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Journals / Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2019 / Cilt: 33 - Sayı: 2

Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index?

Kırılgan Beşli Ekonomilerinin Döviz Kuru Hareketleri: Dolar Endeksini Takip Ediyorlar mı?

Efe Çağlar ÇAĞLI
Fatma Dilvin TAŞKIN
Pages
479–494
Publication Date
2019-03-29
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

However, the dollar index does have significant impact on the foreign exchange rates of Fragile Five, respectively, in the short-run.

📌 3 Key Takeaways

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Objective & Hypothesis:In this paper, we examine the long-run relationship between Dollar Index and foreign exchange rates of ‘Fragile Five’ economies, respectively.
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Key Findings & Data:We analyze foreign exchange rates of Turkey, Indonesia, Brazil, South Africa, India, and weighted average of the foreign exchange value of the US dollar against the currencies of both the broad group of major U.S. trading partners and group of the major currencies.
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Conclusion & Impact:However, the dollar index does have significant impact on the foreign exchange rates of Fragile Five, respectively, in the short-run.
🔬Design:Research Article
📍Scope:2002 Verileri
⚙️Variables:Kırılgan Beşli · Dolar Endeksi · Doğrusal Olmayan Eşbütünleşme

Abstract

In this paper, we examine the long-run relationship between Dollar Index and foreign exchange rates of ‘Fragile Five’ economies, respectively. We analyze foreign exchange rates of Turkey, Indonesia, Brazil, South Africa, India, and weighted average of the foreign exchange value of the US dollar against the currencies of both the broad group of major U.S. trading partners and group of the major currencies. We employ nonlinear cointegration framework and Granger causality tests on the weekly data covering January 2002 – June 2018. The empirical results that the foreign exchange rates do not have significant long-run relationship with the trade weighted US Dollar index. However, the dollar index does have significant impact on the foreign exchange rates of Fragile Five, respectively, in the short-run.

Özet

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.

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Cite This Article

ÇAĞLI, E. Ç., TAŞKIN, F. D. (2019). Foreign Exchange Rate Movements of Fragile Five Economies: Do They Follow the U.S. Dollar Index?. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 33 - Sayı: 2, 479–494. https://ajindex.com/articles/18743

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