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TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY

Mehmet Çağrı GÖZEN
Selçuk KOÇ
Tezcan ABASIZ
Sayfa
111–128
Yayın Tarihi
2016-12-25
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Our findings don’t support the evidence that PPP hypothesis is valid butsupport that market efficiency in weak form is valid.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This paper investigates the two of the exchange rate determination approaches for Turkey.
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Temel Bulgular & Veri:EfficientMarket Hypothesis (EMH) in weak form is tested by using overnight, weekly, monthly, quarterly andyearly forward exchange rates and spot exchange rates for Turkish Lira/US Dollar and Turkish Lira/Euro.
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Sonuç & Katkı:Our findings don’t support the evidence that PPP hypothesis is valid butsupport that market efficiency in weak form is valid.
🔬Tür:Araştırma Makalesi
📍Kapsam:2002 Verileri
⚙️Değişkenler:Exchange Rate Determination · Purchasing Power Parity · Efficient Market Hypothesis

Özet

This paper investigates the two of the exchange rate determination approaches for Turkey. EfficientMarket Hypothesis (EMH) in weak form is tested by using overnight, weekly, monthly, quarterly andyearly forward exchange rates and spot exchange rates for Turkish Lira/US Dollar and Turkish Lira/Euro. Weekly data is used to test EMH for 2002:11-2015:06 period. Other approach empirically testedin this paper is Purchasing Power Parity (PPP) Hypothesis for Turkey. Whether or not this approachis valid is determined with monthly data covering the 2002:11-2015:03 period. In this study, LP andLM unit root tests with two structural breaks is applied as method in addition to KPSS and AugmentedDickey-Fuller unit root tests. Our findings don’t support the evidence that PPP hypothesis is valid butsupport that market efficiency in weak form is valid.

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Bu Makaleye Atıf Yap

GÖZEN, M. Ç., KOÇ, S., ABASIZ, T. (2016). TESTING THE VALIDITY OF EXCHANGE RATE DETERMINATION APPROACHES FOR TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 38 - Sayı: 2, 111–128. https://ajindex.com/articles/6409

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Kaynakça (16)

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