Exchange Rate Uncertainty in Turkey and its Impact on Export Volume

Adnan Kasman · Saadet Kasman

85 citations0/0 files storedOpenMETU (Middle East Technical University)

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Abstract

This paper investigates the impact of real exchange rate volatility on Turkey’s exports to its most important trading partners using quarterly data for the period 1982 to 2001. Cointegration and error correction modeling approaches are applied, and estimates of the cointegrating relations are obtained using Johansen’s multivariate procedure. Estimates of the short-run dynamics are obtained through the error correction technique. Our results indicate that exchange rate volatility has a significant positive effect on export volume in the long run. This result may indicate that firms operating in a small economy, like Turkey, have little option for dealing with increased exchange rate risk.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2010Critical Values for Cointegration Tests 1988Trends and random walks in macroeconomic time series 1994Five alternative methods of estimating long-run equilibrium relationships 1988Exchange Rate Variability and the Slowdown in Growth of International Trade

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