메뉴 건너뛰기




Volumn 25, Issue 1, 2008, Pages 83-92

Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration

Author keywords

Exchange rates; Foreign exchange reserves; Structural breaks

Indexed keywords


EID: 37349052754     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2007.04.010     Document Type: Article
Times cited : (28)

References (38)
  • 1
    • 0041760735 scopus 로고    scopus 로고
    • The high demand for international reserves in the Far East: what is going on?
    • Aizenman J., and Marion N. The high demand for international reserves in the Far East: what is going on?. Journal of the Japanese and International Economies 17 (2003) 370-400
    • (2003) Journal of the Japanese and International Economies , vol.17 , pp. 370-400
    • Aizenman, J.1    Marion, N.2
  • 2
    • 33645377799 scopus 로고    scopus 로고
    • Foreign exchange reserves in East Asia: why the high demand?
    • Aizenman J., and Marion N. Foreign exchange reserves in East Asia: why the high demand?. FRBSF Economic Letter 11 (2003) 1-3
    • (2003) FRBSF Economic Letter , vol.11 , pp. 1-3
    • Aizenman, J.1    Marion, N.2
  • 4
    • 0031412341 scopus 로고    scopus 로고
    • Currency substitution and exchange rate instability: the Turkish case
    • Akçay O.C., Alper C.E., and Karasulu M. Currency substitution and exchange rate instability: the Turkish case. European Economic Review 41 (1997) 827-835
    • (1997) European Economic Review , vol.41 , pp. 827-835
    • Akçay, O.C.1    Alper, C.E.2    Karasulu, M.3
  • 5
    • 37349101659 scopus 로고    scopus 로고
    • The term structure of volatility in the Turkish foreign exchange: implications for option pricing and hedging decision
    • Aysoy C., and Balaban E. The term structure of volatility in the Turkish foreign exchange: implications for option pricing and hedging decision. Central Bank of the Republic of Turkey Discussion Paper vol. 9613 (1996) 379-400
    • (1996) Central Bank of the Republic of Turkey Discussion Paper , vol.9613 , pp. 379-400
    • Aysoy, C.1    Balaban, E.2
  • 7
    • 0037269162 scopus 로고    scopus 로고
    • Exchange rate risk and interest rate: a case study of Turkey
    • Berument H., and Günay A. Exchange rate risk and interest rate: a case study of Turkey. Open Economies Review 14 (2003) 19-27
    • (2003) Open Economies Review , vol.14 , pp. 19-27
    • Berument, H.1    Günay, A.2
  • 8
    • 0842290974 scopus 로고    scopus 로고
    • Effects of the real exchange rate on output and inflation: evidence from Turkey
    • Berument H., and Paşaoǧullari{dotless} M. Effects of the real exchange rate on output and inflation: evidence from Turkey. Developing Economies 41 4 (2003) 401-435
    • (2003) Developing Economies , vol.41 , Issue.4 , pp. 401-435
    • Berument, H.1    Paşaoǧullari, M.2
  • 9
    • 10844294344 scopus 로고    scopus 로고
    • The effects of exchange rate risk on economic performance: the Turkish experience
    • Berument H., and Dinçer N. The effects of exchange rate risk on economic performance: the Turkish experience. Applied Economics 36 (2004) 2429-2441
    • (2004) Applied Economics , vol.36 , pp. 2429-2441
    • Berument, H.1    Dinçer, N.2
  • 12
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (1979) 427-431
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0037145539 scopus 로고    scopus 로고
    • Estimating the impact of exchange rate volatility on exports: evidence from Asian countries
    • Doǧanlar M. Estimating the impact of exchange rate volatility on exports: evidence from Asian countries. Applied Economics Letters 9 (2002) 859-863
    • (2002) Applied Economics Letters , vol.9 , pp. 859-863
    • Doǧanlar, M.1
  • 14
    • 52349097294 scopus 로고    scopus 로고
    • Türkiye'de döviz kuru dinamiklerinin belirlenmesinde Parasalci{dotless} Yaklaşi{dotless}m ve eşbütünleşme yöntemiyle si{dotless}nama
    • Dülger F., and Cin M.F. Türkiye'de döviz kuru dinamiklerinin belirlenmesinde Parasalci{dotless} Yaklaşi{dotless}m ve eşbütünleşme yöntemiyle si{dotless}nama. METU Studies in Development 29 1-2 (2002) 47-68
    • (2002) METU Studies in Development , vol.29 , Issue.1-2 , pp. 47-68
    • Dülger, F.1    Cin, M.F.2
  • 15
    • 0000013567 scopus 로고
    • Cointegration and error correction: representation, estimation and testing
    • Engle R.F., and Granger C.W.J. Cointegration and error correction: representation, estimation and testing. Econometrica 55 (1987) 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 16
    • 27144530871 scopus 로고    scopus 로고
    • Large hoardings of international reserves: are they worth it?
    • Garcia P., and Soto C. Large hoardings of international reserves: are they worth it?. Central Bank of Chile Working Paper vol. 299 (2004) 1-40
    • (2004) Central Bank of Chile Working Paper , vol.299 , pp. 1-40
    • Garcia, P.1    Soto, C.2
  • 17
    • 84981566273 scopus 로고
    • Developments in the study of cointegrated economic variables
    • Granger C.W.J. Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48 (1986) 213-228
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , pp. 213-228
    • Granger, C.W.J.1
  • 18
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • Gregory A.W., and Hansen B.E. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 70 (1996) 99-126
    • (1996) Journal of Econometrics , vol.70 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 19
    • 37349103862 scopus 로고    scopus 로고
    • How should emerging economies manage their foreign exchange reserves?
    • Gupta A., and Agarwal R. How should emerging economies manage their foreign exchange reserves?. Economics Working Paper Archive (Econ WPA) vol. 0401005 (2004)
    • (2004) Economics Working Paper Archive (Econ WPA) , vol.0401005
    • Gupta, A.1    Agarwal, R.2
  • 20
    • 37349074449 scopus 로고    scopus 로고
    • The dynamics of real interest rates, real exchange rates and the balance of payments in China: 1980-2002
    • Jin Z. The dynamics of real interest rates, real exchange rates and the balance of payments in China: 1980-2002. IMF Working Paper vol. WP/03/67 (2003)
    • (2003) IMF Working Paper , vol.WP-03-67
    • Jin, Z.1
  • 22
    • 0012147139 scopus 로고    scopus 로고
    • Turkey' trade balance in the short and the long-run: error correction modeling and cointegration
    • Kale P. Turkey' trade balance in the short and the long-run: error correction modeling and cointegration. International Trade Journal 15 1 (2001) 27-56
    • (2001) International Trade Journal , vol.15 , Issue.1 , pp. 27-56
    • Kale, P.1
  • 23
    • 37349006596 scopus 로고    scopus 로고
    • Exchange rate uncertainty in Turkey and its impact on export volume
    • Kasman A., and Kasman S. Exchange rate uncertainty in Turkey and its impact on export volume. METU Studies in Development 32 1 (2005) 41-58
    • (2005) METU Studies in Development , vol.32 , Issue.1 , pp. 41-58
    • Kasman, A.1    Kasman, S.2
  • 24
    • 0034780337 scopus 로고    scopus 로고
    • The empirics of foreign reserves
    • Lane P.R., and Burke D. The empirics of foreign reserves. Open Economies Review 12 4 (2001) 423-434
    • (2001) Open Economies Review , vol.12 , Issue.4 , pp. 423-434
    • Lane, P.R.1    Burke, D.2
  • 25
    • 1642562216 scopus 로고
    • Demand for international reserves and exchange-rate intervention policy in an adjustable-peg economy
    • Levy V. Demand for international reserves and exchange-rate intervention policy in an adjustable-peg economy. Journal of Monetary Economics 11 1 (1983) 89-101
    • (1983) Journal of Monetary Economics , vol.11 , Issue.1 , pp. 89-101
    • Levy, V.1
  • 26
    • 0002378331 scopus 로고
    • Critical values for cointegration tests
    • Engle R.F., and Granger C.W.J. (Eds), Oxford University Press, New York
    • MacKinnon J.G. Critical values for cointegration tests. In: Engle R.F., and Granger C.W.J. (Eds). Long Run Economic Relationships: Readings in Cointegration (1991), Oxford University Press, New York
    • (1991) Long Run Economic Relationships: Readings in Cointegration
    • MacKinnon, J.G.1
  • 27
    • 0348196519 scopus 로고    scopus 로고
    • Determinants of the long-run equilibrium real exchange rate: an analytical model
    • Hinkle L., and Montiel P. (Eds), Oxford University Press, New York
    • Montiel P. Determinants of the long-run equilibrium real exchange rate: an analytical model. In: Hinkle L., and Montiel P. (Eds). Exchange Rate Misalignment: Concepts and Measurement for Developing Countries (1999), Oxford University Press, New York
    • (1999) Exchange Rate Misalignment: Concepts and Measurement for Developing Countries
    • Montiel, P.1
  • 28
    • 2342637734 scopus 로고    scopus 로고
    • The relationship between the real exchange rate and balance of payments: empirical evidence for China from cointegration and causality testing
    • Narayan P.K., and Smyth R. The relationship between the real exchange rate and balance of payments: empirical evidence for China from cointegration and causality testing. Applied Economics Letters 11 (2004) 287-291
    • (2004) Applied Economics Letters , vol.11 , pp. 287-291
    • Narayan, P.K.1    Smyth, R.2
  • 29
    • 4644344529 scopus 로고    scopus 로고
    • Measuring exchange rate misalignment in Turkey
    • Özlale Ü., and Yeldan E. Measuring exchange rate misalignment in Turkey. Applied Economics 36 (2004) 1839-1849
    • (2004) Applied Economics , vol.36 , pp. 1839-1849
    • Özlale, Ü.1    Yeldan, E.2
  • 30
    • 37349011190 scopus 로고    scopus 로고
    • Exchange market pressure in Turkey 1993-2004: an application of the Girton-Roper monetary model
    • Parlaktuna İ. Exchange market pressure in Turkey 1993-2004: an application of the Girton-Roper monetary model. International Economic Journal 19 1 (2005) 51-62
    • (2005) International Economic Journal , vol.19 , Issue.1 , pp. 51-62
    • Parlaktuna, I.1
  • 31
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron P. The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57 6 (1989) 1361-1401
    • (1989) Econometrica , vol.57 , Issue.6 , pp. 1361-1401
    • Perron, P.1
  • 32
    • 33646790699 scopus 로고
    • Nonstationarity and level shifts with an application to purchasing power parity
    • Perron P., and Vogelsang T.J. Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10 (1992) 301-320
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 301-320
    • Perron, P.1    Vogelsang, T.J.2
  • 33
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips P.C.B., and Perron P. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 34
    • 37349111469 scopus 로고    scopus 로고
    • Modelling the volatility in the Central Bank reserves in an emerging market setting
    • Salman F., and Salih A. Modelling the volatility in the Central Bank reserves in an emerging market setting. Central Bank of the Republic of Turkey Working Paper vol. 2 (1999) 1-35
    • (1999) Central Bank of the Republic of Turkey Working Paper , vol.2 , pp. 1-35
    • Salman, F.1    Salih, A.2
  • 35
    • 4544314367 scopus 로고    scopus 로고
    • Free float and stochastic volatility: the experience of a small open economy
    • Selçuk F. Free float and stochastic volatility: the experience of a small open economy. Physica. A, Statistical Mechanics and its Applications 342 3-4 (2004) 693-700
    • (2004) Physica. A, Statistical Mechanics and its Applications , vol.342 , Issue.3-4 , pp. 693-700
    • Selçuk, F.1
  • 37
    • 33747053015 scopus 로고    scopus 로고
    • Exchange rate volatility in Turkey and its effect on trade flows
    • Vergil H. Exchange rate volatility in Turkey and its effect on trade flows. Journal of Economic and Social Research 4 1 (2002) 83-99
    • (2002) Journal of Economic and Social Research , vol.4 , Issue.1 , pp. 83-99
    • Vergil, H.1
  • 38
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis
    • Zivot E., and Andrews D.W.K. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics 10 3 (1992) 251-270
    • (1992) Journal of Business & Economic Statistics , vol.10 , Issue.3 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.