Panel approaches to testing the persistence in Turkish real exchange rates

Özdemir, Nilüfer
The PPP hypothesis, which is the basic assumption of many exchange rate determination models, relates the movements in the exchange rates with the price movements in the home and foreign countries. Two methods may be implemented in order to detect the validity of the PPP hypothesis. One of them is to perform unit root tests to the real exchange rates itself. The other method is to implement the unit root tests to the linear combination of the components of the real exchange rates, which means the cointegration techniques. This thesis analyzes the validity of the Purchasing Power Parity (PPP) for the Turkish bilateral real exchange rates. For this purpose, we use panel unit root tests along with the Augmented Dickey Fuller


Exchange rate pass-through to domestic prices in Turkish economy
Alper, Koray; Gaygısız Lajunen, Esma; Department of Economics (2003)
In this study, determinants and the evolution of the exchange rate passthrough to domestic inflation in the Turkish economy is analyzed. The analyses cover the 1987-2003 period. In the analyses, single equation أError Correction Modelsؤ are used to estimate the exchange rate pass-through. Estimation results suggest that alike other emerging countries, the degree of exchange rate passthrough to domestic prices is high and the pass-through is completed in a very short time span. Estimations results also indic...
Real Exchange Rates and Growth: Contractionary Depreciations or Appreciations?
Özmen, Erdal; YOLCU KARADAM, DUYGU (2021-01-01)
This study investigates the impact of real exchange rates (RER) on growth of a large number of advanced (AE) and developing economies (DE) estimating conventional growth models augmented with global financial conditions variables. First of all, replicating Rodrik (2008) and following studies employing panel autoregressive distributed lag (PARDL) and PARDL mean group (PARDL-MG) models, we show that the expansionary depreciation findings for DE are often based on a misinterpretation of an error correction mec...
Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model
Gaygısız Lajunen, Esma; Hekimoglu, Alper (2021-12-01)
Liquidity is extremely important not only within the context of financial markets but also in every scale of economic transactions. In this study, within the realm of financial markets, we configure liquidity as an independent stochastic process moderating the fluidity of all transactions and hence dynamically changing asset values. This study's asset value process ignoring liquidity is modelled with a stochastic volatility jump-diffusion (SVJ) model and that model is augmented with the incorporation of a l...
The validity of the relative purchasing power parity and the uncovered interest rate parity theories for the dollar/Euro exchange rate
Berberoğlu, Pınar; Güner, Zehra Nuray; Department of European Studies (2004)
This study analyzes validity of the relative purchasing power parity (PPP) and the uncovered interest rate parity (IRP) theories for the dollar/euro exchange rate. The period of analysis is from 1990 to 2003. The dollar/euro exchange rate represents the currencies of a country, the USA, and a region, the Euro Area. The basic data needed for this study are the dollar/euro exchange rate, and the inflation and the interest rates for the USA and the Euro Area. Since the Euro Area was officially formed on Januar...
An empirical analysis of the monetary transmission in theTurkish economy
Çavuşoğlu, A. Tarkan; Özmen, Erdal; Department of Economics (2002)
The purpose of this two-essay thesis is to empirically investigate the characteristics of the monetary transmission mechanism in the Turkish economy. The first essay is an attempt to test the presence of a bank lending channel of monetary transmission by exploiting a dynamic panel data modelling approach. The empirical investigations are focused on the bank lending behaviour of 58 deposit money banks covering the period of 1988-1999. The results of the model estimations provide no evidence of a potential fo...
Citation Formats
N. Özdemir, “Panel approaches to testing the persistence in Turkish real exchange rates,” M.S. - Master of Science, Middle East Technical University, 2002.