Exchange rate pass through into the export and import prices of Turkey

Download

index.pdf

Date

2004

Author

Abalı, Elif Ege

Metadata

Show full item record

Item Usage Stats

289
views

126
downloads

In this study, exchange rate pass-through into the export prices and import prices is analyzed separately at the disaggregate level. The study also attempts to differentiate exchange rate pass-through in the short-run and long-run. To analyze pass-through in the short-run, dynamic modeling is used. To analyze pass-through in the long-run, cointegration analysis is conducted. Estimation results show that exchange rate pass-through into the import prices is complete even at the disaggregate level. However, there is variation in the pass-through into the export prices across sectors both in the short-run and long-run. Not all exporting sectors, even in a small open economy like Turkey, are price takers in the foreign markets.

Subject Keywords

Price.

URI

http://etd.lib.metu.edu.tr/upload/12605462/index.pdf
https://hdl.handle.net/11511/14362

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

World oil prices and agricultural commodity prices: Evidence from an emerging market NAZLIOĞLU, ŞABAN; Soytaş, Uğur (2011-05-01) Oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied ...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis NAZLIOĞLU, ŞABAN; Soytaş, Uğur (2012-07-01) This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to...
Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey Soytaş, Uğur; Oran, Adil (2011-01-01) This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, ou...
Analyses of Azerbaijan’s foreign trade by integrating volatilities of rates of changes in oil prices and exchange rates Suleymanli, Shohrat; Gaygısız Lajunen, Esma; Department of Economics (2022-12) Oil price and real effective exchange rate, which are the determining factors for export- import and Gross Domestic Product (GDP), have been the subject of much research in oil-exporting countries. Because of Azerbaijan’s dependence on crude oil export, the fluctuations in oil prices, together with exchange rate movements, have implications for the Azerbaijanian economy. This research examines (a) the relationships between export-import growth and GDP growth, (b) impacts of rates of changes in oil price and...

Citation Formats

E. E. Abalı, “Exchange rate pass through into the export and import prices of Turkey,” M.S. - Master of Science, Middle East Technical University, 2004.