COINTEGRATION AND CAUSALITY AMONG EXCHANGE RATE, EXPORT, AND IMPORT: EMPIRICAL EVIDENCE FROM TURKEY

Fuat SEKMEN () and Hakan Saribas ()
Authors registered in the RePEc Author Service: Fuat Sekmen () and Fuat Sekmen

Applied Econometrics and International Development, 2007, vol. 7, issue 2, pages 71-78

Abstract: This paper examines the cointegration and causality among exchange rate, export, and import for Turkey during the period of 1998-2006. The econometrics results show that there is a cointegration between exports and import, but direction of causality is bi-directional between these two variables. The impulse response functions also supports that there is a trade-off between exports and imports; for example, when imports are high, there is smaller exports at that time. This study supports few investigators who find no negative effect of exchange rate volatility on trade volume since it is found that exchange rates cannot determine the variation in exports and imports.

Keywords: Export; Import; Exchange Rate; Cointegration; and Impulse Response Function (search for similar items in EconPapers)
JEL-codes: F41 (search for similar items in EconPapers)
Date: 2007
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