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Key Macroeconomic Variables under Exchange Rate Volatility: Time-Varying Causality in the Presence of Structural Breaks and Nonlinearity

Year 2023, Issue: 39, 49 - 64, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1309760

Abstract

This paper explores the causal relationship running from exchange rate volatility to three macroeconomic variables in the case of Turkey. To that end, we first apply the classical Granger causality test introduced by Toda and Yamamoto (1995). We also use the time-varying Granger causality test developed by Shi, Hurn, and Phillips (2020) within the lag-augmented VAR model in the presence of empirically documented structural breaks and nonlinearities. A clear pattern that can be drawn from the causality results is that the causal channel from volatility to inflation is more sustained than causality from volatility to real GDP irrespective of size of the windows and selected recursive estimation algorithms. Besides, the causal channel from volatility to inflation coincides with time periods in which Turkey exhibits political and economic policy changes and suffers from increasing economic uncertainties during financial crises. The CBRT must strictly adhere to the CBRT Law and maintain its independence in order to ensure price stability as the unconventional monetary policy dictated to the bank by the government is itself the source of inflation. Finally, exchange rate volatility does not have predictive power for interest rates over the entire sample since the CBRT uses its foreign exchange reserves to offset the adverse effects of unexpected exchange rate shocks.

References

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  • Balcilar, M., Gupta, R., Kyei, C. and Wohar, M.E. (2016). Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test, Open Economies Review, 27, pp. 229-250 google scholar
  • Barnett, W. A., Bhadury, S.S. and Ghosh, T. (2016). An SVAR approach to evaluation of monetary policy ın India: Solution to the exchange rate puzzles in an open economy, Open Economies Review, 27(5), pp. 871-893. google scholar
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  • Dominguez, K. M. (1998). Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17(1), pp. 161-190. google scholar
  • Edwards, S. (2006). The relationship between exchange rates and inflation targeting revisited, NBER Working Paper, No. 12163, Cambridge: Massachusetts, National Bureau of Economic Research google scholar
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, pp.987-1007. google scholar
  • Eichengreen, B. and Hausmann, R. (1999), Exchange rates financial fragility. NBER working paper 7418 google scholar
  • Feenstra, R. C. (1989). Symmetric pass-through of tariffs and exchange rates under imperfect competition: an empirical test, Journal of International Economics, 27, pp. 25- 45 google scholar
  • Furceri, D. and Borelli, S. (2008). Foreign direct investments and exchange rate volatility in the EMU neighbourhood countries, Journal of International and Global Economic Studies, 1(1), pp. 42-59 google scholar
  • Gadanecz, B. and Mehrotra, A. N. (2013). The exchange rate, real economy and financial markets. BIS Paper No. 73b, Available at SSRN: https://ssrn.com/abstract=2497130 google scholar
  • Ghosh, S. (2011). Examining crude oil price - exchange rate nexus for India during the period of extreme oil price volatility. Applied Energy, 88(5), pp. 1886-1889. google scholar
  • Ghosh, A. R., Gulde, A-M., Ostry, J. D. and Wolf, H. C. (1997). Does the nominal exchange rate regime matter?, NBER Working Paper No. w5874. google scholar
  • Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, pp. 424-438 google scholar
  • Granger, C. W. J. (1988). Some recent development in a concept of causality, Journal of Econometrics, 39, pp. 199-211. google scholar
  • GRILLI, V. and Roubini, N. (1996). Liquidity models in open economies: theory and empirical evidence, European Economic Review, 40, pp. 847-859. google scholar
  • Hahn, E. (2003). Pass-through of external shocks to euro area inflation, ECB Working Paper No. 243, European Central Bank. google scholar
  • Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. and Ulan, M. (2010). Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?, Economic Modelling, 27, pp. 1514-1521. google scholar
  • Hau, H. (2002), Real exchange rate volatility and economic openness: theory and evidence, Journal of Money, Credit and Banking, 34(3), pp. 611-630. google scholar
  • Hausmann, R., Panizza, U. and Rigobon, R. (2006), The long-run volatility puzzle of the real exchange rate, Journal of International Money and Finance, 25, 93-124 google scholar
  • Hsieh, D. A. (1989). Modeling heteroscedasticity in daily exchange rates, Journal of Business and Economic Statistics, 7(3), pp. 307-317. google scholar
  • Huchet-Bourdon, M. and Korinek, J. (2011). To what extent do exchange rates and their volatility affect trade?, OECD Trade Policy Papers, No. 119, OECD Publishing, Paris. google scholar
  • Hviding, K., Nowak, M. and Ricci, L. A. (2004). Can higher reserves help reduce exchange rate volatility?, IMF Working Papers 2004/189, International Monetary Fund. google scholar
  • Kim, S. and Lim, K. (2018). Effects of monetary policy shocks on exchange rate in small open economies, Journal of Macroeconomics, 56, pp. 324-339. google scholar
  • Kim, S. and Roubini, N. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach, Journal of Monetary Economics, 45, 561-586. google scholar
  • Krol, R. (2014). Economic policy uncertainty and exchange rate volatility, International Finance, 17(2), pp. 241-56. google scholar
  • Leblang, D., & Bernhard, W. (2006). Parliamentary politics and foreign exchange markets: the world according to GARCH, International Studies Quarterly, 50(1), pp. 69-92. google scholar
  • Leduc, S. and Liu, Z. (2016). Uncertainty shocks are aggregate demand shocks, Journal of Monetary Economics, 82, pp. 20-35. google scholar
  • Levy-Yeyati, E. and Sturzenegger, F. (2003). To Float or to Fix: Evidence on the impact of exchange rate regimes on growth, American Economic Review, 93(4), pp. 1173 1193. google scholar
  • Li, Z., and Zhong. J. (2020). Impact of economic policy uncertainty shocks on China’s financial conditions, Finance Research Letters, 35, 101303. google scholar
  • Liming C., Ziqing, D. and Zhihao H. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters, 32 , 101266 google scholar
  • Lin, S., Shi, K. and Ye, H. (2018), Exchange rate volatility and trade: The role of credit constraints, Review of Economic Dynamics, 30, pp. 203-222. google scholar
  • McCarthy, J. (2007). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies, Eastern Economic Journal, 33(4), pp. 511-537. google scholar
  • Mueller, P., Tahbaz-Salehi, A., and Vedolin, A. (2017). Exchange rates and monetary policy uncertainty, Journal of Finance, 72, pp. 1213-1252. google scholar
  • Narayan, P. K., Narayan, S. andPrasad, A. (2008). Understanding the oil price-exchangerate nexus for the Fiji Islands. Energy Economics, 30(5), pp. 2686-2696 google scholar
  • Nelson, D. B. (1991). Conditional heteroscedasticity in asset returns: A new Approach, Econometrica, 59(2), pp. 347-370. google scholar
  • Obstfeld, M. and Rogoff, K.S. (1995). Exchange rate dynamics redux, Journal of Political Econnomics, 103(3), pp. 624-660 google scholar
  • Osabuohien, E., Obiekwe, E., Urhie, E. and Osabohien, R. (2018). Inflation rate, exchange rate volatility and exchange rate passthrough interactions: the Nigerian experience, Journal of Applied Economic Sciences, Vol. XIII, pp. 574-585. google scholar
  • Peersman, G. and Smets, F. (2001). The monetary transmission mechanism in the euro area: more evidence from VAR analysis, Working Paper No:91, European Central Bank. google scholar
  • Peree, E., and Steinherr, A. (1989). Exchange rate uncertainty and foreign trade, European Economic Review, 33, pp. 1241-1264. google scholar
  • Phillips, P. C. B., and Perron, P (1988). Testing for a unitroot in time series regression, Biometrika, 75, pp. 335-346. google scholar
  • Rawdanowicz, L. (2010). The 2008-09 Crisis in Turkey: Performance, Policy Responses and Challenges for Sustaining the Recovery, OECD Economics Department Working Papers, No. 819, OECD Publishing, Paris. google scholar
  • Razin, A. and Rubinstein, Y. (2006). Evaluation of currency regimes: the unique role of sudden stops, Economic Policy, 21(45), pp. 121-152. google scholar
  • Redl, C. (2015). Macroeconomic uncertainty in South Africa, Working Papers 509, Economic Research Southern Africa. google scholar
  • Schnabl, G. (2008). Exchange rate volatility and growth in small open economies at the EMU periphery, Economic Systems, 32(1), pp. 70-91. google scholar
  • Shapiro, S. S.and Wilk, M. B. (1965). An analysis of variance test for normality (complete samples), Biometrika, 52, pp. 591-611. google scholar
  • Shi, S. , Hurn, S. and Phillips, P.C.B. (2020). Causal change detection in possibly integrated systems: Revisiting the money-income relationship, Journal of Financial Econometrics, 18(1), pp. 158-180. google scholar
  • Sutherland, A. (1996). Financial market integration and macroeconomic volatility, Scandinavian Journal of Economics, 98(4), pp. 521-539 google scholar
  • Toda, H. Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, pp. 225-250. google scholar
  • Wang, K.L. and Barrett, C.B. (2007). Estimating the effects of exchange rate volatility on export volumes, Journal of Agricultural and Resource Economics, 32(2), pp. 225-255. google scholar
  • Zhou, Z., Fu, Z., Jiang, Y., Zeng, X. and Lin, L. (2020). Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model, Finance Research Letters, 34, 101258 google scholar
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-priceshock, and the unit-root hyphothesis, Journal of Business & Economic Statistics, 10(3), pp. 251-270. google scholar
  • Zivot, E. and Wang, J. (2006). Modeling financial time series with S-PLUS (Second Edition), Springer New York, NY google scholar
Year 2023, Issue: 39, 49 - 64, 27.12.2023
https://doi.org/10.26650/ekoist.2023.39.1309760

Abstract

References

  • Abid, A. and Rault, C. (2021). On the exchange rates volatility and economic policy uncertainty nexus: a panel VAR approach for emerging markets, Journal of Quantitative Economics, 19, pp. 403-425. google scholar
  • Adeniji, S. (2013). Exchange rate volatility and inflation upturn in Nigeria: testing for vector error correction model. Economics Department, University of Lagos, Nigeria, MPRA Paper No. 52062 google scholar
  • Aghion, P., Bacchett, P., Ranciere, R. and Rogoff, K. (2009). Exchange rate volatility and productivity growth: the role of financial development, Journal of Monetary Economics, 56, pp. 494-513. google scholar
  • Albuquerque, C. R. and Portugal, M. (2005). Exchange rate and inflation: a case of sulkiness of volatility, UFRGS, Departamento de Economia, Working Paper no. 2005/01 google scholar
  • Alexius, A. (2005). Productivity shocks and real exchange rates, Journal of Monetary Economics, 52(3), pp. 555-566. google scholar
  • Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point, Econometrica, 61, pp. 821-856. google scholar
  • Andrews, D. W. K. and Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, pp.1383-1414. google scholar
  • Arize C. A., Osang, T. and Slottje, D.J. (2008). Exchange-rate volatility in Latin America and its impact on foreign trade, International Review of Economics & Finance, 17(1) pp. 33-44, google scholar
  • Baak, S. J., Al-Mahmood, M. A. and Vixathep, S. (2007). Exchange rate volatility and exports from East Asian countries to Japan and the USA. Applied Economics, 39(8), pp. 947-959. google scholar
  • Balcilar, M., Gupta, R., Kyei, C. and Wohar, M.E. (2016). Does economic policy uncertainty predict exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test, Open Economies Review, 27, pp. 229-250 google scholar
  • Barnett, W. A., Bhadury, S.S. and Ghosh, T. (2016). An SVAR approach to evaluation of monetary policy ın India: Solution to the exchange rate puzzles in an open economy, Open Economies Review, 27(5), pp. 871-893. google scholar
  • Bartsch, Z. (2019). Economic policy uncertainty and dollar-pound exchange rate return volatility, Journal of International Money and Finance, 98, 102067. google scholar
  • Baxter, M, and Stockman, A.C. (1989). Business cycles and the exchange-rate regime: some international evidence, Journal of Monetary Economics, 23(3), pp. 377-400. google scholar
  • Black, F. (1976). Studies of stock price volatility changes. In: Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington DC, 177-181. google scholar
  • Bj0rnland, H. C. (2009). Monetary policy and exchange rate overshooting: Dornbusch was right after all, Journal of International Economics, 79, pp. 64-77. google scholar
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327. google scholar
  • Brock, W. A., Dechert, W. D. and Scheinkman, J. A. (1987). A test for independence based on the correlation dimension, Working paper, Department of Economics, University of Wisconsin-Madison. google scholar
  • Brock, W. A., Dechert, W. D., Scheinkman, J. A. and LeBaron B. (1996). A test for independence based on the correlation dimension, Econometric Reviews, 15, pp. 197-235. google scholar
  • Bush, G., and Noria, G.L. (2021). Uncertainty and exchange rate volatility: Evidence from Mexico, International Review of Economics & Finance, 75, pp. 704-722 google scholar
  • Calderon, C., and Kubota, M. (2018). Does higher openness cause more real exchange rate volatility?, Journal of International Economics, 110, pp. 176-204. google scholar
  • Campa, J.M. and Goldberg L.S. (2005). Exchange rate pass-through into import prices, The Review of Economics and Statistics, 87(4), pp. 679-690 google scholar
  • Clemente, J., Montanes A, and Reyes, M. (1998), Testing for a unit root in variables with a double change in the mean, Economics Letters, 59(2), pp.175-182. google scholar
  • De Gregorio, J. and Wolf, H. (1994). Terms of trade, productivity, and the real exchange rate. NBER Working Paper No. 4807. google scholar
  • De Grauwe, P. and Schnabl, G. (2005). Exchange rate regime and macroeconomic performance in Central and Eastern Europe, CESifo Working Paper 1182. google scholar
  • Demir, F. (2013). Growth under exchange rate volatility: Does access to foreign or domestic equity markets matter?, Journal of Development Economics, 100 (1), pp. 74-88. google scholar
  • Devereux, M.B. and Lane, P.R. (2003). Understanding Bilateral Exchange Rate Volatility, Journal of International Economics, 60, pp. 109-132 google scholar
  • Dickey, D. A., and W. A. Fuller. (1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, pp. 427-43 google scholar
  • Dolado, J. J. and Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems, Econometric Reviews, 15(4), pp. 369-386 google scholar
  • Dominguez, K. M. (1998). Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17(1), pp. 161-190. google scholar
  • Edwards, S. (2006). The relationship between exchange rates and inflation targeting revisited, NBER Working Paper, No. 12163, Cambridge: Massachusetts, National Bureau of Economic Research google scholar
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, pp.987-1007. google scholar
  • Eichengreen, B. and Hausmann, R. (1999), Exchange rates financial fragility. NBER working paper 7418 google scholar
  • Feenstra, R. C. (1989). Symmetric pass-through of tariffs and exchange rates under imperfect competition: an empirical test, Journal of International Economics, 27, pp. 25- 45 google scholar
  • Furceri, D. and Borelli, S. (2008). Foreign direct investments and exchange rate volatility in the EMU neighbourhood countries, Journal of International and Global Economic Studies, 1(1), pp. 42-59 google scholar
  • Gadanecz, B. and Mehrotra, A. N. (2013). The exchange rate, real economy and financial markets. BIS Paper No. 73b, Available at SSRN: https://ssrn.com/abstract=2497130 google scholar
  • Ghosh, S. (2011). Examining crude oil price - exchange rate nexus for India during the period of extreme oil price volatility. Applied Energy, 88(5), pp. 1886-1889. google scholar
  • Ghosh, A. R., Gulde, A-M., Ostry, J. D. and Wolf, H. C. (1997). Does the nominal exchange rate regime matter?, NBER Working Paper No. w5874. google scholar
  • Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, pp. 424-438 google scholar
  • Granger, C. W. J. (1988). Some recent development in a concept of causality, Journal of Econometrics, 39, pp. 199-211. google scholar
  • GRILLI, V. and Roubini, N. (1996). Liquidity models in open economies: theory and empirical evidence, European Economic Review, 40, pp. 847-859. google scholar
  • Hahn, E. (2003). Pass-through of external shocks to euro area inflation, ECB Working Paper No. 243, European Central Bank. google scholar
  • Hall, S., Hondroyiannis, G., Swamy, P.A.V.B., Tavlas, G. and Ulan, M. (2010). Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?, Economic Modelling, 27, pp. 1514-1521. google scholar
  • Hau, H. (2002), Real exchange rate volatility and economic openness: theory and evidence, Journal of Money, Credit and Banking, 34(3), pp. 611-630. google scholar
  • Hausmann, R., Panizza, U. and Rigobon, R. (2006), The long-run volatility puzzle of the real exchange rate, Journal of International Money and Finance, 25, 93-124 google scholar
  • Hsieh, D. A. (1989). Modeling heteroscedasticity in daily exchange rates, Journal of Business and Economic Statistics, 7(3), pp. 307-317. google scholar
  • Huchet-Bourdon, M. and Korinek, J. (2011). To what extent do exchange rates and their volatility affect trade?, OECD Trade Policy Papers, No. 119, OECD Publishing, Paris. google scholar
  • Hviding, K., Nowak, M. and Ricci, L. A. (2004). Can higher reserves help reduce exchange rate volatility?, IMF Working Papers 2004/189, International Monetary Fund. google scholar
  • Kim, S. and Lim, K. (2018). Effects of monetary policy shocks on exchange rate in small open economies, Journal of Macroeconomics, 56, pp. 324-339. google scholar
  • Kim, S. and Roubini, N. (2000). Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach, Journal of Monetary Economics, 45, 561-586. google scholar
  • Krol, R. (2014). Economic policy uncertainty and exchange rate volatility, International Finance, 17(2), pp. 241-56. google scholar
  • Leblang, D., & Bernhard, W. (2006). Parliamentary politics and foreign exchange markets: the world according to GARCH, International Studies Quarterly, 50(1), pp. 69-92. google scholar
  • Leduc, S. and Liu, Z. (2016). Uncertainty shocks are aggregate demand shocks, Journal of Monetary Economics, 82, pp. 20-35. google scholar
  • Levy-Yeyati, E. and Sturzenegger, F. (2003). To Float or to Fix: Evidence on the impact of exchange rate regimes on growth, American Economic Review, 93(4), pp. 1173 1193. google scholar
  • Li, Z., and Zhong. J. (2020). Impact of economic policy uncertainty shocks on China’s financial conditions, Finance Research Letters, 35, 101303. google scholar
  • Liming C., Ziqing, D. and Zhihao H. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters, 32 , 101266 google scholar
  • Lin, S., Shi, K. and Ye, H. (2018), Exchange rate volatility and trade: The role of credit constraints, Review of Economic Dynamics, 30, pp. 203-222. google scholar
  • McCarthy, J. (2007). Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies, Eastern Economic Journal, 33(4), pp. 511-537. google scholar
  • Mueller, P., Tahbaz-Salehi, A., and Vedolin, A. (2017). Exchange rates and monetary policy uncertainty, Journal of Finance, 72, pp. 1213-1252. google scholar
  • Narayan, P. K., Narayan, S. andPrasad, A. (2008). Understanding the oil price-exchangerate nexus for the Fiji Islands. Energy Economics, 30(5), pp. 2686-2696 google scholar
  • Nelson, D. B. (1991). Conditional heteroscedasticity in asset returns: A new Approach, Econometrica, 59(2), pp. 347-370. google scholar
  • Obstfeld, M. and Rogoff, K.S. (1995). Exchange rate dynamics redux, Journal of Political Econnomics, 103(3), pp. 624-660 google scholar
  • Osabuohien, E., Obiekwe, E., Urhie, E. and Osabohien, R. (2018). Inflation rate, exchange rate volatility and exchange rate passthrough interactions: the Nigerian experience, Journal of Applied Economic Sciences, Vol. XIII, pp. 574-585. google scholar
  • Peersman, G. and Smets, F. (2001). The monetary transmission mechanism in the euro area: more evidence from VAR analysis, Working Paper No:91, European Central Bank. google scholar
  • Peree, E., and Steinherr, A. (1989). Exchange rate uncertainty and foreign trade, European Economic Review, 33, pp. 1241-1264. google scholar
  • Phillips, P. C. B., and Perron, P (1988). Testing for a unitroot in time series regression, Biometrika, 75, pp. 335-346. google scholar
  • Rawdanowicz, L. (2010). The 2008-09 Crisis in Turkey: Performance, Policy Responses and Challenges for Sustaining the Recovery, OECD Economics Department Working Papers, No. 819, OECD Publishing, Paris. google scholar
  • Razin, A. and Rubinstein, Y. (2006). Evaluation of currency regimes: the unique role of sudden stops, Economic Policy, 21(45), pp. 121-152. google scholar
  • Redl, C. (2015). Macroeconomic uncertainty in South Africa, Working Papers 509, Economic Research Southern Africa. google scholar
  • Schnabl, G. (2008). Exchange rate volatility and growth in small open economies at the EMU periphery, Economic Systems, 32(1), pp. 70-91. google scholar
  • Shapiro, S. S.and Wilk, M. B. (1965). An analysis of variance test for normality (complete samples), Biometrika, 52, pp. 591-611. google scholar
  • Shi, S. , Hurn, S. and Phillips, P.C.B. (2020). Causal change detection in possibly integrated systems: Revisiting the money-income relationship, Journal of Financial Econometrics, 18(1), pp. 158-180. google scholar
  • Sutherland, A. (1996). Financial market integration and macroeconomic volatility, Scandinavian Journal of Economics, 98(4), pp. 521-539 google scholar
  • Toda, H. Y. and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics, 66, pp. 225-250. google scholar
  • Wang, K.L. and Barrett, C.B. (2007). Estimating the effects of exchange rate volatility on export volumes, Journal of Agricultural and Resource Economics, 32(2), pp. 225-255. google scholar
  • Zhou, Z., Fu, Z., Jiang, Y., Zeng, X. and Lin, L. (2020). Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model, Finance Research Letters, 34, 101258 google scholar
  • Zivot, E. and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-priceshock, and the unit-root hyphothesis, Journal of Business & Economic Statistics, 10(3), pp. 251-270. google scholar
  • Zivot, E. and Wang, J. (2006). Modeling financial time series with S-PLUS (Second Edition), Springer New York, NY google scholar
There are 77 citations in total.

Details

Primary Language English
Subjects Econometrics (Other)
Journal Section RESEARCH ARTICLE
Authors

Oğuz Tümtürk 0000-0002-1935-0858

Publication Date December 27, 2023
Submission Date June 6, 2023
Published in Issue Year 2023 Issue: 39

Cite

APA Tümtürk, O. (2023). Key Macroeconomic Variables under Exchange Rate Volatility: Time-Varying Causality in the Presence of Structural Breaks and Nonlinearity. EKOIST Journal of Econometrics and Statistics(39), 49-64. https://doi.org/10.26650/ekoist.2023.39.1309760