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Impact of Exchange Rate Changes on Domestic Inflation: he Turkish Experience

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

This paper examines the extent to which changes in exchange rates result in changes in Turkish domestic inflation … that exchange rate shocks feed into domestic inflation, first at the level of manufacturers’ prices and then at the level … manufacturer price index in determining Turkish inflation rates. In addition, the decline in the exchange rate pass-through impact …

Persistent link: https://www.econbiz.de/10008497664

Monetary approach to inflation: A medium-term structural model in a small open economy (the case of the Czech Republic in 1996-2004)

Arlt, Josef; Kodera, Jan; Mandel, Martin; Tomšík, … - In: Politická ekonomie 2006 (2006) 3

The paper analyses a relationship between monetary aggregate M2 and inflation in a small open economy. The relationship … between monetary expansion and inflation as well as a dynamic of income velocity of money framework in a small open economy … money and tradables inflation in the case of the Czech small open economy is not found. The conclusions presented in the …

Persistent link: https://www.econbiz.de/10005036707

Does currency substitution affect exchange rate uncertainty? the case of Turkey

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

In this paper, we investigate whether the currency substitution can affect the exchange rate uncertainty for the Turkish economy. Considering the whole time period 1987M01-2006M12 as well as thesub-periods 1987M01-1999M12 and 2001M03-2006M12 for sensitivity analysis, our estimation results...

Persistent link: https://www.econbiz.de/10008623473

A monetary model of TL/US$ exchange rate: a co-integrating approach

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2008

In our paper, we investigate the exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following the monetary model exchange rate determination based on the economic fundamentals, the multivariate Johansen-Juselius type co-integrating modeling...

Persistent link: https://www.econbiz.de/10008596379

Information content of exchange rate volatility: Turkish experience

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

This study constructs an empirical model of the volatility of the TL/US$ exchange rate for the Turkish economy during the post-2001 crisis period ending on August 2006. Employing the Exponential GARCH (EGARCH) estimation methodology of econometrics, we find that the volatility of a given shock...

Persistent link: https://www.econbiz.de/10008497662

Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2008

In this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be...

Persistent link: https://www.econbiz.de/10008497666

Are real exchange rates mean reverting? Evidence from a panel of OECD countries

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2009

In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a...

Persistent link: https://www.econbiz.de/10008497682

Modeling purchasing power parity using co-integration: evidence from Turkey

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

In this study, we consruct a co-integration model of the Turkish economy using high frequency data to examine the validity of the purchasing power parity (PPP) theory. The ex-post estimation results derived from the analysis of monthly observations for the January 1987 – December 2004 period...

Persistent link: https://www.econbiz.de/10008497692

Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy

Levent, Korap - Volkswirtschaftliche Fakultät, … - 2007

Akyuz, Y. and Boratav, K. (2003). The making of the Turkish financial crisis, World Development, 31/9, 1549-1566. Alper, C.E. (2001). The Turkish liquidity crisis of 2000: What went wrong, Russian and East European Finance and Trade, 37/6, 51-71. Aslan, O. and Korap L. (2007). Structural VAR...

Persistent link: https://www.econbiz.de/10008497693

Non-linear "Tuning" of Frankel's Exchange Rate Model

Michl, Aleš - In: Acta Oeconomica Pragensia 2005 (2005) 1, pp. 70-81

In this essay I've demonstrated that there is evidence of unstable and non-linear relationship between fundamental variables and exchange rates. I have tried to "tune" Frankel's (1979) real interest differential model of exchange rate fluctuation. I have distinguished between Czech crown/Euro...

Persistent link: https://www.econbiz.de/10005036477