Determinants of Turkish real effective exchange rates

VURAL B. M.

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, cilt.73, ss.151-158, 2019 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 73
  • Basım Tarihi: 2019
  • Doi Numarası: 10.1016/j.qref.2018.06.004
  • Dergi Adı: QUARTERLY REVIEW OF ECONOMICS AND FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.151-158
  • Anahtar Kelimeler: PPP, Exchange rate determination, B-S effect, PURCHASING POWER PARITY, PASS-THROUGH, COINTEGRATION
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

Widening current account deficits went hand in hand with considerable volatility, and financial fragility for last three decades. Within these circumstances, Turkish Lira has been exposed to huge oscillations from time to time. These kind of substantial ups and downs raise the questions on the persistency of equilibrium exchange rates for TL. This paper aims to assess the long run equilibrium path for Turkish Lira and its fundamental determinants. Empirical investigation suggests that the main fundamental determinants of Turkish real effective exchange rates are the real GDP per capita relative to trading partners, oil prices, fiscal expenditures and international openness. Despite expectations, net foreign assets do not exhibit a significant long run relationship with real exchange rates in Turkey. Persistent rise in productivity measure (GDP per capita relative to major trading partners) is associated with the appreciation pressure on equilibrium exchange rates. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.