The purpose of this study is to determine the factors contributing to real exchange rate fluctuations in Kenya; whether the real exchange rate responds more to real or to nominal shocks. A vector autoregression framework is applied in the analysis yielding impulse responses and decompositions of...

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...

This paper examines the extent to which changes in exchange rates result in changes in Turkish domestic inflation. Specifically, we determine if there has been a change in the magnitude of this impact from the pre-2003 period to the post-2003, when the exchange rates were allowed to float....

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...

This paper investigates the nature of the causal relationships among stock prices and effective exchange rates in four old EU member countries (Austria, France, Germany, and the UK), four new EU member countries (Czech Republic, Hungary, Poland, and Slovakia), and in the United States. Both the...

This paper investigates the differences in structures of causal relationships between stock and currency markets for advanced and emerging economies on the example of Switzerland and Poland. The bootstrap–based linear causality analysis as well as nonlinear causality tests were conducted for...

This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised...

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-a-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

The aim of this paper is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. I focus my attention on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. I also focus exclusively on three financial markets:...

This paper establishes the link of microstructure and macroeconomic factors to the time-varying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be...