Purchasing Power Parity and ARIMA Models in Forecasting Exchange Rates: The Case of Turkey

Hasan Vergil and Filiz Ozkan

Istanbul Stock Exchange Review, 2007, vol. 9, issue 35, 37-50

Abstract: This study aims to forecast the exchange rates of Turkey by using the Purchasing Power Parity theory (PPP) and its competitor the ARIMA models and compare their forecasting powers. In doing so, the models are estimated using the monthly real exchange rate data between Turkish Lira and Turkey's five biggest trading partners (The USA, Germany, England, France and Italy) for the period 1980- 2003 and using the monthly real exchange rate data between Turkish Lira and European Union for the period 1999-2005. The conclusions based on the error terms statistics and the regression coefficients suggest that, compared to the PPP models, the ARIMA models have better forecasting powers.

Date: 2007
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_35.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:9:y:2007:i:35:p:37-50

Access Statistics for this article

More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().