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Currency and asset substitution in Turkey
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index.pdf
Date
2003
Author
Taşdemir, Özlem
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This study investigates the determinants and effects of currency and asset substitution in Turkey using quarterly data from 1987:1 to 2002:4. The empirical results from the application of Johansen procedure to a four-variable system containing currency-asset substitution proxy (M2Y/M2)), real income, real exchange rate, and ratchet effect proxy (past peak values of the depreciation of the real exchange rate) suggest the presence of a single cointegration vector among the variables. The results further suggest the endogeneity of the degree of currency substitution for the parameters of the cointegration vector. According to the theory consistent and data-acceptable long-run relationship between the variables, there is a strong ratchet (hysteresis) effect in currency-asset substitution in Turkey. The study contains also the policy implications of both currency substitution and the ratchet effect arising from real exchange rate change shocks in the Turkish economy.
Subject Keywords
Currency substitution
,
Asset substitution ratchet effect
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http://etd.lib.metu.edu.tr/upload/2/1002369/index.pdf
https://hdl.handle.net/11511/13501
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Graduate School of Social Sciences, Thesis
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Ö. Taşdemir, “Currency and asset substitution in Turkey,” M.S. - Master of Science, Middle East Technical University, 2003.
