ATIME SERIES ANALYSIS OFTHE RELATIONSHIPS BETWEEN THE VOLATILITYOFEXCHANGE RATE, EXPORTS AND IMPORTS

Serpil Turkyilmaz, Mustafa Ozer and Erol Kutlu ()
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Erol Kutlu: Bilecik University

Anadolu University Journal of Social Sciences, 2007, vol. 7, issue 2, 133-150

Abstract: In this study, monthly nominal exchange rate volatility has been obtained by using AR(1)- TGARCH(1,1) model over the period 1999:01-2007:01 in Turkey and the direction of causality relationships among nominal exchange rate volatility, import and export have been tried to be determined by the Granger Causality Test of the Standard VAR model. Furthermore, in the study, the results of the Impulse-Response Analysis and the Variance Decomposition Analysis of the StandardVAR model have been obtained as an evidence of presence of one sided causality relationship from exportto nominal exchange rate volatility, and two sided causality relationships between import and the nominal exchange rate volatility, and between import and export.

Keywords: Nominal Exchange Rate Volatility; Import; Export; TGARCH Modeli; the Granger Causality Test; the Impulse-Response Analysis; the Variance Decomposition Analysis. (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:and:journl:v:7:y:2007:i:2:p:133-150

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