A monetary model of TL-US$ exchange rate: a co-integrating approach Reportar como inadecuado




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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.



Item Type: MPRA Paper -

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

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

Language: English-

Keywords: Exchange Rates; Monetary Model; Turkish Economy;-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsF - International Economics > F3 - International Finance > F31 - Foreign Exchange-





Autor: Levent, Korap

Fuente: https://mpra.ub.uni-muenchen.de/20389/







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