Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi

Meltem Chadwick, Fatih Fazilet and Necati Tekatli

Central Bank Review, 2012, vol. 12, issue 1, 63-74

Abstract: The aim of this study is to determine if the common movement among the currencies of emerging market economies that implement flexible exchange rate regime after 2000 is closely related to financial variables. This common movement, which has been derived using a dynamic factor model, is introduced as a composite index of these currencies and the relationship between this index and financial variables has been investigated. The results show that the common trend of the emerging market currencies can be explained to a great extent with the help of financial variables. In this respect, including financial variables while policy making and conducting currency analysis has been underlined with this study.

Keywords: Exchange rate analysis; Emerging market economies; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:12:y:2012:i:1:p:63-74

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