Exchange Rate Determination of TL/US$$: A Co-integrating Approach
Yazarlar (1)
Doç. Dr. Hüseyin Levent KORAP Kastamonu Üniversitesi, Türkiye
| Makale Türü |
Özgün Makale
(Diğer hakemli ulusal dergilerde yayınlanan tam makale)
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| Dergi Adı | Istanbul University Econometrics and Statistics e-Journal | ||
| Dergi ISSN | 2651-396X | ||
| Dergi Tarandığı Indeksler | EBSCO, ASOS Sosyal Bilimler İndeksi | ||
| Makale Dili | Türkçe | Basım Tarihi | 01-2008 |
| Cilt / Sayı / Sayfa | – / 7 / 24–50 | DOI | – |
| Makale Linki | https://dergipark.org.tr/en/pub/iuekois/issue/8988/112065 | ||
| UAK Araştırma Alanları |
Enflasyon
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| Özet |
| In our paper, we investigate exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following a large literature review, we first highlight various approaches explaining monetary model exchange rate determination based on economic fundamentals, and then, construct an empirical model revealing both long-run stationary relationships and short-run dynamic adjustment processes of the nominal exchange rate for the Turkish economy. Our findings employing multivariate Johansen-Juselius type co-integrating approach indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Besides, short-run deviations from the fundamental-based equilibrium course of the nominal exchange rate have permanent effects on the long-run equilibrium exchange rate, and so have been stemmed from the existence of some form of hysteresis effects dominated in the nominal exchange rate. |
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