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Liability dollarization, exchange market pressure and fear of floating: empirical evidence for Turkey

Liability dollarization, exchange market pressure and fear of floating: empirical evidence for Turkey

Feridun, Mete (2011) 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:https://doi.org/10.1080/00036846.2010.534073)

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Abstract

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.

Item Type: Article
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
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/7925

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