Kırılgan Beşli Ekonomilerinin Döviz Kuru Hareketleri: Dolar Endeksini Takip Ediyorlar mı?
Loading...
Date
2019
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Open Access Color
OpenAIRE Downloads
OpenAIRE Views
Abstract
Bu çalışmada dolar endeksi ile ‘Kırılgan Beşli’ ülkeleri döviz kurları arasındaki uzun dönemli ilişki incelenmektedir. Türkiye Endonezya Brezilya Güney Afrika ve Hindistan’ın döviz kurları ile birlikte ana ticaret ortakları ve başlıca para birimleri ağırlıklı dolar endeksleri analiz edilmiştir. Ocak 2002 – Haziran 2018 dönemini kapsayan haftalık verilere doğrusal olmayan eşbütünleşme sistemi ve Granger nedensellik testleri uygulanmıştır. Sonuçlar döviz kurlarının ana ticaret ortakları ağırlıklı dolar endeksiyle uzun vadeli ilişkiye sahip olmadığını göstermektedir. Bununla birlikte dolar endeksinin kısa vadede Kırılgan Beşli döviz kurları üzerinde anlamlı etkisinin olduğu görülmektedir.
Description
ORCID
Keywords
İktisat-İşletme Finans, İktisat, İşletme Finans
Fields of Science
Citation
Antonakakis N. (2012) “Exchange return co-movements and volatility spillovers before and after the introduction of euro” Journal of International Financial Markets Institutions and Money 22(5) p. 1091–1109.AuYong H. H. Gan C. and Treepongkaruna S. (2004) “Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises” International Review of Financial Analysis 13(4) p. 479–515.Baig T. and Goldfajn I. (1999) “Financial Market Contagion in the Asian Crisis” IMF Staff Papers 46(2) p. 167–195.BIS (2016) “Triennial Central Bank Survey of foreign exchange and OTC derivatives markets in 2016” Bank of International Settlements.Boero G. Silvapulle P. and Tursunalieva A. (2011) “Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach” International Journal of Finance & Economics 16(4) p. 357–374.Chung C. H. (2006) “Characterizing co-movement of the won with the yen before and after the currency crisis” Korea Review of International Studies 9(2) p. 3–18.Copeland L. S. (1991) “Cointegration tests with daily exchange rate data” Oxford Bulletin of Economics and Statistics 53(2) p. 185–198.Chou R. Y. (1988) “Volatility persistence and stock valuations: Some empirical evidence using GARCH”. Journal of Applied Econometrics 3(4) p. 279–294.Diks C. and Panchenko V. (2006) “A new statistic and practical guidelines for nonparametric Granger causality testing” Journal of Economic Dynamics and Control 30(9–10) p. 1647–1669.Engle R. (2002) “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models” Journal of Business & Economic Statistics 20(3) p. 339–350.Engle R. F. Ito T. and Lin W.-L. (1990) “Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market” Econometrica 58(3) p. 525-542.Ferré M. and Hall S. G. (2002) “Foreign exchange market efficiency and cointegration” Applied Financial Economics 12(2) p. 131–139.Hakkio C. S. and Rush M. (1989) “Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets” Journal of International Money and Finance 8(1) p. 75–88.Granger C. W. J. (1969). “Investigating Causal Relations by Econometric Models and Cross-spectral Methods” Econometrica 37(3) p.424–438.Granger C. W. J. (1989). “Forecasting in Business and Economics” 2nd edition Academic Press San Diego.Granger C. W. J. and Teräsvirta T. 1993. “Modelling Nonlinear Economic Relationships” Oxford University Press Oxford.Inagaki K. (2007) “Testing for volatility spillover between the British pound and the euro” Research in International Business and Finance 21(2) p. 161–174.Kang H. (2008) “The cointegration relationships among G-7 foreign exchange rates” International Review of Financial Analysis 17(3) p. 446–460.Khalid A. M. and Kawai M. (2003) “Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model” Journal of Asian Economics 14(1) p. 131–156.Kim S. Shepherd N. and Chib S. (1998) “Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models”. Review of Economic Studies 65(3) p. 361–393.Kitamura Y. (2010) “Testing for intraday interdependence and volatility spillover among the euro the pound and the Swiss franc markets” Research in International Business and Finance 24(2) p. 158–171.Maki D. (2006) “Nonlinear adjustment in the term structure of interest rates: a cointegration analysis in the nonlinear STAR framework” Applied Financial Economics 16 1301–1307.Maki D. (2015a) “Wild bootstrap testing for cointegration in an ESTAR error correction model” Economic Modelling 47 p. 292–298.Maki D. (2015b) “Wild bootstrap tests for unit root in ESTAR models” Statistical Methods and Applications 24(3) p. 475–490.Nikkinen J. Sahlström P. and Vähämaa S. (2006) “Implied volatility linkages among major European currencies” Journal of International Financial Markets Institutions and Money 16(2) p. 87–103.Patton A. J. (2006) “Modelling asymmetric exchange rate dependence” International Economic Review 47(2) p. 527–556.Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index? İktisadi ve İdari Bilimler Dergisi Nisan 2019 Cilt: 33 Sayı:2 494Pérez-Rodríguez J. V. (2006) “The Euro and Other Major Currencies Floating Against the U.S. Dollar” Atlantic Economic Journal 34(4) p. 367– 384.Rapp T. A. and Sharma S. C. (1999) “Exchange rate market efficiency: across and within countries” Journal of Economics and Business 51(5) p. 423–439.Rothman P. van Dijk D. and Franses P.H. (2001)0 “Multivariate STAR analysis of the relationship between money and output” Macroeconomic. Dynamics 5 506–532.Sui L. and Sun L. (2016) “Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis” Research in International Business and Finance 36 p. 459–471.Tamakoshi G. and Hamori S. (2014) “Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach” International Review of Economics & Finance 31 p. 105–113.Taylor M. P. and Peel D. A. (2000). “Nonlinear adjustment long-run equilibrium and exchange rate fundamentals” Journal of International Money and Finance 19(1) p. 33–53.Toda H. Y. and Yamamoto T. (1995) “Statistical inference in vector autoregressions with possibly integrated processes” Journal of Econometrics 66(1–2) p. 225–250.Wang J. and Yang M. (2009). “Asymmetric volatility in the foreign exchange markets” Journal of International Financial Markets Institutions and Money 19(4) 597–615.Yoon G. (2010) “Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?” Economic Modelling 27 (2) 605-612.
WoS Q
Scopus Q
Source
Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi
Volume
33
Issue
2
Start Page
479
End Page
494
Collections
