Exchange rate and oil price interactions in transition economies: Czech republic, Hungary and Poland

This study investigates causal dynamics between crude oil prices and exchange rates in Czech Republic, Poland and Hungary by employing monthly data from the beginning of flexible exchange regime in each country to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out linear causality, non-linear causality, volatility spillover and frequency domain causality tests. The frequency domain causality analysis results imply that oil price fluctuations affect real exchange rates in the long run in Poland and Czech Republic. On the other hand, frequency domain causality test results indicate that oil price fluctuations do not affect exchange rate in any period in Hungary despite its economy’s high imported energy dependency. © 2015, Savez Ekonomista Vojvodine. All rights reserved

A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks

We recognize an error in the publication process that needs a correction. The second sentence of the paragraph 2 in page 183 “The hypotheses are given by for all i” is corrected as The hypotheses are given by [Formula presented] for all i and [Formula presented]. © 201

Trends in international commodity prices: Panel unit root analysis

The purpose of this paper is to examine the behavior of international commodity prices within the context of the Prebisch-Singer hypothesis. To this end, I utilize a panel unit root approach which is able to account for multiple structural breaks and cross-section dependency. The unit root analysis for 24 international commodity prices during the period 1900-2003 shows evidence in favor of the trend stationary process in the commodity prices. The results thereby imply that shocks to commodity prices are temporary in nature and tend to be corrected over time. The estimation of the trend stationary models indicates that the Prebisch-Singer hypothesis is not a universal phenomenon. © 2014 Elsevier Inc

Exchange rate volatility and Turkish industry-level export: Panel cointegration analysis

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkey's export. To this end, the panel cointegration analysis is applied to the data from Turkey's top 20 export industries to major 20 trading partners for the period 1980-2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications. © 2013 Copyright Taylor and Francis Group, LLC

Türkiye’de ticari açıklık, finansal gelişme ve ekonomik büyüme: lineer ve lineer olmayan nedensellik analizi

Bu makale, ticari açıklık, finansal gelişme ve ekonomik büyüme arasında nedenselliğin yönünü Türkiye için ampirik olarak test etmeyi amaçlamaktadır. Ocak 1989-Kasım 2007 dönemi aylık verileri kullanarak yapılan lineer ve lineer olmayan nedensellik yaklaşımları, i) ekonomik büyüme ve ticari açıklık arasında tek yönlü nedensellik olduğunu, ii) ekonomik büyümenin finansal gelişmeye neden olduğunu ve iii) finansal gelişmenin ticari açıklığa yol açtığını göstermektedir. Lineer ve lineer olmayan yaklaşımlar finansal gelişme, ticari açıklık ve ekonomik büyüme arasında güçlü nedensellik bağlantılarını doğrulamaktadır. Bu sonuçlar, 1989 yılından sonra sermaye hesabında serbestleşme tecrübe eden Türkiye'de, ekonomik büyümenin kısmen dış finansman üzerinden ticari serbestleşmeye bağlı olduğunu ima etmektedir.This paper aims at empirically investigating the direction of causality among trade liberalizati- on, financial development, and economic growth in Turkey. By employing monthly data for the period January, 1989- November, 2007, both linear and nonlinear causality approaches indicate that (i) there is bi-directional causality between economic growth and trade openness, (ii) econo- mic growth causes financial development, and (iii) financial development leads to trade liberali- zation. Thereby, linear and nonlinear approaches confirm strong causal linkages among financial development, trade openness, and economic growth in Turkey. These results partially imply that economic growth depends upon trade liberalization through external finance in Turkey which has been experiencing capital account liberalization since 1989

Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis

This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support for the role of world oil prices on prices of several agricultural commodities. The positive impact of a weak dollar on agricultural prices is also confirmed. © 2011 Elsevier B.V

Response surface estimates of the LM unit root tests

This paper provides the response surface function estimates for the LM unit root tests. They can be used effectively to obtain relevant critical values and p-values of the tests with structural changes up to three breaks, different sample sizes, and different lag orders. © 202