Exchange Rate Volatility and Turkey-US Commodity Trade: An Asymmetry Analysis

Mohsen Bahmani-Oskooee and Huseyin Karamelikli

Economic Issues Journal Articles, 2020, vol. 25, issue 2, 1-29

Abstract: In this paper we assess the symmetric and asymmetric effects of lira-dollar volatility on 56 2-digit industries that trade between Turkey and the US When a linear model was estimated, which assumes the effects to be symmetric, we found short-run effects of volatility on 23 Turkish exporting industries and 31 Turkish importing industries. Short-run effects lasted into the long-run in 6 exporting and 18 importing industries. However, when a nonlinear model was estimated, we found short-run effects in 41 exporting and 42 importing industries which were asymmetric in all industries. Short-run effects translated into asymmetric long-run effects in 45 exporting and 22 importing industries.

Keywords: Exchange rate volatility; Asymmetry; Commodity trade; Turkey; US; Nonlinear ARD (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Exchange rate volatility and Turkey–EU commodity trade: an asymmetry analysis (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eis:articl:220bahmani

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