The Effect of Exchange Rate Volatility on Import Demand: Evidence from Turkey

Demirgil , Hakan (2012) The Effect of Exchange Rate Volatility on Import Demand: Evidence from Turkey. In: 3rd International Symposium on Sustainable Development, May 31 - June 01 2012, Sarajevo.

[img]
Preview
Text
7. The Effect of Exchange Rate Volatility on Import Demand Evidence from Turkey.pdf

*- Download (590kB) | Preview

Abstract

Since 2001 financial crisis, Turkey has adopted fluctuating exchange rate regime in order to make the economy stronger against external shocks. This has lead to a high volatility of Turkish lira against to foreign currencies. Therefore, it became essential for policy makers to evaluate the potential effects of exchange rate volatility on international trade. The purpose of this study is to provide new evidence on the effects of exchange rate volatility on the import demand of Turkey along with income and price elasticities. Our data cover the period 2010:01 to 2010:05. We, initially, employed a GARCH model to evaluate exchange rate volatility one of the independent variables that estimate real import. The study also includes conventional determinants such as relative price level of imports and real GDP. Afterwards, our paper investigates long-run and short-run relationship between real imports and its determinants by using ARDL error correction model. The empirical results indicate that real exchange rate volatility of local currency has significant and reverse effect on import demand. Keywords: Exchange rate volatility, Import demand, GARCH model, ARDL error correction model, Turkey.

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Economics > Management Department
Depositing User: Users 173 not found.
Date Deposited: 01 Nov 2012 14:08
Last Modified: 01 Nov 2012 14:08
URI: http://eprints.ibu.edu.ba/id/eprint/1312

Actions (login required)

View Item View Item