scholarly journals Revisiting the role of exchange rate volatility in Turkey’s exports: Evidence from the structural VAR approach

2021 ◽  
Vol 66 (231) ◽  
pp. 127-149
Author(s):  
Özge Barış-Tüzemen ◽  
Samet Tüzemen
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Volatility ◽  
Structural Var ◽  
Structural Vector Autoregression ◽  
Turkish Economy ◽  
Export Volume ◽  
Macroeconomic Indicators ◽  
The Impact

The exchange rate is both an important economic variable when determining a country?s export volume and an indicator of its international competitiveness. This paper re-investigates the impact of real exchange rate volatility on Turkey?s exports using the structural vector autoregression method and monthly data from 2003:01 to 2019:12. Empirical evidence shows that real exchange rate and exchange rate volatility do not affect exports in Turkey. On the other hand, external income has had a slight effect on Turkey?s exports in the post-global-crisis period. The findings show that other factors which effect macroeconomic indicators in the Turkish economy should also be considered.

Exchange rate volatility and exports: a panel data analysis

2016 ◽  
Vol 43 (2) ◽  
pp. 203-221 ◽  
Author(s):  
Flavio Vilela Vieira ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Emerging Economies ◽  
Exchange Rate Volatility ◽  
Content Type ◽  
International Financial Crisis ◽  
Export Volume ◽  
Oil Export ◽  
Financial Crisis Of 2008 ◽  
The Impact

Purpose – The purpose of this paper is to empirically investigate the role of real effective exchange rate (REER) volatility on export volume and also to address the impact of the international financial crisis of 2008. Design/methodology/approach – The empirical methodology is based on System GMM estimation for a set of 106 countries for the period of 2000-2011. Findings – For the complete sample of countries and for a set of developing/emerging economies, there is evidence that an increase (decrease) in REER volatility reduces (increases) export volume. The results are not robust once the oil export countries are removed from the sample. The estimated coefficients for the financial crisis dummy are positive and statistically significant, indicating that export volume were 0.14 percent higher after the financial crisis of 2008 compared to the previous period (2000-2007). There is also evidence that the export volume is price (REER) and income (trade weighted) inelastic. Research limitations/implications – The empirical results are valid for the complete set of countries and for developing and emerging economies when including the oil export countries, suggesting that countries should reduce exchange rate volatility in order to foster their export volume and that oil export countries have an important role on these results. Practical implications – The paper suggests that policymakers should adopt different policies to minimize exchange rate volatility if they seek to increase export volume. The international financial crisis had a significant impact on export volume in all estimated models regardless of the set of countries used. Originality/value – One of the main novelties of this work is that it deals with possible endogeneity using GMM estimators and addresses the issue of instrument proliferation, which is not a common feature of previous empirical studies on exchange rate volatility and trade flows. Another original aspect of the research is the construction of trade weighted variables for foreign income and REER based on the major 20 export partners for each country used in the panel data estimation. The work also incorporates the years following the international financial crisis of 2008, which is an additional empirical novelty, in order to address the impact of the international financial crisis on the export volume.

SOURCES OF MACROECONOMIC FLUCTUATIONS IN BRUNEI DARUSSALAM

2018 ◽  
Vol 63 (05) ◽  
pp. 1285-1306
Author(s):  
WEE CHIAN KOH
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Open Economy ◽  
Capital Investment ◽  
Exchange Rate Volatility ◽  
Macroeconomic Fluctuations ◽  
Monetary Shocks ◽  
Brunei Darussalam ◽  
Long Run ◽  
The Impact

This paper investigates the sources of macroeconomic fluctuations in Brunei Darussalam from 2003Q1 to 2014Q3 using a structural vector autoregression (SVAR) model. Shocks are identified by imposing block exogeneity and long-run restrictions motivated by an open economy model that includes oil prices. The results show that oil price shocks account for only a small proportion of output fluctuations while productivity shocks have the largest share. Real exchange rate movements are largely driven by demand shocks while monetary shocks explain most of the variability in prices. Economic policies should focus on productivity improvement and capital investment to increase output in the long run, and the conduct of fiscal policy should take into account the impact on real exchange rate volatility.

The effects of real exchange rate volatility on sectoral export flows under intermediate and flexible exchange rate regimes: Empirical evidence from Turkey

2018 ◽  
Vol 4 (10) ◽  
pp. 172-184
Author(s):  
Bahar Erdal
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Regime ◽  
Exchange Rate Regimes ◽  
Exchange Rate Volatility ◽  
Flexible Exchange Rate ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Real Exchange Rate Volatility

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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