A monetary model of TL/US$ exchange rate: a co-integrating approach

Levent Korap ()

MPRA Paper from University Library of Munich, Germany

Abstract: In our paper, we investigate the exchange rate determination mechanism of TL/US$ for the 1987Q1-2006Q4 period using quarterly observations. Following the monetary model exchange rate determination based on the economic fundamentals, the multivariate Johansen-Juselius type co-integrating modeling is employed to reveal the long-run stationary relationships leading to the determination of nominal exchange rate for the Turkish economy. Our findings give strong support to the monetary model of exchange rate and indicate that nominal exchange rate is co-integrated with the fundamentals suggested by economics theory.

Keywords: Exchange Rates; Monetary Model; Turkish Economy (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2008
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Published in İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Dergisi 59.19(2009): pp. 75-80

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20389

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