Abstract
References
- Eichengreen, B., Hausmann, R. (1999). Exchange rates and financial fragility. NBER Working Paper Series Cambridge, Working Paper 7418.
- Kapetanios, G. (2005). Unit root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, vol. 26, no. 1, p. 123-133.
- Küçüksille, E., Karaoğlan, S. (2016). Kırılgan beşli ülkelerin amerikan doları bazında parite getirileri arasındaki ilişkilerin analizi. Sosyal Bilimler Dergisi, ICEBSS Özel Sayısı. p. 46–61.
- Morgan Stanley. (2013a). Currencies FX Pulse. Morgan Stanley Research. 1 August 2013.
- Morgan Stanley. (2013b). Tales from the Emerging World. Investment Management. 3 December 2013.
- Özkan, F. G. (2005). Currency and financial crises in turkey 2000–2001: bad fundamentals or bad luck? World Economy, vol. 28, no. 4, p. 541–572.
- Öztürk, N., Bayraktar, Y. (2010). Döviz kurlarını açıklamaya yönelik yeni yaklaşımlar. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 11, no. 1, p. 157–191.
- Seyidoğlu, H. (2013). Uluslararası iktisat: teori, politika ve uygulama. İstanbul: Güzem Can Yayınları.
- Stockman, A. C. (1980). A theory of exchange rate determination. Journal of Political Economy, Vol. 88, No. 4, p. 673–698.
- Ümit, Ö. (2016). Stationarity of real exchange rates in the “fragile five”: analysis with structural breaks. International Journal of Economics and Finance, Vol. 8, No. 4, p. 254–270.
- Ünver, M., Doğru, B. (2015). The determinants of economic fragility: case of the fragile five countries. Akdeniz İİBF Dergisi, Vol. 31, p. 1– 24.
Abstract
This paper analyzes the structural breaks and times of
“Fragile Five” currencies’ against USD Dollar. Thus study tries to find the
consistency of “Fragile Five” via structural break unit root test over
currencies. Paper analyzes the structural breaks under two parts which contain
Jan 2010- June 2013 and July 2013-Dec 2016 by taking weekly closing currency
figures. Study focuses on the fragility of currencies of that countries through Kapetanios unit root test
that allows five breaks of series. According to test results all countries
except Turkey have one structural break whereas Turkey has four between
2010:01-2013:07. Additionally, between 2013:08-2016:12 all countries have just
one structural break date. Findings of the study reveals that classification of
"Fragile Five" can be changed after analyze of other macroeconomic
indicators in terms of consistency.
Keywords
Fragile five developing countries exchange rates 2008 financial Ccisis kapetanios unit root test
References
- Eichengreen, B., Hausmann, R. (1999). Exchange rates and financial fragility. NBER Working Paper Series Cambridge, Working Paper 7418.
- Kapetanios, G. (2005). Unit root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, vol. 26, no. 1, p. 123-133.
- Küçüksille, E., Karaoğlan, S. (2016). Kırılgan beşli ülkelerin amerikan doları bazında parite getirileri arasındaki ilişkilerin analizi. Sosyal Bilimler Dergisi, ICEBSS Özel Sayısı. p. 46–61.
- Morgan Stanley. (2013a). Currencies FX Pulse. Morgan Stanley Research. 1 August 2013.
- Morgan Stanley. (2013b). Tales from the Emerging World. Investment Management. 3 December 2013.
- Özkan, F. G. (2005). Currency and financial crises in turkey 2000–2001: bad fundamentals or bad luck? World Economy, vol. 28, no. 4, p. 541–572.
- Öztürk, N., Bayraktar, Y. (2010). Döviz kurlarını açıklamaya yönelik yeni yaklaşımlar. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 11, no. 1, p. 157–191.
- Seyidoğlu, H. (2013). Uluslararası iktisat: teori, politika ve uygulama. İstanbul: Güzem Can Yayınları.
- Stockman, A. C. (1980). A theory of exchange rate determination. Journal of Political Economy, Vol. 88, No. 4, p. 673–698.
- Ümit, Ö. (2016). Stationarity of real exchange rates in the “fragile five”: analysis with structural breaks. International Journal of Economics and Finance, Vol. 8, No. 4, p. 254–270.
- Ünver, M., Doğru, B. (2015). The determinants of economic fragility: case of the fragile five countries. Akdeniz İİBF Dergisi, Vol. 31, p. 1– 24.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | June 30, 2017 |
| Published in Issue | Year 2017 Volume: 3 Issue: 1 |
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