentials, American Economic Review, 69/4, 610-622.
  • Frenkel, J.A. (1976). A monetary approach to the exchange rate: doctrinal aspects and empirical evidence, Scandinavian Journal of Economics, 78/2, 200-224.
  • Gokcan, A. and Ozmen, E. (2002). Do PPP and UIP need each other in a financially open economy? the Turkish evidence, ERC Working Papers in Economics, 01/01, May.
  • Goldberg, M. D. (2000). On empirical exchange rate models: what does a rejection of the symmetry restriction on short-run interest rates mean?, Journal of International Money and Finance,19, 673-688.
  • Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, 203-233.
  • 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.
  • Groen, J.J.J. (2000). The monetary exchange rate model as a long-run phenomenon, Journal of International Economics, 52, 299-319.
  • Harris, R.I.D. (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall.
  • Hendry, D. F. (1986). Econometric modelling with cointegrated variables: an overview, Oxford Bulletin of Economics and Statistics, 48/3, 201-212.
  • Hoffman, D. L. and Rasche, R. H. (1996). Assessing forecast perfomance in a cointegrated system, Journal of Applied Econometrics, 11/5, 495-517.
  • Hooper, P. and Morton, J.E. (1982). Fluctuations in the dollar: a model of nominal and real exchange rate determination, Journal of International Money and Finance, 1, 39-56.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. (1992). Determination of cointegration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54/3, 383-397.
  • Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
  • 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, pp.169-210.
  • Johansen, S. and Juselius, K. (1992). Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211-244.
  • Karfakis, C. (2006). Is there an empirical link between the dollar price of the euro and the monetary fundamentals?, Applied Financial Economics, 16, 973-980.
  • 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.
  • Kilian, L. (1999). Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?, Journal of Applied Econometrics, 14/5, 491-510.
  • 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.
  • Lucas, R.E. (1981). Econometric policy evaluation: a critique, In: Lucas, R.E. (ed.), Studies in Business-Cycle Theory, MIT Press, 104-130.
  • Lütkepohl, H. (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.
  • MacDonald, R. and Marsh, I.W. (1997). On fundamentals and exchange rates: a Casselian perspective, Review of Economics and Statistics, 79/4, 655-664.
  • MacDonald, R. and Taylor, M.P. (1993). The monetary approach to the exchange rate rational expectations, long-run equilibrium, and forecasting, IMF Staff Papers, 40/1, 89-107.
  • MacKinnon, J.G. (1991). Critical values for cointegration tests, In: R. F. Engle and C. W. J. Granger (eds.), Long-run Economic Relationships: Readings in Cointegration, Ch. 13, Oxford: Oxford University Press.
  • MacKinnon, J.G. (1996). Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601-618.
  • Mark, N. C. (1995). Exchange rates and fundamentals: evidence on long-horizonpredictability, American Economic Review, 85/1, 201-218.
  • Mark, N.C. and Sul, D. (2001). Nominal exchange rates and monetary fundamentals evidence from a small post- Bretton woods panel, Journal of International Economics, 53, 29-52.
  • McNown, R. and Wallace, M.S. (1994). Cointegration tests of the monetary exchange rate model for three high- inflation economies, Journal of Money, Credit and Banking, 26/3, 396-411.
  • Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics, 14/1-2, 3-24.
  • Metin, K. (1994). A test of long-run purchasing power parity and uncovered interest parity: Turkish case, Bilkent University Discussion Papers, No. 94/2.
  • Moosa, I. A. (2000). A structural time series test of the monetary model of exchange rates under the German hyperinflation, Journal of International Financial Markets, Institutions and Money, 10, 213-223.
  • Mussa, M. (1976). The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating, Scandinavian Journal of Economics, 78/2, 229-248.
  • Neely, C.J. and Sarno, L. (2002). How well do monetary fundamentals forecast exchange rates?, FRB of St. Louis Review, September/October, 51-74.
  • Nelson, C. and Plosser, C. (1982). Trend and random walks in macroeconomic time series: some evidence and implications, Journal of Monetary Economics, 10, 130-162.
  • Nwafor, F.C. (2006). The naira-dollar exchange rate determination: a monetary perspective, International Research Journal of Finance and Economics, 5, 130-135.
  • Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.
  • Ozdemir, Z.A. (2004). Mean reversion in real exchange rate: empirical evidence from Turkey, 1980-1999, METU Studies in Development, 31, 243-265.
  • Pesaran, H. M. and Shin, Y. (1999). An autoregressive distributed lag modelling approach to co-integration analysis, In: Strom, S. (ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frish Centennial Symposium, Cambridge University Press, Cambridge.
  • Pesaran, H. M., Shin, Y. and Smith, R. J. (2001). Bound testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. (1986). Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-40.
  • Phillips, P. and Durlauf, S. (1986). Multiple time series regression with integrated process, Review of Economic Studies, 53, 473-495.
  • Rapach, D.E. and Wohar, M.E. (2002). Testing the monetary model of exchange rate determination: new evidence from a century of data, Journal of International Economics, 58, 359-385.
  • Rapach, D.E. and Wohar, M.E. (2004). Testing the monetary model of exchange rate determination: a closer look at panels, Journal of International Money and Finance, 23, 867-895.
  • Saatcioglu, C., Korap, L. and Volkan, A.G. (2007). Modeling purchasing power parity using co-integration: evidence from Turkey, The Journal of American Academy of Business, 11/2, September, 51-57.
  • Straus-Kahn, M. O. (1991). Error correction models and cointegration in the Bank of France’s econometric works, In: Central Bank of the Republic of Turkey (ed.), The Use of Econometric Models in Central Banks’ Decision Making Problems, Papers Presented at a Workshop held in Ankara, Turkey on 11-14 September 1989, Ankara, August, 15-88.
  • Telatar, E. and Kazdagli, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey, Applied Economics Letters, 5, 51-53.
  • Yavuz, N.C. (2004). KPSS and ADF tests in determining stationarity: an application to ISE National-100 index (in Turkish), Journal of Istanbul University Faculty of Economics, 54/1, 239-247.
  • Yazgan, M.E. (2003). The purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey, Applied Economics Letters, 10/3, 143-147.
  • Yule, G. (1926). Why do we sometimes get nonsense correlations between time series? a study in sampling and the nature of time series, Journal of Royal Statistical Society, 89, 1-64.

EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH

Year 2008, Issue: 7, 24 - 50, 05.09.2011

Abstract

Çalışmamızda, TL/US$ döviz kuru belirlenme mekanizması 1987Q1-2006Q4 döneminde üçer aylık veriler
kullanılarak incelenmektedir. Geniş bir yazın taramasından yaralanılmak suretiyle öncelikle iktisadi temeller
dahilinde oluşturulmuş döviz kuru belirlenme mekaniznasına yönelik çeşitli yaklaşımlar aydınlatılmış ve daha
sonra parasal döviz kurunundan kaynaklanan hem uzun dönem durağan ilişkileri hem de kısa dönemli
devinimsel uyum süreçlerini Türkiye ekonomisi koşullarında ortaya koyan uygulamalı bir model
oluşturulmuştur. Çok değişkenli Johansen-Juselius eş-bütünleşim yaklaşımı kullanılarak elde ettiğimiz
sonuçlar parasal döviz kurunun iktisat kuramı tarafından önerilen temeller ile eş-bütünleşik olduğunu
göstermiştir. Ayrıca, parasal döviz kurunun iktisadi temeller dahilindeki denge yolundan kısa dönemli
sapmaları uzun dönem denge döviz kuru üzerinde kalıcı etkiler göstermekte ve bu nedenle parasal döviz kuru
içerisinde yerleşik bulunan histeresis türü etkilerin varlığı altında ortaya çıkmaktadır.

References

  • Abhyankar, A., Sarno, L. and Valente, G. (2005). Exchange rates and fundamentals: evidence on the economic value of predictability, Journal of International Economics, 66, 325-348.
  • Anderson, R. G., Hoffman, D. and Rasche, R. H. (1998). A vector error correction forecasting model of the U.S.
  • economy, The Federal Reserve Bank of St Louis Working Paper, 98-008A, May.
  • Bahmani-Oskooee, M. and Kara, O. (2000). Exchange rate overshooting in Turkey, Economics Letters, 68, 89- 93.
  • Berkowitz, J. and Giorgianni, L. (2001). Long-horizon exchange rate predictability?, Review of Economics and Statistics, 83/1, 81-91.
  • Bilson, J.F.O. (1978a). Rational expectations and the exchange rate, In: Frenkel, J.A. and Johnson, H.G. (eds.), The Economics of Exchange Rates: Selected Studies, New York: Addison-Wesley, 201-223.
  • Bilson, J.F.O. (1978b). The monetary approach to the exchange rate: some empirical evidence, IMF Staff Papers, 25, 48-75.
  • Cheung, Y.-W. and Chinn, M. D. (1998). Integration, cointegration and the forecast consistency of structural exchange rate models, Journal of International Money and Finance, 17, 813-830.
  • Cheung, Y.-W. and Lai, K. S. (1993). Finite-sample sizes of Johansen’s likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics, 55, 313-28.
  • Chinn, M.D. and Meese, R.A. (1995). Banking on currency forecasts: is change in money predictable?, Journal of International Economics, 38, 161-178.
  • Civcir, I. (2003a). Before the fall was the Turkish lira overvalued, Eastern European Economics, 41/2, 69-90.
  • Civcir, I. (2003b). The monetary model of the exchange rate under high inflation: the case of Turkish Lira-US Dollar, Finance A Uver, 53/3-4, 113-129.
  • Civcir, I. (2003c). The monetary models of the exchange rate: long-run relationships, short-run dynamics and forecasting, Eastern European Economics, 41/6 43-69.
  • 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. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit
  • root, Journal of the American Statistical Association, 74, 427-431.
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with unit roots, Econometrica, 49, July, 1057-1072.
  • 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.
  • Doornik, J.A., Hendry, D.F. and Nielsen, B. (1998). Inference in cointegrating models: UK M1 revisited, Journal of Economic Surveys, 12/5, 533-572.
  • Dornbusch, R. (1976). Expectations and exchange rate dynamics, Journal of Political Economy, 84/6, 1161- 1176.
  • Dulger, F. and Cin, M.F. (2002). Monetary approach to determining exchange rate dynamics in Turkey and a test for cointegration (in Turkish), METU Studies in Development, 29/1-2, 47-68.
  • Enders, W. (2004). Applied Econometric Time Series, Second Ed., John Wiley & Sons, Inc.
  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
  • Engle, R. F. and Yoo, B. S. (1987). Forecasting and testing in cointegrated systems, Journal of Econometrics, 35, 143-159.
  • Erlat, H. (2003). The nature of persistence in Turkish real exchange rates, Emerging Markets Finance and Trade, 39/2, 70-97.
  • Frankel, J.A. (1979). On the mark: a theory of floating exchange rates based on real interest differentials, American Economic Review, 69/4, 610-622.
  • Frenkel, J.A. (1976). A monetary approach to the exchange rate: doctrinal aspects and empirical evidence, Scandinavian Journal of Economics, 78/2, 200-224.
  • Gokcan, A. and Ozmen, E. (2002). Do PPP and UIP need each other in a financially open economy? the Turkish evidence, ERC Working Papers in Economics, 01/01, May.
  • Goldberg, M. D. (2000). On empirical exchange rate models: what does a rejection of the symmetry restriction on short-run interest rates mean?, Journal of International Money and Finance,19, 673-688.
  • Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, 203-233.
  • 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.
  • Groen, J.J.J. (2000). The monetary exchange rate model as a long-run phenomenon, Journal of International Economics, 52, 299-319.
  • Harris, R.I.D. (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall.
  • Hendry, D. F. (1986). Econometric modelling with cointegrated variables: an overview, Oxford Bulletin of Economics and Statistics, 48/3, 201-212.
  • Hoffman, D. L. and Rasche, R. H. (1996). Assessing forecast perfomance in a cointegrated system, Journal of Applied Econometrics, 11/5, 495-517.
  • Hooper, P. and Morton, J.E. (1982). Fluctuations in the dollar: a model of nominal and real exchange rate determination, Journal of International Money and Finance, 1, 39-56.
  • Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
  • Johansen, S. (1992). Determination of cointegration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54/3, 383-397.
  • Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
  • 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, pp.169-210.
  • Johansen, S. and Juselius, K. (1992). Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211-244.
  • Karfakis, C. (2006). Is there an empirical link between the dollar price of the euro and the monetary fundamentals?, Applied Financial Economics, 16, 973-980.
  • 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.
  • Kilian, L. (1999). Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?, Journal of Applied Econometrics, 14/5, 491-510.
  • 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.
  • Lucas, R.E. (1981). Econometric policy evaluation: a critique, In: Lucas, R.E. (ed.), Studies in Business-Cycle Theory, MIT Press, 104-130.
  • Lütkepohl, H. (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.
  • MacDonald, R. and Marsh, I.W. (1997). On fundamentals and exchange rates: a Casselian perspective, Review of Economics and Statistics, 79/4, 655-664.
  • MacDonald, R. and Taylor, M.P. (1993). The monetary approach to the exchange rate rational expectations, long-run equilibrium, and forecasting, IMF Staff Papers, 40/1, 89-107.
  • MacKinnon, J.G. (1991). Critical values for cointegration tests, In: R. F. Engle and C. W. J. Granger (eds.), Long-run Economic Relationships: Readings in Cointegration, Ch. 13, Oxford: Oxford University Press.
  • MacKinnon, J.G. (1996). Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601-618.
  • Mark, N. C. (1995). Exchange rates and fundamentals: evidence on long-horizonpredictability, American Economic Review, 85/1, 201-218.
  • Mark, N.C. and Sul, D. (2001). Nominal exchange rates and monetary fundamentals evidence from a small post- Bretton woods panel, Journal of International Economics, 53, 29-52.
  • McNown, R. and Wallace, M.S. (1994). Cointegration tests of the monetary exchange rate model for three high- inflation economies, Journal of Money, Credit and Banking, 26/3, 396-411.
  • Meese, R. A. and Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics, 14/1-2, 3-24.
  • Metin, K. (1994). A test of long-run purchasing power parity and uncovered interest parity: Turkish case, Bilkent University Discussion Papers, No. 94/2.
  • Moosa, I. A. (2000). A structural time series test of the monetary model of exchange rates under the German hyperinflation, Journal of International Financial Markets, Institutions and Money, 10, 213-223.
  • Mussa, M. (1976). The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating, Scandinavian Journal of Economics, 78/2, 229-248.
  • Neely, C.J. and Sarno, L. (2002). How well do monetary fundamentals forecast exchange rates?, FRB of St. Louis Review, September/October, 51-74.
  • Nelson, C. and Plosser, C. (1982). Trend and random walks in macroeconomic time series: some evidence and implications, Journal of Monetary Economics, 10, 130-162.
  • Nwafor, F.C. (2006). The naira-dollar exchange rate determination: a monetary perspective, International Research Journal of Finance and Economics, 5, 130-135.
  • Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.
  • Ozdemir, Z.A. (2004). Mean reversion in real exchange rate: empirical evidence from Turkey, 1980-1999, METU Studies in Development, 31, 243-265.
  • Pesaran, H. M. and Shin, Y. (1999). An autoregressive distributed lag modelling approach to co-integration analysis, In: Strom, S. (ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frish Centennial Symposium, Cambridge University Press, Cambridge.
  • Pesaran, H. M., Shin, Y. and Smith, R. J. (2001). Bound testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16, 289-326.
  • Phillips, P. (1986). Understanding spurious regressions in econometrics, Journal of Econometrics, 33, 311-40.
  • Phillips, P. and Durlauf, S. (1986). Multiple time series regression with integrated process, Review of Economic Studies, 53, 473-495.
  • Rapach, D.E. and Wohar, M.E. (2002). Testing the monetary model of exchange rate determination: new evidence from a century of data, Journal of International Economics, 58, 359-385.
  • Rapach, D.E. and Wohar, M.E. (2004). Testing the monetary model of exchange rate determination: a closer look at panels, Journal of International Money and Finance, 23, 867-895.
  • Saatcioglu, C., Korap, L. and Volkan, A.G. (2007). Modeling purchasing power parity using co-integration: evidence from Turkey, The Journal of American Academy of Business, 11/2, September, 51-57.
  • Straus-Kahn, M. O. (1991). Error correction models and cointegration in the Bank of France’s econometric works, In: Central Bank of the Republic of Turkey (ed.), The Use of Econometric Models in Central Banks’ Decision Making Problems, Papers Presented at a Workshop held in Ankara, Turkey on 11-14 September 1989, Ankara, August, 15-88.
  • Telatar, E. and Kazdagli, H. (1998). Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey, Applied Economics Letters, 5, 51-53.
  • Yavuz, N.C. (2004). KPSS and ADF tests in determining stationarity: an application to ISE National-100 index (in Turkish), Journal of Istanbul University Faculty of Economics, 54/1, 239-247.
  • Yazgan, M.E. (2003). The purchasing power parity hypothesis for a high inflation country: a re-examination of the case of Turkey, Applied Economics Letters, 10/3, 143-147.
  • Yule, G. (1926). Why do we sometimes get nonsense correlations between time series? a study in sampling and the nature of time series, Journal of Royal Statistical Society, 89, 1-64.
There are 76 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Levent Korap This is me

Publication Date September 5, 2011
Published in Issue Year 2008 Issue: 7

Cite

APA Korap, L. (2011). EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH. Istanbul University Econometrics and Statistics E-Journal(7), 24-50.
AMA Korap L. EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH. Istanbul University Econometrics and Statistics e-Journal. September 2011;(7):24-50.
Chicago Korap, Levent. “EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH”. Istanbul University Econometrics and Statistics E-Journal, no. 7 (September 2011): 24-50.
EndNote Korap L (September 1, 2011) EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH. Istanbul University Econometrics and Statistics e-Journal 7 24–50.
IEEE L. Korap, “EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH”, Istanbul University Econometrics and Statistics e-Journal, no. 7, pp. 24–50, September 2011.
ISNAD Korap, Levent. “EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH”. Istanbul University Econometrics and Statistics e-Journal 7 (September 2011), 24-50.
JAMA Korap L. EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH. Istanbul University Econometrics and Statistics e-Journal. 2011;:24–50.
MLA Korap, Levent. “EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH”. Istanbul University Econometrics and Statistics E-Journal, no. 7, 2011, pp. 24-50.
Vancouver Korap L. EXCHANGE RATE DETERMINATION OF TL/US$:A CO-INTEGRATION APPROACH. Istanbul University Econometrics and Statistics e-Journal. 2011(7):24-50.