SavedAdd your journal

Journals / Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2014 / Cilt: 36 - Sayı: 1

The long memory features of the real exchange rates in Turkey: Fractional integration analysis

Türkiye'de reel döviz kurlarının uzun hafıza özellikleri: Kesirli bütünleşme analizi

Sinem KUTLU
İpek M. YURTTAGÜLER
Pages
373–389
Publication Date
2022-11-05
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

Empirical findings show that the real exchange rate series which are fractionally integrated exhibit high persistence and long memory property.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In our study, the question whether real exchange rates have long memory property or not is examined by the help of fractional integration analysis.
📊
Key Findings & Data:In this respect, two different real exchange rate series for the Turkish lira, one is U.S.A.
💡
Conclusion & Impact:Empirical findings show that the real exchange rate series which are fractionally integrated exhibit high persistence and long memory property.
🔬Design:Modeling & Simulation
📍Scope:2003 Verileri
⚙️Variables:Domain Parameters

Abstract

In our study, the question whether real exchange rates have long memory property or not is examined by the help of fractional integration analysis. In this respect, two different real exchange rate series for the Turkish lira, one is U.S.A. Dolarbased and the other is Euro-based, are constructed by using the monthly data for the period 2003:012013:07 and these series are tested within the ARFIMA model. Empirical findings show that the real exchange rate series which are fractionally integrated exhibit high persistence and long memory property.

Özet

Çalışmamızda, reel döviz kurlarının uzun hafıza özelliği taşıyıp taşımadığı kesirli bütünleşme analizi yardımıyla incelenmektedir. Bu bağlamda, 2003:012013:07 dönemine ait aylık veriler esas alınarak Türk lirası için biri A.B.D. Doları bazında, diğeri Euro bazında olmak üzere iki ayrı reel kur serisi oluşturulmuş ve seriler ARFIMA modeli çerçevesinde test edilmiştir. Ampirik bulgular, kesirli bütünleşik yapıda olan reel kur serilerinin yüksek direnç ve uzun hafıza özelliği taşıdığını göstermektedir.

🔖

Cite This Article

KUTLU, S., YURTTAGÜLER, İ. M. (2022). The long memory features of the real exchange rates in Turkey: Fractional integration analysis. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 36 - Sayı: 1, 373–389. https://ajindex.com/articles/653154

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. AHKING, F. W., “Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era”, University of Connecticut, Department of Economics Wor- king Paper Series 2004-05.
  2. ALOY, M., BOUTAHAR, M., GENTE, K. ve FEISSOLLE, A. P., “Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?”, Economic Modelling, 28 (2011), ss. 1279-1290.
  3. ALPTEKİN, N., “Long Memory Analysis of USD/TRL Exchange Rate”, World Aca- demy of Science, Engineering and Technology, 3 (2007), ss. 298-300. ANDE ̆L, J., “Long Memory Time Series Models”, Kybernetika, 22(2), 1986, ss. 105-123.
  4. ASHLEY, R. A. ve PATTERSON, D. M., “Apparent Long Memory in Time Series as an Artifact of a Time-Varying Mean: Considering Alternatives to the Frac- tionally Integrated Model”, Macroeconomic Dynamics, 14 (Supplement 1), 2010, ss. 59–87. BAILLIE, R. T. ve BOLLERSLEV, T., “The Long Memory of the Forward Premium”, Journal of International Money and Finance, 13(5), 1994, ss. 565-571.
  5. BAILLIE, R.T., “Long Memory Processes and Fractional Integration in Econometri- cs”, Journal of Econometrics, 73 (1996), ss. 5-59.
  6. BANERJEE, A. ve URGA, G., “Modelling structural breaks, long memory and sto- ck market volatility: an overview”, Journal of Econometrics, 129 (2005), ss. 1-34.
  7. BARKOULAS, J. T. ve BAUM, C. F., “Long Memory and Forecasting in Euroyen Deposit Rates”, Financial Engineering and the Japanese Markets, 4 (1997), ss. 189-201.
  8. BERAN, J., Statistics for Long-Memory Processes, New York, Chapman and Hall, 1994.
  9. BHARDWAJ, G. ve SWANSON, N.R., “An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series”, Journal of Econometrics, 131 (2006), ss. 539-578.
  10. CAPORALE, G. M. ve ALANA, L. A. G., “Real Exchange Rates In Latin America: The PPP Hypothesis and Fractional Integration”, Journal of Economic Deve- lopment, 35(2), 2010, ss. 1-21.
  11. CHEUNG, Y. W., “Long Memory in Foreign-Exchange Rates”, Journal of Business & Economic Statistics, 11(1), 1993, ss. 93-101.
  12. CHOUDHRYA, T. ve LUINTEL, K. B., “The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania”, Economics Letters, 74 (2001), ss. 25–30. COSTA, A. A. ve CRATO, N., “Long-Run Versus Short-Run Behaviour of the Real Exchange Rates”, Institute of Economics and Management ISEG, R. Migu- el Lupi 20, 1200, Lisbon, Portugal, May 18 (2000).
  13. DIEBOLD, F. X., HUSTED S. ve RUSH, M., “Real Exchange Rates under the Gold Standard”, Journal of Political E