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Do macroeconomic fundamentals affect exchange market pressure? Evidence from bounds testing approach for Turkey

By Salih Turan Katircioglu and Mete Feridun

Abstract

This article investigates the relationship between Exchange Market Pressure (EMP) and macroeconomic fundamentals in Turkey using the Autoregressive Distributed Lag (ARDL) bounds testing procedure and Vector Error Correction Model (VECM) within the framework of the canonical currency crisis models. The results of the bounds tests suggest the existence of a level relationship between EMP and the selected macroeconomic fundamentals. The results of the VECM also suggest that there exists a unidirectional causation that runs from those macroeconomic fundamentals to EMP in the case of the Turkish Economy

Topics: HB
Publisher: Taylor & Francis
Year: 2011
DOI identifier: 10.1080/00036841003636110
OAI identifier: oai:gala.gre.ac.uk:7916
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