Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

Salih Katircioglu () and Mete Feridun

No 7916, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre

Abstract: This article investigates the relationship between Exchange Market Pressure (EMP) and macroeconomic fundamentals in Turkey using the Autoregressive Distributed Lag (ARDL) bounds testing procedure and Vector Error Correction Model (VECM) within the framework of the canonical currency crisis models. The results of the bounds tests suggest the existence of a level relationship between EMP and the selected macroeconomic fundamentals. The results of the VECM also suggest that there exists a unidirectional causation that runs from those macroeconomic fundamentals to EMP in the case of the Turkish Economy.

Keywords: Exchange Market Pressure (EMP); macroeconomic fundamentals; Turkey; Autoregressive Distributed Lag (ARDL) bounds testing procedure; Vector Error Correction Model (VECM) (search for similar items in EconPapers)
Date: 2010-11-05
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Published in Applied Economics Letters 3.18(2010): pp. 295-300

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