The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach
Year: 2015
Type: article
Abstract: This paper aims to investigate the effect of exchange-rate stability on real export volume in Turkey, using monthly data for the period February 2001 to January 2010. The Johansen multivariate cointegration method and the parsimonious error-correction model are applied to determine long-run and short-run relationships between real export volume and its determinants. In this study, the conditional variance of the GARCH (1, 1) model is taken as a proxy for exchange-rate stability, and generalized impulse-response functions and variance-decomposition analyses are applied to analyze the dynamic effects of variables on real export volume. The empirical findings suggest that exchangerate stability has a significant positive effect on real export volume, both in the short and the long run.
Source: Panoeconomicus
DOI: 10.2298/pan1504429d
Authors: Erdal Demirhan, Banu Demirhan
Institution: Afyon Kocatepe University
Language: English
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2337565721