Cointegration and causality among exchange rate, export, and import: empirical evidence from Turkey

This paper examines the cointegration and causality among exchange rate, export, and import for Turkey during the period of 1998-2006. The econometrics results show that there is a cointegration between exports and import, but direction of causality is bi-directional between these two variables. The...

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Bibliographic Details
Published in:Applied econometrics and international development 2007-07, Vol.7 (2), p.71-78
Main Authors: Sekmen, F, Saribas, H
Format: Article
Language:English
Subjects:
Causality
Cointegration
Econometrics
Empirical research
Exchange rates
Exports
Imports
Trade flows
Trade-off
Turkey
Volatility
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Summary:This paper examines the cointegration and causality among exchange rate, export, and import for Turkey during the period of 1998-2006. The econometrics results show that there is a cointegration between exports and import, but direction of causality is bi-directional between these two variables. The impulse response functions also supports that there is a trade-off between exports and imports; for example, when imports are high, there is smaller exports at that time. This study supports few investigators who find no negative effect of exchange rate volatility on trade volume since it is found that exchange rates cannot determine the variation in exports and imports. Reprinted by permission of EAAEDS: http://www.usc.es/economet.eaa.htm
ISSN:1578-4487