Determinants of exchange market pressure in Turkey: An econometric investigation
Feridun, Mete (2009) Determinants of exchange market pressure in Turkey: An econometric investigation. Emerging Markets Finance and Trade, 45 (2). pp. 65-81. ISSN 1540-496X (doi:10.2753/REE1540-496X450204)Full text not available from this repository.
This paper investigates the hypothesis that there is a causal relation between speculative pressure and real exchange rate overvaluation, banking-sector fragility, and the level of international reserves in Turkey. An autoregressive distributed lag (ARDL) bounds-testing procedure and Granger causality within vector error- correction models (VECM) are applied to the period after the liberalization of capital flows (August 1989-August 2006). The results of the ARDL bounds test support the theory that exchange market pressure is in a long-run equilibrium relation with the three hypothesized variables over the sample period. On the other hand, the results of the short-run and long-run Granger causality tests indicate the existence of Granger causality running from the three variables to exchange market pressure. The findings further suggest that a feedback relation exists between banking-sector fragility and exchange market pressure.
|Uncontrolled Keywords:||ARDL bounds test, exchange market pressure, Granger causality|
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
|Faculty / Department / Research Groups:||Faculty of Business > Department of International Business & Economics
Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
|Last Modified:||02 Nov 2016 13:52|
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