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:https://doi.org/10.2753/REE1540-496X450204)

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	ARDL bounds test, exchange market pressure, Granger causality
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce
Faculty / School / Research Centre / Research Group:	Faculty of Business > Department of International Business & Economics Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Greenwich Political Economy Research Centre (GPERC)
Related URLs:	Publisher Organisation
Last Modified:	04 Aug 2021 16:32
URI:	http://gala.gre.ac.uk/id/eprint/7920

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