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TESTING EXCHANGE RATE DETERMINATION MODEL FOR YTL/US$: EVIDENCE FROM HIGH FREQUENCY DATA

Journal Name:

  • Uşak Üniversitesi Sosyal Bilimler Dergisi

Publication Year:

  • 2008

Key Words:

Keywords (Original Language):

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Abstract (2. Language): 
In this paper, exchange rate determination mechanism of YTL/US$ is examined for the 1986M01-2007M08 period of monthly frequency data. Using a theoretical approach based on the monetary model exchange rate determination mechanism, estimation results obtained from contemporaneous multivariate co-integration methodology indicate that YTL/US$ nominal exchange rate is co-integrated with the fundamentals suggested by economics theory. Estimation results reveal that there exists a positive relationship between nominal exchange rate and relative money supply differential and that an increase in the relative income differential would lead to an appreciation of the domestic currency against the US$. Besides, relative interest differential variable has a positive relationship with the nominal exchange rate as a priori hypothesized. However, no significant effect of relative inflation differentials on the nominal exchange rate has been found.
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Abstract (Original Language): 
Bu çalışmada, YTL/US$ döviz kuru belirlenme mekanizması aylık gözlem aralığı kullanılarak 1986M01-2007M08 dönemi için incelenmektedir. Parasal model döviz kuru belirlenme mekanizmasına dayalı olarak oluşturulan kuramsal bir yaklaşım doğrultusunda, çağdaş çok değişkenli eş-bütünleşim yöntemi kullanılarak elde edilen tahmin sonuçları YTL/US$ parasal döviz kurunun iktisat kuramı tarafından önerilen temellerle eş-bütünleşik bir ilişki içerisinde olduğunu göstermektedir. Tahmin bulguları parasal döviz kuruyla göreceli para arzı farkı arasında pozitif bir ilişkinin varlığını ve göreceli gelir farkındaki bir artışın yerli paranın US$ karşısında değerlenmesine neden olduğunu ortaya koymaktadır. Ayrıca, göreceli faiz farkı değişkeni önsel olarak varsayıldığı gibi parasal döviz kuruyla pozitif bir ilişki içerisinde bulunmuştur. Bununla birlikte, göreceli enflasyon farkının parasal döviz kuru üzerinde herhangi anlamlı bir etkisi bulunamamıştır.
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  • 2
87-101
  • Turkish

REFERENCES

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