Causal relation between interest and exchange rates in the Asian currency crisis

Choi, In; Park, Daekeun

doi:10.1016/j.japwor.2007.01.003

Cited by 22 publications

(17 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Yapılan literatür incelemesinde birçok çalışmada döviz kurundan faiz oranlarına ya da faiz oranlarından döviz kuruna geçiş etkisi olduğu görülmüştür (Sollis & Wohar, 2006;Akçağlayan, 2008;Uysal vd., 2008;Hoffmann & MacDonald, 2009;Byrne & Nagayasu, 2010;Öztürk, 2010;Bjqrnland & Hungnes, 2006;Cambazoğlu & Karaalp, 2012;Ajao & Igbekoyi, 2013;Mamak Ekinci vd., 2016;Demirgil & Türkay, 2017;Oke & Adetan, 2018;Shodipe, 2018;Sı vd., 2018;Samani & Ansari, 2017). Bununla birlikte az sayıda çalışmada bu iki değişken arasında herhangi bir ilişki bulunamamıştır (Karaca, 2005;Choi & Park, 2008;Dreger, 2010). Özetle literatürdeki birçok çalışmaya göre döviz kurundan faiz oranlarına geçiş etkisi bulunmaktadır.…”

Section: Li̇teratür İncelemesi̇unclassified

The Relationship Between Exchange Rate, Inflation and Interest Rate in Turkey

Yenice

Yenisu

2019

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

View full text Add to dashboard Cite

Bu çalışmanın temel amacı Türkiye'nin başlıca finansal makro ekonomik göstergeleri arasındaki ilişkileri ampirik olarak test etmektir. Diğer bir deyişle döviz kurundan enflasyon ile faiz oranına geçiş etkisi ve enflasyonla faiz oranı arasında ilişki olup olmadığı incelenmiştir. Bu kapsamda 2003 Ocak ile 2018 Nisan dönemleri arasında Türkiye'deki döviz kuru, enflasyon ve faiz oranlarının aylık ortalama verileri analizde kullanılmıştır. Çalışmada yöntem olarak ARDL sınır testi yaklaşımı ile eşbütünleşme analizi yapılmış daha sonra ise Toda-Yamamoto testi ile nedensellik analizi gerçekleştirilmiştir. Çalışmadan elde edilen bulgulara göre Türkiye'de döviz kurundan enflasyon ve faiz oranına doğru tek yönlü nedensellik olduğu tespit edilmiştir. Sonuçlara göre döviz kurundan faiz oranı ve enflasyona doğru geçiş etkisi işlemektedir. Diğer taraftan bulgulara göre enflasyon ile faiz oranı arasında eşbütünleşme ilişkisi tespit edilmiş ve Türkiye'de Fisher hipotezinin doğrulandığı sonucuna ulaşılmıştır.

show abstract

Section: Li̇teratür İncelemesi̇unclassified

The Relationship Between Exchange Rate, Inflation and Interest Rate in Turkey

Yenice

Yenisu

2019

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

View full text Add to dashboard Cite

show abstract

“…It seems that it is difficult to uncover early warning indicators from our dataset. Moreover, Choi and Park (2008) found that interest rates are generally ineffective in stabilising exchange rates.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

Currency Crises and Purchasing Power Parity in the Asian Countries: Evidence Based on Second-Generation Panel Unit-Root Tests

Soon

Baharumshah

Shariff

et al. 2017

MJES

View full text Add to dashboard Cite

This study applies a second-generation panel unit-root tests to determine the stochastic properties of real exchange rates for 14 Asian countries. Based on three popular alternative definitions of a currency crisis, we identify the several important currency crisis episodes in the region. The purchasing power parity (PPP) hypothesis was overwhelmingly supported after accommodating these heterogeneous noisy and unstable observations. Our panel unit-root test that controls for cross-sectional dependence and is robust to structural breaks confirms that the crisis in all the countries fits well with the second-generation models of currency crisis, that is, the root cause of the currency crises may not lie in economic fundamentals. PPP relation emerges when breaks and cross country dependency has been taken into account for these 14 countries.

show abstract

“…The vast majority of the literature report an initial causality running from interest rate to exchange rate. This is evident in the studies of Adrangi and Allender (1995), Choi and Park (2008), Hatemi-J and Irandoust (2000), Kisaka, Kithitu and Kamuti (2014), Olatunji, Sunday and Omolara (2012) and Pi-Anguita (1998). However, another strand in the literature shows the absence of causation between exchange rate and interest rate.…”

Section: Literature Review and Economic Theorymentioning

confidence: 98%

“…This paper differs from the prior studies in the following ways: unlike the recent study by Hacker, Karlsson and Månsson (2014), who employ a wavelets analysis and vector autoregressive (VAR) impulse response causality test in the context of Sweden, Choi and Park (2008), who study the causality in four Asian countries using VAR, and Dąbrowski, Papież and Śmiech (2015), who use country-specific bootstrap critical values and Wald test on panel Granger causality based on seemingly unrelated regression (SUR) in Central and Eastern European countries, the present study applies the bootstrap asymmetric causality method to distinguish between the existence of causality in good (exchange rate appreciation) and bad (exchange rate depreciation) times. The employed procedures work better when normality assumption is violated and in the presence of ARCH effect.…”

Section: Introductionmentioning

confidence: 94%

Asymmetric causality between exchange rate and interest rate differentials: a test of international capital mobility

Dahalan

Mohammed

2017

IJGSB

View full text Add to dashboard Cite

The study employs asymmetric causality to reinvestigate international capital mobility. We simulate critical values based on the leverage bootstrapping and asymmetric causality test. The result reveals that positive shocks in exchange rate causes positive shocks in interest rate in Malaysia. This leads to increase capital inflow into Malaysia. The result further indicates that an increase in exchange rate in Malaysia, Nigeria and South Africa during bad time lowers their capital inflow due to low rate of return to the foreign investors. Furthermore, a decrease in the domestic interest rate in Nigeria influences an increase in the exchange rate during the bad time. This causes fall in the demand for domestic currency from foreigners. The policy implication is that Malaysian policymakers can control capital outflow and encourage inflow during both good and bad times. However, the monetary authorities in Nigeria and South Africa can only control the nations' capital mobility during bad time.Reference to this paper should be made as follows: Dahalan, J. and Mohammed, U. (2017) 'Asymmetric causality between exchange rate and interest rate differentials: a test of international capital mobility', Int.

show abstract

Causal relation between interest and exchange rates in the Asian currency crisis

Cited by 22 publications

References 24 publications

The Relationship Between Exchange Rate, Inflation and Interest Rate in Turkey

The Relationship Between Exchange Rate, Inflation and Interest Rate in Turkey

Currency Crises and Purchasing Power Parity in the Asian Countries: Evidence Based on Second-Generation Panel Unit-Root Tests

Asymmetric causality between exchange rate and interest rate differentials: a test of international capital mobility

Contact Info

Product

Resources

About