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Year 2014, Volume: 36 Issue: 1, 373 - 389, 13.03.2015

Sinem Kutlu İpek M. Yurttagüler

https://izlik.org/JA68EX74GJ

Abstract

In our study, the question whether real exchange rates have long memory property or not is examined by the help of fractional integration analysis. In this respect, two different real exchange rate series for the Turkish lira, one is U.S.A. Dolarbased and the other is Euro-based, are constructed by using the monthly data for the period 2003:01 – 2013:07 and these series are tested within the ARFIMA model. Empirical findings show that the real exchange rate series which are fractionally integrated exhibit high persistence and long memory property

Keywords

Real Exchange Rate Long Memory Fractional Integration ARFIMA

References

  • AHKING, F. W., “Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era”, University of Connecticut, Department of Economics Working Paper Series 2004-05.
  • ALOY, M., BOUTAHAR, M., GENTE, K. ve FEISSOLLE, A. P., “Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?”, Economic Modelling, 28 (2011), ss. 1279-1290.
  • ALPTEKİN, N., “Long Memory Analysis of USD/TRL Exchange Rate”, World Academy of Science, Engineering and Technology, 3 (2007), ss. 298-300.
  • ANDE˘L, J., “Long Memory Time Series Models”, Kybernetika, 22(2), 1986, ss. 105-123.
  • ASHLEY, R. A. ve PATTERSON, D. M., “Apparent Long Memory in Time Series as an Artifact of a Time-Varying Mean: Considering Alternatives to the Fractionally Integrated Model”, Macroeconomic Dynamics, 14 (Supplement 1), 2010, ss. 59–87.
  • BAILLIE, R. T. ve BOLLERSLEV, T., “The Long Memory of the Forward Premium”, Journal of International Money and Finance, 13(5), 1994, ss. 565-571.
  • BAILLIE, R.T., “Long Memory Processes and Fractional Integration in Econometrics”, Journal of Econometrics, 73 (1996), ss. 5-59.
  • BANERJEE, A. ve URGA, G., “Modelling structural breaks, long memory and stock market volatility: an overview”, Journal of Econometrics, 129 (2005), ss. 1-34.
  • BARKOULAS, J. T. ve BAUM, C. F., “Long Memory and Forecasting in Euroyen Deposit Rates”, Financial Engineering and the Japanese Markets, 4 (1997), ss. 189-201.
  • BERAN, J., Statistics for Long-Memory Processes, New York, Chapman and Hall, 1994.
  • BHARDWAJ, G. ve SWANSON, N.R., “An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series”, Journal of Econometrics, 131 (2006), ss. 539-578.
  • CAPORALE, G. M. ve ALANA, L. A. G., “Real Exchange Rates In Latin America: The PPP Hypothesis and Fractional Integration”, Journal of Economic Development, 35(2), 2010, ss. 1-21.
  • CHEUNG, Y. W., “Long Memory in Foreign-Exchange Rates”, Journal of Business & Economic Statistics, 11(1), 1993, ss. 93-101.
  • CHOUDHRYA, T. ve LUINTEL, K. B., “The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania”, Economics Letters, 74 (2001), ss. 25–30.
  • COSTA, A. A. ve CRATO, N., “Long-Run Versus Short-Run Behaviour of the Real Exchange Rates”, Institute of Economics and Management ISEG, R. Miguel Lupi 20, 1200, Lisbon, Portugal, May 18 (2000).
  • DIEBOLD, F. X., HUSTED S. ve RUSH, M., “Real Exchange Rates under the Gold Standard”, Journal of Political Economy, 99(6), 1991, ss. 1252-1271.
  • DUEKER, M. ve SERLETIS, A., “Do Real Exchange Rates have Autoregressive Unit Roots? A Test under the Alternative of Long Memory and Breaks”, Federal Reserve Bank of St. Louis Working Paper Series No: 016A, 2000.
  • ERLAT, H., “The Nature of Persistence in Turkish Real Exchange Rates”, Emerging Markets Finance & Trade, 39(2), 2003, ss. 70-97.
  • FAŸ, G., MOULINES, E., ROUEFF, F. ve TAQQU M. S., “Estimators of long-memory: Fourier versus wavelets”, Journal of Econometrics, 151 (2009), ss. 159 – 177.
  • GADEA, L., MAYORAL, L. ve SABATE, M., “The Persistence of Real Exchange Rate and the PPP puzzle”, 10th International Conference on Macroeconomic Analysis and International Finance, May 25-27, 2006.
  • GEWEKE, J. ve PORTER-HUDAK, S., “The Estimation And Application of Long Memory Time Series Models”, Journal of Time Series Analysis, 4(4), 1983, ss. 221-238.
  • GRANGER, C.W.J. ve JOYEUX, R., “An Introduction to Long-Memory Time Series Models and Fractional Differencing”, Journal of Time Series Analysis, 1 (1980), ss. 15-39.
  • GRANGER, C.W.J. ve DING, Z., “Varieties of long memory models”, Journal of Econometrics, 73 (1996), ss. 61-77.
  • HOLMES, M. J., “Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries”, Journal of Economic Development, 27(1), 2002, ss. 125-135.
  • HOSKING, J.R.M., “Fractional Differencing”, Biometrika, 68(1), 1981, ss. 165-176.
  • HURST, H.E., “Long-term storage capacity of reservoirs”, Transactions of the American Society of Civil Engineers, 116 (1951), ss. 770–799.
  • HURST, H.E., “A suggested statistical model of some time series that occur in nature”, Nature, 180 (4584), 1957, ss. 494.
  • XIU J. ve JIN, Y., “Empirical study of ARFIMA model based on fractional differencing”, Physica A, 377 (2007), ss. 138–154.
  • LOTHIAN, J. R. ve TAYLOR, M. P., “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries”, The Journal of Political Economy, 104(3), 1996, ss. 488-509.
  • LOTHIAN, J. R. ve McCARTHY, C., “Currency Union and Real Exchange Rate Behavior”, Momento Economico, 2001.
  • MAN, K.S., “Long memory time series and short term forecasts”, International Journal of Forecasting, 19 (2003), ss. 477–491.
  • MANDELBROT, B.B. ve WALLIS, J., “N. Joseph and operational hydrology”, Water Resources Research, 4 (1968), ss. 909–918.
  • MANDELBROT, B.B., “Statistical methodology for non periodic cycles: from the covariance to R/S Analysis”, Annals of Economic and Social Measurement, 1(1972), ss. 259–290.
  • MCLEOD, A.I. ve HIPEL, K.W., “Preservation of the rescaled adjusted range, 1. A reassessment of the Hurst phenomenon”, Water Resources Research, 14(3), 1978, ss. 491–508.
  • MOKOENA, T. M., GUPTA, R. ve VAN EYDEN, R., “Testing For Fractional Integration In Southern African Development Community Real Exchange Rates”, South African Journal of Economics, 77(4), 2009, ss. 531-537.
  • SARNO, L. ve TAYLOR, M., The Economics of Exchange Rates, New York, Cambridge University Pres, 2002.
  • STENGOS, T. ve YAZGAN, M. E., “Persistence in Real Exchange Rate Convergence”, University of Guelph, Department of Economics and Finance Discussion Paper-07, 2012.
  • WHITT, Jr. J. A., “The Long-Run Behavior of the Real Exchange Rate: A Reconsideration”, Journal of Money, Credit and Banking, 24(1), 1992, ss. 72-82.

TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ

Year 2014, Volume: 36 Issue: 1, 373 - 389, 13.03.2015

Sinem Kutlu İpek M. Yurttagüler

https://izlik.org/JA68EX74GJ

Abstract

Çalışmamızda, reel döviz kurlarının uzun hafıza özelliği taşıyıp taşımadığı kesirli bütünleşme analizi yardımıyla incelenmektedir. Bu bağlamda, 2003:01 – 2013:07 dönemine ait aylık veriler esas alınarak Türk lirası için biri A.B.D. Doları bazında, diğeri Euro bazında olmak üzere iki ayrı reel kur serisi oluşturulmuş ve seriler ARFIMA modeli çerçevesinde test edilmiştir. Ampirik bulgular, kesirli bütünleşik yapıda olan reel kur serilerinin yüksek direnç ve uzun hafıza özelliği taşıdığını göstermektedir.

Keywords

Reel Döviz Kuru Uzun Hafıza Kesirli Bütünleşme ARFIMA

References

  • AHKING, F. W., “Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era”, University of Connecticut, Department of Economics Working Paper Series 2004-05.
  • ALOY, M., BOUTAHAR, M., GENTE, K. ve FEISSOLLE, A. P., “Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?”, Economic Modelling, 28 (2011), ss. 1279-1290.
  • ALPTEKİN, N., “Long Memory Analysis of USD/TRL Exchange Rate”, World Academy of Science, Engineering and Technology, 3 (2007), ss. 298-300.
  • ANDE˘L, J., “Long Memory Time Series Models”, Kybernetika, 22(2), 1986, ss. 105-123.
  • ASHLEY, R. A. ve PATTERSON, D. M., “Apparent Long Memory in Time Series as an Artifact of a Time-Varying Mean: Considering Alternatives to the Fractionally Integrated Model”, Macroeconomic Dynamics, 14 (Supplement 1), 2010, ss. 59–87.
  • BAILLIE, R. T. ve BOLLERSLEV, T., “The Long Memory of the Forward Premium”, Journal of International Money and Finance, 13(5), 1994, ss. 565-571.
  • BAILLIE, R.T., “Long Memory Processes and Fractional Integration in Econometrics”, Journal of Econometrics, 73 (1996), ss. 5-59.
  • BANERJEE, A. ve URGA, G., “Modelling structural breaks, long memory and stock market volatility: an overview”, Journal of Econometrics, 129 (2005), ss. 1-34.
  • BARKOULAS, J. T. ve BAUM, C. F., “Long Memory and Forecasting in Euroyen Deposit Rates”, Financial Engineering and the Japanese Markets, 4 (1997), ss. 189-201.
  • BERAN, J., Statistics for Long-Memory Processes, New York, Chapman and Hall, 1994.
  • BHARDWAJ, G. ve SWANSON, N.R., “An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series”, Journal of Econometrics, 131 (2006), ss. 539-578.
  • CAPORALE, G. M. ve ALANA, L. A. G., “Real Exchange Rates In Latin America: The PPP Hypothesis and Fractional Integration”, Journal of Economic Development, 35(2), 2010, ss. 1-21.
  • CHEUNG, Y. W., “Long Memory in Foreign-Exchange Rates”, Journal of Business & Economic Statistics, 11(1), 1993, ss. 93-101.
  • CHOUDHRYA, T. ve LUINTEL, K. B., “The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania”, Economics Letters, 74 (2001), ss. 25–30.
  • COSTA, A. A. ve CRATO, N., “Long-Run Versus Short-Run Behaviour of the Real Exchange Rates”, Institute of Economics and Management ISEG, R. Miguel Lupi 20, 1200, Lisbon, Portugal, May 18 (2000).
  • DIEBOLD, F. X., HUSTED S. ve RUSH, M., “Real Exchange Rates under the Gold Standard”, Journal of Political Economy, 99(6), 1991, ss. 1252-1271.
  • DUEKER, M. ve SERLETIS, A., “Do Real Exchange Rates have Autoregressive Unit Roots? A Test under the Alternative of Long Memory and Breaks”, Federal Reserve Bank of St. Louis Working Paper Series No: 016A, 2000.
  • ERLAT, H., “The Nature of Persistence in Turkish Real Exchange Rates”, Emerging Markets Finance & Trade, 39(2), 2003, ss. 70-97.
  • FAŸ, G., MOULINES, E., ROUEFF, F. ve TAQQU M. S., “Estimators of long-memory: Fourier versus wavelets”, Journal of Econometrics, 151 (2009), ss. 159 – 177.
  • GADEA, L., MAYORAL, L. ve SABATE, M., “The Persistence of Real Exchange Rate and the PPP puzzle”, 10th International Conference on Macroeconomic Analysis and International Finance, May 25-27, 2006.
  • GEWEKE, J. ve PORTER-HUDAK, S., “The Estimation And Application of Long Memory Time Series Models”, Journal of Time Series Analysis, 4(4), 1983, ss. 221-238.
  • GRANGER, C.W.J. ve JOYEUX, R., “An Introduction to Long-Memory Time Series Models and Fractional Differencing”, Journal of Time Series Analysis, 1 (1980), ss. 15-39.
  • GRANGER, C.W.J. ve DING, Z., “Varieties of long memory models”, Journal of Econometrics, 73 (1996), ss. 61-77.
  • HOLMES, M. J., “Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries”, Journal of Economic Development, 27(1), 2002, ss. 125-135.
  • HOSKING, J.R.M., “Fractional Differencing”, Biometrika, 68(1), 1981, ss. 165-176.
  • HURST, H.E., “Long-term storage capacity of reservoirs”, Transactions of the American Society of Civil Engineers, 116 (1951), ss. 770–799.
  • HURST, H.E., “A suggested statistical model of some time series that occur in nature”, Nature, 180 (4584), 1957, ss. 494.
  • XIU J. ve JIN, Y., “Empirical study of ARFIMA model based on fractional differencing”, Physica A, 377 (2007), ss. 138–154.
  • LOTHIAN, J. R. ve TAYLOR, M. P., “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries”, The Journal of Political Economy, 104(3), 1996, ss. 488-509.
  • LOTHIAN, J. R. ve McCARTHY, C., “Currency Union and Real Exchange Rate Behavior”, Momento Economico, 2001.
  • MAN, K.S., “Long memory time series and short term forecasts”, International Journal of Forecasting, 19 (2003), ss. 477–491.
  • MANDELBROT, B.B. ve WALLIS, J., “N. Joseph and operational hydrology”, Water Resources Research, 4 (1968), ss. 909–918.
  • MANDELBROT, B.B., “Statistical methodology for non periodic cycles: from the covariance to R/S Analysis”, Annals of Economic and Social Measurement, 1(1972), ss. 259–290.
  • MCLEOD, A.I. ve HIPEL, K.W., “Preservation of the rescaled adjusted range, 1. A reassessment of the Hurst phenomenon”, Water Resources Research, 14(3), 1978, ss. 491–508.
  • MOKOENA, T. M., GUPTA, R. ve VAN EYDEN, R., “Testing For Fractional Integration In Southern African Development Community Real Exchange Rates”, South African Journal of Economics, 77(4), 2009, ss. 531-537.
  • SARNO, L. ve TAYLOR, M., The Economics of Exchange Rates, New York, Cambridge University Pres, 2002.
  • STENGOS, T. ve YAZGAN, M. E., “Persistence in Real Exchange Rate Convergence”, University of Guelph, Department of Economics and Finance Discussion Paper-07, 2012.
  • WHITT, Jr. J. A., “The Long-Run Behavior of the Real Exchange Rate: A Reconsideration”, Journal of Money, Credit and Banking, 24(1), 1992, ss. 72-82.
There are 38 citations in total.

Details

Primary Language Turkish
Authors

Sinem Kutlu This is me

İpek M. Yurttagüler

Submission Date March 13, 2015
Publication Date March 13, 2015
IZ https://izlik.org/JA68EX74GJ
Published in Issue Year 2014 Volume: 36 Issue: 1

Cite

APA Kutlu, S., & Yurttagüler, İ. M. (2015). TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 36(1), 373-389. https://izlik.org/JA68EX74GJ
AMA 1.Kutlu S, Yurttagüler İM. TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;36(1):373-389. https://izlik.org/JA68EX74GJ
Chicago Kutlu, Sinem, and İpek M. Yurttagüler. 2015. “TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 36 (1): 373-89. https://izlik.org/JA68EX74GJ.
EndNote Kutlu S, Yurttagüler İM (March 1, 2015) TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 36 1 373–389.
IEEE [1]S. Kutlu and İ. M. Yurttagüler, “TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 36, no. 1, pp. 373–389, Mar. 2015, [Online]. Available: https://izlik.org/JA68EX74GJ
ISNAD Kutlu, Sinem - Yurttagüler, İpek M. “TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 36/1 (March 1, 2015): 373-389. https://izlik.org/JA68EX74GJ.
JAMA 1.Kutlu S, Yurttagüler İM. TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;36:373–389.
MLA Kutlu, Sinem, and İpek M. Yurttagüler. “TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 36, no. 1, Mar. 2015, pp. 373-89, https://izlik.org/JA68EX74GJ.
Vancouver 1.Kutlu S, Yurttagüler İM. TÜRKİYE’DE REEL DÖVİZ KURLARININ UZUN HAFIZA ÖZELLİKLERİ: KESİRLİ BÜTÜNLEŞME ANALİZİ. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi [Internet]. 2015 Mar. 1;36(1):373-89. Available from: https://izlik.org/JA68EX74GJ

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