Long Term Validity of Monetary Exchange Rate Model: Evidence from Turkey

Ahmet Ugur, Yusuf Ekrem Akbas and Mehmet Senturk

Romanian Economic Journal, 2014, vol. 17, issue 51, 111-136

Abstract: In this study, it was analyzed if there is a long term relationship among the nominal exchange rate and monetary fundamentals within the periods of 1998:1-2011:2 in Turkey. This relationship has been analysed by using structural VAR(SVAR) model. Besides, Granger causality test and Dolado-Lütkepohl Granger causality test were used to determine if there were a causality relationship among the nominal exchange rate and monetary fundamentals. As a result of the SVAR model, the relationship among the series related to nominal exchange rate and money supply, GDP, interest rate in Turkey in long term were not determined and at the end of causality tests, causality relationship among the nominal exchange rate and monetary fundamentals were not determined.

Keywords: monetary exchange rate model; structural VAR; flexible price model (search for similar items in EconPapers)
JEL-codes: E52 F31 O42 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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