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Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

Katircioglu, Salih Turan and Feridun, Mete (2010) Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey. Applied Economics Letters, 18 (3). pp. 295-300. ISSN 1350-4851 (Print), 1466-4291 (Online) (doi:https://doi.org/10.1080/00036841003636110)

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Abstract

This article investigates the relationship between Exchange Market Pressure (EMP) and macroeconomic fundamentals in Turkey using the Autoregressive Distributed Lag (ARDL) bounds testing procedure and Vector Error Correction Model (VECM) within the framework of the canonical currency crisis models. The results of the bounds tests suggest the existence of a level relationship between EMP and the selected macroeconomic fundamentals. The results of the VECM also suggest that there exists a unidirectional causation that runs from those macroeconomic fundamentals to EMP in the case of the Turkish Economy.

Item Type: Article
Uncontrolled Keywords: Exchange Market Pressure (EMP), macroeconomic fundamentals, Turkey, Autoregressive Distributed Lag (ARDL) bounds testing procedure, Vector Error Correction Model (VECM)
Subjects: H Social Sciences > HB Economic Theory
Faculty / Department / Research Group: Faculty of Business > Greenwich Political Economy Research Centre (GPERC)
Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) > Greenwich Political Economy Research Centre (GPERC)
Faculty of Business > Department of International Business & Economics
Faculty of Business
Related URLs:
Last Modified: 02 Nov 2016 13:52
Selected for GREAT 2016: None
Selected for GREAT 2017: None
Selected for GREAT 2018: None
Selected for GREAT 2019: None
URI: http://gala.gre.ac.uk/id/eprint/7916

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