TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY

Mehmet Çağrı Gözen; Selçuk Koç; Tezcan Abasız

doi:10.14780/muiibd.281331

TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY

Abstract

This paper investigates the two of the exchange rate determination approaches for Turkey. Efficient

Market Hypothesis (EMH) in weak form is tested by using overnight, weekly, monthly, quarterly and

yearly forward exchange rates and spot exchange rates for Turkish Lira/US Dollar and Turkish Lira/

Euro. Weekly data is used to test EMH for 2002:11-2015:06 period. Other approach empirically tested

in this paper is Purchasing Power Parity (PPP) Hypothesis for Turkey. Whether or not this approach

is valid is determined with monthly data covering the 2002:11-2015:03 period. In this study, LP and

LM unit root tests with two structural breaks is applied as method in addition to KPSS and Augmented

Dickey-Fuller unit root tests. Our findings don’t support the evidence that PPP hypothesis is valid but

support that market efficiency in weak form is valid.

Keywords

Exchange Rate Determination,Purchasing Power Parity,Efficient Market Hypothesis,ADF Unit Root Test,LM Unit Root Test

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Details

Primary Language

Turkish

Subjects

Economics

Journal Section

Research Article

Authors

Mehmet Çağrı Gözen

Selçuk Koç

Tezcan Abasız

Publication Date

December 25, 2016

Submission Date

December 25, 2016

Acceptance Date

December 1, 2016

Published in Issue

Year 2016 Volume: 38 Number: 2

DOI

https://doi.org/10.14780/muiibd.281331

IZ

https://izlik.org/JA67KH86NT

Cite

RIS / Bibtex

APA

Gözen, M. Ç., Koç, S., & Abasız, T. (2016). TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 38(2), 111-128. https://doi.org/10.14780/muiibd.281331

AMA

1.Gözen MÇ, Koç S, Abasız T. TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2016;38(2):111-128. doi:10.14780/muiibd.281331

Chicago

Gözen, Mehmet Çağrı, Selçuk Koç, and Tezcan Abasız. 2016. “TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 38 (2): 111-28. https://doi.org/10.14780/muiibd.281331.

EndNote

Gözen MÇ, Koç S, Abasız T (December 1, 2016) TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 38 2 111–128.

IEEE

[1]M. Ç. Gözen, S. Koç, and T. Abasız, “TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 38, no. 2, pp. 111–128, Dec. 2016, doi: 10.14780/muiibd.281331.

ISNAD

Gözen, Mehmet Çağrı - Koç, Selçuk - Abasız, Tezcan. “TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 38/2 (December 1, 2016): 111-128. https://doi.org/10.14780/muiibd.281331.

JAMA

1.Gözen MÇ, Koç S, Abasız T. TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2016;38:111–128.

MLA

Gözen, Mehmet Çağrı, et al. “TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 38, no. 2, Dec. 2016, pp. 111-28, doi:10.14780/muiibd.281331.

Vancouver

1.Mehmet Çağrı Gözen, Selçuk Koç, Tezcan Abasız. TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2016 Dec. 1;38(2):111-28. doi:10.14780/muiibd.281331

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Süleyman Demirel Üniversitesi Vizyoner Dergisi

https://doi.org/10.21076/vizyoner.832853