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An Application on The Impact of Exchange Rate Volatility Occurring Recently in Turkey on The Foreign Trade: Cointegration and Causality Analysis

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  • Gökhan KARTAL

Abstract

In this study, it is aimed to investigate with the help of three models using Johansen Cointegration and Granger causality tests foreign trade effects of exchange rate volatility experienced in recent years in Turkey. Model 2 covers a period of 01.2003-08.2013, where exchange rate fluctuations are relatively smooth and slow; Model 3 covers a period of 09.2013-08.2018, where exchange rate fluctuations are high in which events such as Gezi Park incidents, the July 15 Coup Attempt and Pastor Brunson crisis with the US. Model 1 covers the period of 2003.01-2018.08 including Model 2 and Model 3. According to the results of cointegration analysis, it is seen that there is a cointegration relationship in Model 1 and Model 2, and there is no cointegration relationship in Model 3. When the results of the causality test among the variables are examined, there is a one-way causality relation from exchange rate to import in Model 1 and a one-way causality relation from the exchange rate to import and from the exchange rate to export in Model 2. Whereas, there is no causality relation in Model 3. According to these results, it has been concluded that the exchange rate movements in recent years affect the cointegration and causality relationship between the variables.

Suggested Citation

  • Gökhan KARTAL, 2019. "An Application on The Impact of Exchange Rate Volatility Occurring Recently in Turkey on The Foreign Trade: Cointegration and Causality Analysis," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:190110
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    References listed on IDEAS

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    1. Saban Nazlioglu, 2013. "Exchange rate volatility and Turkish industry-level export: Panel cointegration analysis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(7), pages 1088-1107, October.
    2. Harun TERZİ & Ahmet ZENGİN, 1999. "Kur Politikasının Dış Ticaret Dengesini Sağlamadaki Etkinliği: Türkiye Uygulaması," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 10(33), pages 48-65.
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    More about this item

    Keywords

    Exchange Rate; Foreign Trade; Exchange Rate Volatility; Cointegration; Granger Causality;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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