Unit roots or nonlinear stationarity in Turkish real exchange rates

Date

2004-08-15

Author

Erlat, Haluk

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

188
views

0
downloads

The objective of this paper is to test if Turkish real exchange rates have a linear unit root or are generated by an Exponential Smooth Transition Autoregressive Model for the post-1980 period. Using two real exchange rates, one with the USA and the other with Germany, strong evidence of nonlinear stationarity was found for the US CPI-based series but no such evidence for the DM CPI-based series. When compared with earlier results in a previous paper where the alternative of the linear unit root test was stationarity with multiple shifts in the deterministic terms, it was found that similar results were obtained for the US CPI-based series but not for the DM CPI-based one, possibly implying that the multiple shifts approach may be more appropriate for the Turkish series.

Subject Keywords

Economics and Econometrics

URI

https://hdl.handle.net/11511/63208

Journal

APPLIED ECONOMICS LETTERS

DOI

https://doi.org/10.1080/1350485042000238870

Collections

Department of Economics, Article

Suggestions

OpenMETU
Core

Macroeconomics of twin targeting in Turkey analytics of a financial computable general equilibrium model TELLİ, ÇAĞATAY; Voyvoda, Ebru; YELDAN, ALP ERİNÇ (Informa UK Limited, 2008-03-01) The paper provides an overview of the post-1998 Turkish economy and constructs a macroeconomic computable general equilibrium (CGE) model to illustrate the real and financial sectoral adjustments of the Turkish economy under the conditionalities of the 'twin targets': on primary surplus to gross national product (GNP) ratio and on the inflation rate. We further utilize the model to study three sets of issues: (i) the critical role of the expanded foreign capital inflows in resolving the macroeconomic impass...
Purchasing power parity in OECD countries: Evidence from panel unit root Kalyoncu, Huseyin; Kalyoncu, Kahraman (Elsevier BV, 2008-05-01) This paper investigates the validity of purchasing power parity (PPP) for 25 OECD countries by using a panel unit-root methodology. The procedure used here is to examine stationarity of real exchange rate. Using ADF unit-root test on single time-series, it is found that real exchange rate of all OECD countries have unit root. This outcome, however, might be due to the generally low power of this test. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combi...
Nonlinear models, composite longer leading indicator and forecasts for UK real GDP Ocal, N (Informa UK Limited, 2006-05-20) This paper examines the role of the Office for National Statistics Composite Longer Leading Indicator, in nonlinear business cycle models for growth rates of UK real gross domestic product (GDP). These models are of the smooth transition regression class, with the transition between "regimes'' expressed as functions of lagged changes in the leading indicator. In general, evidence is found of business cycle regime asymmetries, with increases and decreases in the leading indicator implying distinct responses ...
The inflation-hedging properties of Turkish REITs Erol, Işıl; Tirtiroglu, Dogan (Informa UK Limited, 2008-01-01) This study empirically tests the inflation-hedging abilities of Turkish REITs in comparison to the indices of common stocks listed on the Istanbul Stock Exchange (ISE) over the period December 1999 to December 2004. Two main factors motivate this study. First, compared to their counterparts in developed capital markets, Turkish REITs have some important tax incentives as well as flexibility in managing their portfolios. Second, the Turkish economy provides a rare and good opportunity to test the hedging beh...
Stock returns and the day-of-the-week effect in Istanbul Stock Exchange Oguzsoy, CB; Güven, Sibel (Informa UK Limited, 2003-05-20) This study investigates the existence of the day-of-the-week effect on stock returns in the Istanbul Stock Exchange (ISE) for the period between 1988 and 1999. ISE that was established in 1986 is a rapidly growing emerging market for which there are only a few studies that have been conducted and reported. Since emerging markets are becoming good diversification alternatives for international investors, the analysis of stock return behaviour of ISE will be of interest to all investors, domestic and foreign....

Citation Formats

H. Erlat, “Unit roots or nonlinear stationarity in Turkish real exchange rates,” APPLIED ECONOMICS LETTERS, pp. 645–650, 2004, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/63208.