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Max Stevenson - One of the best experts on this subject based on the ideXlab platform.
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detecting and modelling nonlinearity in Flexible Exchange Rate time series
Asia Pacific Journal of Management, 1994Co-Authors: Carl Chiarella, Maurice Peat, Max StevensonAbstract:The aim of this paper is to examine the appropriateness of nonlinear time series analysis as a framework in which to model the dynamics of Exchange Rates. This aim has been motivated by the questioning of the power of classical unit root tests, the accumulating amount of evidence which suggests that Exchange Rates follow some kind of nonlinear process, and the fact that standard asset pricing theories do not explain well the empirical observations of Exchange Rate movements. The paper has three major objectives. First, to test for the presence of unit roots in nominal Exchange Rate time series. Second, for those nominal Exchange Rate time series found to be stationary, to test for nonlinearity using both tests derived without a specific nonlinear alternative in mind and tests against a specific nonlinear model. Finally, we motivate the types of nonlinearity for which we test by examining a recently proposed nonlinear model of Exchange Rate dynamics.
Carmen Broto - One of the best experts on this subject based on the ideXlab platform.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
Journal of International Money and Finance, 2012Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Abstract Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of “strict IT”, which imply a fully Flexible Exchange Rate, or applying a “Flexible IT”, which entails a de facto managed-floating Exchange Rate with foreign Exchange (forex) interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective to lower volatility than in non-IT countries, which may justify the use of “Flexible IT” by policymakers.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
2011Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of strict IT which implies a fully Flexible Exchange Rate, or applying a Flexible IT, which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of Flexible IT by policymakers.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
2011Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully Flexible Exchange Rate, or applying a "Flexible IT", which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of "Flexible IT" by policymakers. Keywords: Inflation targeting; Exchange Rate volatility; Foreign Exchange interventions; Emerging economies. JEL codes: E31; E42; E52; E58; F31
Bahar Erdal - One of the best experts on this subject based on the ideXlab platform.
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major determinants of economic growth under intermediate and Flexible Exchange Rate regimes empirical evidence from turkey
Advances in Management and Applied Economics, 2019Co-Authors: Bahar Erdal, Abuzer Pa NarAbstract:The aim of this paper is to analyze empirically the major determinants of economic growth under intermediate and Flexible Exchange Rate regimes in Turkey. The cointegration analysis show that there is a long-run relationship between all the variables. The determinants of the growth of real GDP show differences depending on the Exchange Rate regimes. While the ratios of investment and government expenditures to GDP have positively significant effects on the growth Rate of real GDP in the intermediate Exchange Rate regime, they have negatively significant effects on the growth Rate of real GDP in the Flexible Exchange Rate regime. While the openness of the economy has positive effects on economic growth in the intermediate Exchange Rate regime, it has negative effects on the economic growth in the Flexible Exchange Rate regime. While employment Rate has positive effects on economic growth in the intermediate Exchange Rate regime, it has negative or insignificant effects on economic growth in the Flexible Exchange Rate regime. While the central bank policy Rate has negative effects, the inflation Rate has positive effects on economic growth in both of the Exchange Rate regimes.  JEL classification numbers: O11, F43, F33, C32Keywords: Economic growth, Flexible Exchange Rate regime, intermediate Exchange Rate regime, cointegration, error correction model.
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The effects of real Exchange Rate volatility on sectoral export flows under intermediate and Flexible Exchange Rate regimes: Empirical evidence from Turkey
New Trends and Issues Proceedings on Humanities and Social Sciences, 2018Co-Authors: Bahar ErdalAbstract:The aim of this paper is to analyse empirically the effects of real Exchange Rate volatility on sectoral exports in Turkey under intermediate and Flexible Exchange Rate regimes. The cointegration test and error correction models are used to test the long-run relationship and short-run effects, respectively. The estimation results show that the real Exchange Rate volatility has negative and significant effects on sectoral exports in both intermediate and Flexible Exchange Rate regimes. These empirical results are consistent with the theory. However, the impact of real Exchange Rate and foreign income appeared to be quite different for the two Exchange Rate regimes. Further, research is required to analyse the impacts of real Exchange Rate and foreign income on sectoral exports. Keywords: Real Exchange Rate volatility, real Exchange Rate, intermediate Exchange Rate regime, Flexible Exchange Rate regime, sectoral export.
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Monetary Approach to Exchange Rate Determination under Flexible Exchange Rate Regime: Empirical Evidence from Turkey
Advances in Management and Applied Economics, 2018Co-Authors: Bahar ErdalAbstract:The aim of this paper is to analyze empirically Flexible price monetary approach to Exchange Rate determination in Turkey under Flexible Exchange Rate regime. The cointegration analysis and error correction model is used to test long-run relationship and short-run effects respectively. The cointegration analysis show that there is a long-run relationship between nominal Exchange Rate, money supply differential and nominal interest Rate differential. So, it could be said that Flexible price monetary model is valid in the long-run in Turkey under Flexible Exchange Rate regime. The money supply differential positively and nominal interest Rate differential negatively affect the nominal Exchange Rate as expected. In the short-run, nominal interest Rates are more responsive to correct long-run disequilibrium of nominal Exchange Rates. Â Â JEL classification numbers: F31, C12, C32Keywords: Exchange Rate determination, Flexible Exchange Rate regime, monetary approach, cointegration analysis, error correction model
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The Effects of Short-Term Capital Flows on Exchange Rates in Intermediate and Flexible Exchange Rate Regimes: Empirical Evidence from Turkey
International Business Research, 2015Co-Authors: Bahar Erdal, Abuzer PinarAbstract:The aim of this paper is to analyze empirically the effects of short-term capital flows on Exchange Rates in Turkey under intermediate and Flexible Exchange Rate regimes. In this framework, the periods where intermediate (January 1994-February 2001) and Flexible (March 2001-September 2012) Exchange Rate regimes implemented in Turkey were taken as a base. The estimation results show that foreign Exchange Rate regimes are significant factors for the effects of short-term capital flows on Exchange Rates. While the short-term capital flows have significant effects on Exchange Rates in the Flexible Exchange Rate regime, they have no significant effects on Exchange Rates in the intermediate Exchange Rate regimes. In the intermediate Exchange Rate regimes, price differentials have significant effects on Exchange Rates. These empirical results are consistent with the theory.
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the validity of the purchasing power parity in intermediate and Flexible Exchange Rate regimes empirical evidence from turkey
Journal of economics and international finance, 2014Co-Authors: Bahar Erdal, Abuzer PinarAbstract:The aim of this paper is to analyze empirically the validity of the purchasing power parity (PPP) hypothesis for Turkey under intermediate and Flexible Exchange Rate regimes. In this framework, the periods where intermediate (January 1994-February 2001) and Flexible (March 2001-September 2012) Exchange Rate regimes implemented in Turkey were taken as a base. The estimation results show that foreign Exchange Rate regimes are significant factors in validity of the purchasing power parity in Turkey. While the purchasing power parity is not valid in the intermediate Exchange Rate regimes, it is valid in the Flexible Exchange Rate regime. This empirical result is also consistent with the theory. Key words: Purchasing power parity, intermediate Exchange Rate regime, Flexible Exchange Rate regime.
Carl Chiarella - One of the best experts on this subject based on the ideXlab platform.
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detecting and modelling nonlinearity in Flexible Exchange Rate time series
Asia Pacific Journal of Management, 1994Co-Authors: Carl Chiarella, Maurice Peat, Max StevensonAbstract:The aim of this paper is to examine the appropriateness of nonlinear time series analysis as a framework in which to model the dynamics of Exchange Rates. This aim has been motivated by the questioning of the power of classical unit root tests, the accumulating amount of evidence which suggests that Exchange Rates follow some kind of nonlinear process, and the fact that standard asset pricing theories do not explain well the empirical observations of Exchange Rate movements. The paper has three major objectives. First, to test for the presence of unit roots in nominal Exchange Rate time series. Second, for those nominal Exchange Rate time series found to be stationary, to test for nonlinearity using both tests derived without a specific nonlinear alternative in mind and tests against a specific nonlinear model. Finally, we motivate the types of nonlinearity for which we test by examining a recently proposed nonlinear model of Exchange Rate dynamics.
Juan Carlos Berganza - One of the best experts on this subject based on the ideXlab platform.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
Journal of International Money and Finance, 2012Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Abstract Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of “strict IT”, which imply a fully Flexible Exchange Rate, or applying a “Flexible IT”, which entails a de facto managed-floating Exchange Rate with foreign Exchange (forex) interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective to lower volatility than in non-IT countries, which may justify the use of “Flexible IT” by policymakers.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
2011Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of strict IT which implies a fully Flexible Exchange Rate, or applying a Flexible IT, which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of Flexible IT by policymakers.
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Flexible inflation targets forex interventions and Exchange Rate volatility in emerging countries
2011Co-Authors: Juan Carlos Berganza, Carmen BrotoAbstract:Emerging economies with inflation targets (IT) face a dilemma between fulflling the theoretical conditions of "strict IT", which implies a fully Flexible Exchange Rate, or applying a "Flexible IT", which entails a de facto managed floating Exchange Rate with forex interventions to modeRate Exchange Rate volatility. Using a panel data model for 37 countries we find that, although IT lead to higher Exchange Rate instability than alternative regimes, forex interventions in some IT countries have been more effective in reducing volatility than in non-IT countries, which may justify the use of "Flexible IT" by policymakers. Keywords: Inflation targeting; Exchange Rate volatility; Foreign Exchange interventions; Emerging economies. JEL codes: E31; E42; E52; E58; F31
