Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch

Turkish Journal of Agriculture: Food Science and Technology

İlkay Dellal¹  Turgut Orman² 

[1] Department of Agricultural Economics, Faculty of Agriculture, Ankara University, 06100 Ankara;Department of Agricultural Economics, Field Crops Central Research Institute, 06170 Ankara;

关键词: volatility;    ardl bounds testing;    producer price index;    agricultural exports;    real effective exchange rate;   

DOI  :  10.24925/turjaf.v9i6.1180-1185.4456

来源: DOAJ

【 摘 要 】

This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real effective exchange rate have a statistically significant positive influence on the export volume whereas exchange rate volatility has negative impact on it.

【 授权许可】

Unknown