 Determinants of exchange market pressure in Turkey: An econometric investigationNo 7920, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre Abstract: This paper investigates the hypothesis that there is a causal relation between speculative pressure and real exchange rate overvaluation, banking-sector fragility, and the level of international reserves in Turkey. An autoregressive distributed lag (ARDL) bounds-testing procedure and Granger causality within vector error- correction models (VECM) are applied to the period after the liberalization of capital flows (August 1989-August 2006). The results of the ARDL bounds test support the theory that exchange market pressure is in a long-run equilibrium relation with the three hypothesized variables over the sample period. On the other hand, the results of the short-run and long-run Granger causality tests indicate the existence of Granger causality running from the three variables to exchange market pressure. The findings further suggest that a feedback relation exists between banking-sector fragility and exchange market pressure. Keywords: ARDL bounds test; exchange market pressure; Granger causality (search for similar items in EconPapers) Published in Emerging Markets Finance and Trade 2.45(2009): pp. 65-81 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:gpe:wpaper:7920 Access Statistics for this paper More papers in Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre Contact information at EDIRC. |
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