Open AccessCointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch
Author(s) -
Turgut Orman,
İlkay Dellal
Publication year - 2021
Publication title -
türk tarım - gıda bilim ve teknoloji dergisi
Language(s) - English
Resource type - Journals
ISSN - 2148-127X
DOI - 10.24925/turjaf.v9i6.1180-1185.4456
Subject(s) - cointegration , economics , heteroscedasticity , exchange rate , autoregressive model , econometrics , volatility (finance) , distributed lag , monetary economics
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.