Liability dollarization, exchange market pressure and fear of floating: empirical evidence for Turkey
Feridun, Mete (2012) Liability dollarization, exchange market pressure and fear of floating: empirical evidence for Turkey. Applied Economics, 44 (8). pp. 1041-1056. ISSN 0003-6846 (print), 1466-4283 (online) (doi:10.1080/00036846.2010.534073)Full text not available from this repository.
The objective of this article is to examine the relationship between liability dollarization and the Exchange Market Pressure (EMP) in Turkey within an Autoregressive Distributed Lag (ARDL) and Granger causality framework using monthly data from 1991:12 to 2006:08. The findings suggest that there exists a long-term equilibrium relationship between EMP and liability dollarization, where liability dollarization Granger causes EMP both in the short- and long-run, with no evidence of reverse causality. This suggests that the predominance of foreign currency liabilities in the banks’ balance sheets in Turkey induces a selling pressure in the exchange market as well as a fear of floating.
|Additional Information:|| First available online 6th February 2012|
|Uncontrolled Keywords:||liability dollarization, Exchange Market Pressure (EMP), Autoregressive Distributed Lag (ARDL), Granger causality framework|
|Subjects:||H Social Sciences > HB Economic Theory|
H Social Sciences > HG Finance
|School / Department / Research Groups:||School of Business|
School of Business > Department of International Business & Economics
School of Business > Centre for Economic Performance, Governance & Regulation (CEPGR)
|Last Modified:||17 Sep 2013 10:13|
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