The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

Demirhan, Erdal; Demirhan, Banu

doi:10.2298/pan1504429d

Cited by 14 publications

(8 citation statements)

References 73 publications

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“…We found a significant and negative short-term adjustment to the co-integration equation between RER volatility and exports, with a 0.29 coefficient (see Table B1 in Appendix B). In the same line, Demirhan and Demirhan (2015) found a negative and significant impact from exchange rate volatility on exports in the long-run, close to 0.63. This negative effect is only 0.017 in the short-run adjustment.…”

Section: Resultsmentioning

confidence: 56%

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Real exchange rate volatility and exports: A study for four selected commodity exporting countries

Mordecki

Lescano

2019

Panoeconomicus

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Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. We study the impact of RER volatility on total exports using Johansen's methodology, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices for all countries; however, conditional RER volatility resulted significant and negative only for Uruguay, in the short-and long-run.

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Section: Resultsmentioning

confidence: 56%

“…Then, we performed the exclusion tests for coefficients, and as suggested in Erdal Demirhan and Banu Demirhan (2015) or Asseery and Peel (1991), between others, the variables with " " not significant were omitted in the final models, for each country.…”

Section: Theoretical Model Specificationmentioning

confidence: 99%

Real exchange rate volatility and exports: A study for four selected commodity exporting countries

Mordecki

Lescano

2019

Panoeconomicus

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“…Döviz kurunun dış ticareti dengelemede etkin olmadığına da değinilmiştir. Ordu (2013) Demirhan (2015) tarafından yapılan çalışmada, döviz kurundaki değişikliklerin ihracat hacmi üzerindeki etkisi araştırılmıştır. 2001-2010 yıllarını içeren bu çalışmada aylık veriler kullanılmıştır.…”

Section: Li̇teratür Taramasiunclassified

Türki̇ye’de Dövi̇z Kurunun Diş Ti̇caret Üzeri̇ne Etki̇leri̇ (2005-2015)

Yaman¹

2018

Uluslararası İktisadi Ve İdari Bilimler Dergisi

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Not: İsimler, akademik ünvan ve alfabetik sıra gözetilerek sıralanmıştır. 2016 yılı 2. sayıdan itibaren dergimiz uluslararası endekslerde taranmaktadır Dergide yayınlanan yazılardaki görüşler ve bu konudaki sorumluluk yazarlarına aittir. Yayınlanan eserlerde yer alan içerikler kaynak gösterilmeden kullanılamaz. All the opinions written in articles are under responsibilities of the authors. The published contents in the articles cannot be used without being cited. Makalenin on-line kopyasına erişmek için / To reach the on-line copy of article: http://dergipark.gov.tr/uiibd

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“…More recently, Demirhan and Demirhan (2015) applied the multivariate cointegration method and the ECM model to analyze the relationship between ERV and real export volume in Turkey over the period of 2001-2010. The finding suggested that increasing ERV has a significant negative impact on exports, both in the short and long runs.…”

Section: Literature Reviewmentioning

confidence: 99%

Exchange Rate Volatility and Trade: An Empirical Investigation from the Egyptian Economy

Badr

El-khadrawi

2018

AEF

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The main aim of this paper is to assess empirically the impact of exchange rate volatility (ERV) on the export and import functions in reference to Egypt's major trading partners over the period of 1980-2016. Estimates of a cointegration relationship are obtained using the ARDL model. The conditional variance of the GARCH (1,1) model is taken as a proxy for exchange rate fluctuation. The observed outcomes reveal a significant negative coefficient of volatility on export and a non-significant positive coefficient on import. Indeed, this finding supports the traditional view that higher volatility will decrease export. To avoid the negative consequences of ERV, policymakers should shift from the concept of specialization based on the comparative advantage to competitive advantage and focus on the diversification of Egyptian exports while avoiding risks associated with market concentration by exploring potential opportunities that would increase trade openness by expanding Egypt's trade with other countries, especially with low and middle-income and emerging countries.

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The dynamic effect of exchange-rate volatility on Turkish exports: Parsimonious error-correction model approach

Cited by 14 publications

References 73 publications

Real exchange rate volatility and exports: A study for four selected commodity exporting countries

Real exchange rate volatility and exports: A study for four selected commodity exporting countries

Türki̇ye’de Dövi̇z Kurunun Diş Ti̇caret Üzeri̇ne Etki̇leri̇ (2005-2015)

Exchange Rate Volatility and Trade: An Empirical Investigation from the Egyptian Economy

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