THE LONG-TERM DEPENDENCE IN REAL EXCHANGE RATES
Journal Title: The Journal of International Social Research - Year 2017, Vol 10, Issue 49
Abstract
In this study, the long-term dependency of the real exchange rates is analyzed for Turkey by using semiparametric method. We consider two real exchange rate series for Turkish lira: one is US dolar and the other one is Euro. Both series are composed of monthly data for the period of 2002-2016. In this respect, we first tested the stationary of the real exchange rates by using the traditional unit root tests. Afterwards, we proved that the real exchange rates have long-term dependency by using the Geweke and Porter-Hudak (GPH)'s log-periodogram regression method. We found that the real exchange rates in Turkey have long-term dependency during the time of interest. Moreover, the real exchange based on Dollar exhibits mean reversion. In other words, the effects of the shocks of distant past affect the price of today. On the other hand, the serie of the real Euro exchange rate has a persistence structure. The intensity of the effect of the shock determines that it has a strong persistence structure depending on the estimated fractional integration parameter.
Authors and Affiliations
Emre ÜRKMEZ
Keywords
Related Articles
- EP ID EP253057
- DOI 10.17719/jisr.2017.1621
- Views 140
- Downloads 0
TWO QUEENS IN THE ANATOLIA OF THE 2ND CENTURY BC: NYSA FROM KAPPADOKIA AND LAODIKE FROM PONTOS
Upon the death of the King of Kappadokia Ariarathes V Eusebes Philopator while he was suppressing the Aristonikos Revolt in 129 BC his wife, Queen Nysa, ascended to the Kappadokia throne. In the year of 120 BC after the...
REPORT OF MARKING PROGRESS AGAINST CHILD LABOUR IN THE 21ST CENTURY
Child labor first became a problem according to today’s legal dimension in the 16th and 17th centuries although it dates back to old times in the historical period. In those centuries, the most important reason for this...
A SIGH TOWARDS NILE: MEHMET AKIF ERSOY
Social, political and psychological context of a period may be listed as top three of the major factors determining the writing process and medium. It is generally not possible for an author to isolate himself from the i...
AN ANALYTICAL STUDY ON VIEWS OF TEACHER CANDIDATES ABOUT COOPERATIVE LEARNING APPROACH
Cooperative learning is an active learning approach, model or method based on students’ working in groups towards academic and cooperative goals, enhancing self-confidence, improving communication skills and providing ac...
LONG MARRIAGES: FORTY YEARS IN A PILLOW
In this study, it was examined the views related to marriages and marital lives of individuals who have married with one spouse for a long time. This study was made with 6 female and 6 male participants who have differen...