The long-run validity of monetary exchange rate model for a high inflation country and misalignment: the case of Turkey
Author
Source
Economic Research Forum : Working Paper Series
Issue
Vol. 2002, Issue 201-240 (31 Dec. 2002)11 p.
Publisher
Economic Research Forum for the Arab Countries Iran and Turkey
Publication Date
2002-12-31
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Topics
Abstract EN
This paper applies the Johansen co integration technique to examine the validity of the monetary model of exchange rate determination as an explanation of the Turkish Lira -United States dollar relationship over 1987 : 1-2000 : 12.
A single co integrating vector is identified, lending support to the interpretation of the model as describing a long-run equilibrium relationship.
We also test for weak exogeneity of the nominal exchange rates and monetary fundamentals from the estimated vector error correction models.
This gives us insight into the adjustment process through which the long-run equilibrium relationship between exchange rates and monetary fundamentals is maintained.
In addition, we calculate misalignment from the estimated long-run relationship to evaluate whether the lira was overvalued before the eve of the 2001 financial crisis in Turkey.
Calculated misalignment figures show substantial overvaluation before the crisis.
American Psychological Association (APA)
Civcir, Irfan. 2002. The long-run validity of monetary exchange rate model for a high inflation country and misalignment: the case of Turkey. Economic Research Forum : Working Paper Series،Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149040
Modern Language Association (MLA)
Civcir, Irfan. The long-run validity of monetary exchange rate model for a high inflation country and misalignment: the case of Turkey. Economic Research Forum : Working Paper Series No. 201-240 (Dec. 2002).
https://search.emarefa.net/detail/BIM-149040
American Medical Association (AMA)
Civcir, Irfan. The long-run validity of monetary exchange rate model for a high inflation country and misalignment: the case of Turkey. Economic Research Forum : Working Paper Series. 2002. Vol. 2002, no. 201-240.
https://search.emarefa.net/detail/BIM-149040
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-149040