Testing international parity hypothesis in a multivariate identified co-integrating system: the Turkish evidence

Levent Korap ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, a multivariate co-integrating model is constructed upon the Turkish economy to examine the validity of the purchasing power parity and the uncovered interest parity theories simultaneously. Estimation results obtained from the identified co-integrating vectors support a priori modelling expectations and yield evidence to the existence of both parities when integrated within each other. However, no evidence is obtained in favor of the two international exchange rate determination parity hypotheses when formulated in isolation. A policy inference derived from the paper can be summarized such that, since the market mechanisms seem to closely affect the long-run course of the nominal exchange rate, exchange rate based stabilization programs should be appreciated by economic agents in a cautious way.

Keywords: Purchasing Power Parity; Uncovered Interest Parity; Turkish Economy (search for similar items in EconPapers)
JEL-codes: C32 F32 F41 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in İstanbul Üniversitesi Sosyal Bilimler Meslek Yüksek Okulu Sosyal Bilimler Dergisi 1.2008(2008): pp. 129-137

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/20020/1/MPRA_paper_20020.pdf original version (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:pra:mprapa:20020

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().