Panel Data Analysis of Exchange Rate for Fragile Five

Assoc. Prof. Dina Çakmur Yildirtan and Esengül Salihoğlu
Additional contact information
Assoc. Prof. Dina Çakmur Yildirtan: Capital Market Dept, School of Banking and Insurance, Marmara University, Turkey

European Journal of Multidisciplinary Studies Articles, 2017, vol. 2

Abstract: After the Bretteon Woods System, as a result of the preffering especially the flexible exchange rate systems of developed countries the exchange rate risk has emerged. The transfer for the flexible exchange systems in the majority of developing countries started with the financial liberalization in the 1990’s. In this period, the progress of information technology and globalization have rendered exchange rate policies and exchange rates a priority for countries and exchange rates have become effective on macroeconomic indicators. In this study was examined exchange rate behaviour of Morgan Stanley’s “Fragile Five Countries†which are Brazil, India, Indonesia, South Africa and Turkey. For this purpose with the Panel Cointegration Tests was investigated if there is long termed relationship between the exchange rate and international reserves, money supply and The Bloomberg U.S. Financial Conditions Index(BFCIUS). As well as, Granger Causality test is applied using Panel Data Causality Techniques are used to uncover the direction of relation between variables. Thus Panel Vector Autoregression (PVAR) Model was estimated among the variables. The present study is distinguished from previous studies by investigation of long term relationship between also The BFCIUS, exchange rate. Data base is containing from the exchange rate index, international reserve index, Money supply index and BFCIUS variables presented by Bloomberg and monthly data includes 1015 observations done in the period of March 2000 - January 2017.

Keywords: Fragile Five; Exchange Rate; Money Supply; International Reserves; The Bloomberg U.S. Financial Conditions Index. (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://brucol.be/index.php/ejms/article/view/5828 (text/html)
https://brucol.be/files/articles/ejms_v2_i5_17/Yildirtan.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:eur:ejmsjr:249

DOI: 10.26417/ejms.v5i1.p264-278

Access Statistics for this article

More articles in European Journal of Multidisciplinary Studies Articles from Revistia Research and Publishing
Bibliographic data for series maintained by Revistia Research and Publishing ().