Exchange rate policy and price level changes: Casualty tests for Turkey in the post‐liberalisation period

Rittenberg, Libby

doi:10.1080/00220389308422272

Cited by 19 publications

(14 citation statements)

References 18 publications

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“…These results imply not only that equities are an important additional factor to include in portfolio balance models of the exchange rate, but also suggest that the impact of equities is more important than the impact of government bonds and money. Rittenberg (1993) employed the Granger causality tests to examine the relationship between exchange rate changes and price level changes in Turkey. Since causality tests are sensitive to lag selection, therefore he employed three different specific methods for optimal lag selection [i.e, an arbitrarily selected, Hsiao method (1979), and the SMAR or subset model auto regression method of Kunst and Marin (1989)].…”

Section: Previous Empirical Studiesmentioning

confidence: 99%

Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries

Naeem¹,

Rasheed²

2022

pdr

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The issue of whether stock prices and exchange rates are related or not has received considerable attention after the East Asian crisis. During the crisis the countries affected saw turmoil in both currency and stock markets. If stock prices and exchange rates are related and the causation runs from exchange rates to stock prices, then the crisis in the stock markets can be prevented by controlling the exchange rates. Moreover, developing countries can exploit such a link to attract/stimulate foreign portfolio investment in their own countries. Similarly, if the causation runs from stock prices to exchange rates then authorities can focus on domestic economic policies to stabilise the stock market. If the two markets/prices are related then investors can use this information to predict the behaviour of one market using the information on other market.1 Most of the empirical literature that has examined the stock prices-exchange rate relationship has focused on examining this relationship for the developed countries with very little attention on the developing countries. The results of these studies are, however, inconclusive. Some studies have found a significant positive relationship between stock prices and exchange rates [for instance Smith (1992); Solnik (1987) and Aggarwal (1981)] while others have reported a significant negative relationship between the two [e.g., Soenen and Hennigar (1998)]. On the other hand, there are some studies that have found very weak or no association between stock prices and exchange rates [for instance, Franck and Young (1972); Bartov and Bodnor (1994)].

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Section: Previous Empirical Studiesmentioning

confidence: 99%

Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries

Naeem¹,

Rasheed²

2022

pdr

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“…Besides, Sever and Mızrak (2007) inform us that fluctuations in the exchange rate have an important effect on the domestic inflation and interest rates in Turkey. Rittenberg (1993) in his study, on the Turkish economy after 1980, determined that there is a one-way relationship from inflation to the exchange rate. He found that the devaluations seen after 1980 were not the main determinant of domestic prices, and that inflation was effective in the formation of the exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

The Relationship between the Exchange Rate, Interest Rate and Inflation: The Case of Turkey

Özen

Özdemir

Grima

2020

SAEB

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The purpose of the study is to measure the effects of changes in exchange rates and interest rates on inflation and to determine which of the exchange rates or interest rates has a greater impact on inflation rate following the July 15, 2016 coup attempt in Turkey. Our expectation is that similar to most authors is to find that there is a long-term relationship between the inflation rates and both the exchange rate and interest rates and that the effect of the exchange rate on the Producer Price Index (PPI) is greater than that of the interest rates. Moreover, we expect to find a unidirectional causality relationship between the Interest Rate of Commercial Banks Credit (IRBC), Over Night Interest Rate (O/N) and United States Dollar (USD) and the PPI, but not between the IRBC, O/N, USD and the Consumer Price Index (CPI).

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“…Bu çalışmaların analiz dönemleri, frekansları farklı olduğu gibi bulguları da farklılıklar göstermektedir. Çeşitli dönemler ve farklı ülkeler için yapılan Granger nedenselliği analizleri sonucunda çift yönlü nedensellik bulgusuna ulaşanlara Koldhy ve Sohrabian (1990) (Almanya ve Japonya için), Altınay (1996), Nourzad (1997), Tarı (1997), Siregar (1999) (alt dönemler için), Maswana (2006) ve Güven ve Uysal(2013); döviz kurundan enflasyona tek yönlü nedensellik bulgusuna ulaşanlara Kholdy ve Sohrabian (1990) (Kanada için), Manning ve Andrianacos (1993), Fisunoğlu ve Çabuk (1998), Koch, Rosensweig ve Witt (1998), Mihaljek ve Klau (2001), Koç ve Abasız (2002), Telatar ve Telatar (2003), Gül ve Ekinci(2006) ve Yanar (2008); enflasyondan (fiyat değişmeleri) döviz kuruna tek yönlü nedensellik bulgusuna ulaşanlara ise Man-ning ve Andrianacos (1993), Rittenberg (1993), Rahman, Mustafa ve Bailey (1996), Terzi ve Zengin(1996), Kim (1998), Siregar (1999) (tüm dönem için) örnek olarak verilebilir. Agayev(2011) ise Azerbaycan için yaptığı analizler sonrasında bu iki değişken arasında eştümleşmenin ve nedenselliğin olmadığı bulgusuna ulaşmıştır.…”

Section: Konunun Neden Seçi̇ldi̇ği̇ Ve Oluşturulan Varsayimlarunclassified

Enflasyon-Faiz Oranı ve Enflasyon-Döviz Kuru İkilemi: GEG Programı Döneminde Türkiye Gerçeği

Akgül¹,

Özdemir²,

Soyadı³

2018

eab

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This study aims to bring out whether the Central Bank's or politicians statements are valid on the relationships between both interest rate and inflation rate and exchange rate and inflation rate. Analyzing period covers the period between 2006 and 2013 so as to cover program for Turkey 's Transition to Strong Economy. Furthermore analysis are made for two sub-periods in concordance with breakdown dates, and the causality between both interest rate and inflation rate and exchange rate and inflation rate is examined for each sub periods. The analysis of abovementioned relationships for the variables which are determined stationary but non-linear is implemented by Diks-Panchenko nonlinear causality test. After the analysis we find that there are sub-periods in which both two ideas are valid or there are sub-periods only one idea is valid. Findings can be a guide and provide important information to the policy makers how to deal with the relationships between economic variables.

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Exchange rate policy and price level changes: Casualty tests for Turkey in the post‐liberalisation period

Cited by 19 publications

References 18 publications

Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries

Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries

The Relationship between the Exchange Rate, Interest Rate and Inflation: The Case of Turkey

Enflasyon-Faiz Oranı ve Enflasyon-Döviz Kuru İkilemi: GEG Programı Döneminde Türkiye Gerçeği

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