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There is an increasing need for in-depth theoretical and applied studies of the essence, structure and features of the formation of the exchange rate, the development of the mechanism of currency regulation in the Russian Federation, determining the degree of state regulation of currency relations, including due to the introduction of currency restrictions, clarifying the main criteria for the effectiveness of their application, as well as developing directions for improving the mechanism of currency regulation in the conditions of post-crisis economic development. The main purpose of this article was to consider the peculiarities of the formation of the exchange rate in a resource-oriented economy, which includes the Russian economy. The article uses general scientific methods, in particular, analysis, synthesis, comparison, as well as a systematic approach to the study of information. The value of the exchange rate for the economy is indicated. The main indicators of exchange rates and the main groups of factors affecting the exchange rate of the national currency are described.

The paper explores the utility of real exchange rate misalignments from their equilibrium for identification of currency crises in the former Soviet Union countries. We estimate equilibrium exchange rates for 10 former Soviet Republics employing behavioural equilibrium exchange rate (BEER) and natural real exchange rate (NATREX) concepts and pooled mean group estimator. Subsequently, we compare the estimated misalignments before, during and after the currency crisis episodes and regress the misalignments on crisis-related variables. The results indicate that the misalignments tended to increase before the crises and visibly reduced after, thus serving as potentially viable predictors of such events.

Satın alma gücü paritesi (PPP)’ne göre iki para birimi arasındaki nominal döviz kurunun iki ülke arasındaki toplam fiyat seviyelerinin oranına eşit olması gerekir. Diğer bir deyişle ülkelerin para biriminin aynı satın alma değerine sahip olacağını savunan basit bir teoridir. Bu çalışmada da 25 OECD ülkesinde satın alma gücü paritesi hipotezinin geçerliliğini sınamak amaçlanmıştır. 1980-Q1 2018-Q12 dönemine ait aylık veriler ile Fourier KPSS birim kök testleri ile hipotezin geçerliliği sınanmıştır. Analiz sonucunda Brezilya, Fransa, İtalya, İsveç, İzlanda, İrlanda, İspanya ülkelerinde satın alma gücü paritesi hipotezinin geçerliliğinin sağlandığı; Avustralya, Avusturya, Belçika, Kanada, Almanya, Japonya, Malezya, Meksika, İsviçre, ABD, Şili, Kolombiya, Finlandiya, Luxemburg, Hollanda, Yeni Zelanda, Norveç ve Portekiz ülkelerinde ise satın alma gücü paritesi hipotezinin geçerli olmadığı tespit edilmiştir., According to purchasing power parity (PPP), the nominal exchange rate between the two currencies should be equal to the ratio of the total price levels between the two countries. In other words, it is a simple theory that argues that countries' currencies will have the same purchasing value. In this study, 25 OECD countries is aimed to test the validity of the purchasing power parity hypothesis. The validity of the hypothesis was tested with the monthly data of 1980-Q1 2018-Q12 and Fourier KPSS unit root tests. As a result of the analysis, the validity of the purchasing power parity hypothesis was provided in Brazil, France, Italy, Sweden, Iceland, Ireland, Spain; It has been determined that the purchasing power parity hypothesis is not valid in the countries of Australia, Austria, Belgium, Canada, Germany, Japan, Malaysia, Mexico, Switzerland, USA, Chile, Colombia, Finland, Luxembourg, Netherlands, New Zealand, Norway, Portugal.

This paper analyses the equilibrium price of the Indonesian Rupiah using the Synthetic Control Method (SCM) and assesses its misalignments. We find evidence of Rupiah misalignment, as the currency was undervalued for most periods, except for 1993-1996. This finding is robust across model specifications, predictors, and weighting. Our finding implies that keeping the exchange rate at its equilibrium level is ideal, and that policymakers can take advantage of the undervalued currency to promote economic growth via exports.

Petroleum is one of the world's most important economic products. It is widely accepted that petroleum is not only an energy product, but also a financial asset. Therefore, it is important to understand the dependence of petroleum prices on economic conditions and financial markets and how they can affect the world economy. The fluctuations in world petroleum prices affect the economies of petroleum importing countries through different channels. One of the most important of these influence channels is the exchange rate. Because changes in exchange rates cause different economic problems in fragile economies. Changes in petroleum prices affect the economic performance of any country through various channels. One of the channels of influence is exchange rates. Petroleum prices affect the transfer of income from petroleum exporting countries to petroleum importing countries through trade and thus determine the exchange rate. In this study, the Relationship between Petroleum Price and Real Exchange Rate in Iraq was examined by ADF unit root test, Johansen-Juselius cointegration test and Granger causality analysis. For the analysis, the Petroleum Price and Real Exchange Rate data of Iraq were taken from the official website of the World Bank and transferred to the Eviews 10 program and necessary analyzes were made. The results of the analysis were analyzed and interpreted in tables.

The time-invariable models would suffer to give a clearer description to the relationship between exchange rate and trade flows. Therefore, the growing strand of literature has failed to reach a consensus. This study aims to contribute to this discussion by employing not only nonlinear model to capture the asymmetric effect, but also to detect the time frequencies and explore the lead-lag relations between real exchange rate and trade balance between Libya and its major trade partner ‘Turkey’ by applying both NARDL and wavelet coherence approaches, using monthly data spanning January 2013 to December 2020, selected based on data availability. The findings disclose that trade balance responds to the real exchange rate asymmetrically. The asymmetric effect is skewed more in the negative direction, as the impact of negative change is significant and greater than the positive change in long run. While the oil price shocks positively impact trade balance, economic policy uncertainty negatively affects trade balance. The wavelet coherence analysis indicates that real exchange rate and economic policy uncertainty are lagging in trade balance, while oil price leads trade balance. Among various other policy suggestions, we recommend that stable exchange rate through the intervention in the foreign exchange market will promote the trade balance at the end.

Purpose This study aims to investigate whether changes in consumer interest rate, exchange rate and housing supply have permanent effects on housing inflation in Turkey. Design/methodology/approach For this purpose, data from 2010M01 to 2020M06 and changes in consumer interest rate, exchange rate, housing supply and housing inflation were used. Relationships between variables are analyzed first by the Granger causality tests and then the conditional frequency domain causality tests. The conditional frequency domain causality test specifically reveals the permanent causality between variables, whether there is a permanent effect. Findings According to the Granger causality test results, there are causality relationships from changes in the consumer interest rate and exchange rate to housing inflation. However, there is no causality relationship between housing supply and housing inflation. According to the conditional frequency domain causality test results, there is causality for the permanent and mid-term from changes in the consumer interest rate to housing inflation and causality for the mid-term and temporary from changes in the exchange rate to housing inflation. Additionally, it was found that there are causality relationships between changes in the consumer interest rate and changes in the exchange rate. Research limitations/implications The first limit of the study is that only 2010M01-2020M06 months can be considered. Because the date that variables started common is 2010M01. Besides, there is a limit in the study in variables used. Many variables, both micro and macro, can be added to affect housing inflation. Originality/value Housing inflation is a remarkable issue in Turkey. There is an increase in the number of studies on the subject in recent years. For this reason, the study is trying to contribute by approaching the subject from a different angle. The most important contribution of the study is that it has not been investigated whether the determinants of housing inflation have permanent or temporary effects, which were not done in previous studies. In addition, the method used reveals how many months the effects of changes in exchange rates, consumer interest rates and housing supply on housing inflation last. Based on the findings obtained from the methods, important economic and political implications have been put forward in depth.

The study aims to investigate the validity of the Balassa-Samuelson Effect in a sample of five African countries, the Democratic Republic of Congo, Mauritius, Morocco, South Africa and Tunisia for the period 1991 to 2016. The study first estimates the equilibrium real exchange rate with variables real exchange rate, productivity, terms of trade and net foreign assets. Secondly, real exchange rate misalignment is derived and lastly, the effects of real exchange rate misalignment on economic performance are tested. For the methodology, the Fully Modified Ordinary Least Squares (FMOLS) and pool mean group econometric (PMG) techniques were utilised. The outcomes of the study indicate a valid Balassa-Samuelson effect in all five African countries and a negative effect of real exchange rate misalignment on economic performance. The study contributes to scientific progress by introducing an appropriate measure of total factor productivity in testing for the validity of the Balassa-Samuelson hypothesis.

This study examines the relationship between trade openness and exchange rate volatility. We use panel data of 52 countries and document trade openness has a negative and statistically significant effect on exchange rate volatility. The second explanatory variable considered in the model is money supply shock which is found to have a positive and statistically significant effect on exchange rate volatility. Our results survive battery of robustness checks.

Satın Alma Gücü Paritesi (SAGP) ekonomi ve finans literatüründe oldukça ilgiyle incelenen konularından biridir. SAGP ülkeler arasında bulunan fiyat seviyesi farklılıklarını ortadan kaldırarak çeşitli para birimlerinin satın alma güçlerini eşitleyen değişim oranını ifade etmektedir. Çeşitli ülke veya ülkelerde çeşitli yöntemler kullanılarak SAGP hipotezinin geçerliliği test edilmiştir. Bu çalışmada ise SAGP teorisinin 1994:01-2022:01 dönemi için MIST (Meksika, Endonezya, Güney Kore ve Türkiye) ülkelerinde geçerli olup olmadığının incelenmesi amaçlanmaktadır. Bu amaç çerçevesinde reel döviz kurlarının durağan olup olmadıklarını analiz etmek için panel birim kök testleri kullanılmaktadır. Birimler arasında yatay kesit bağlılığının bulunmasından dolayı çalışmada bu bağımlılığı göz önüne alan ikinci kuşak birim kök testlerinden Carrion-i-Silvestre vd. (2005) tarafından geliştirilen PANKPSS ve Pesaran (2007) tarafından geliştirilen CADF testleri kullanılmaktadır. CADF testi ile elde edilen bulgular serinin durağan olmadığı ve SAGP teorisinin geçerli olmadığını ortaya koyarken, yapısal kırılmaları dikkate alan PANKPSS testine ait bulgular neticesinde ise serinin durağan olduğu ve SAGP teorisinin desteklendiği sonucuna varılmıştır., Purchasing Power Parity (PPP) is one of the topics that has been studied with great interest in the economics and finance literature. PPP refers to the rate of change that equalizes the purchasing power of various currencies by eliminating the price level differences between countries. The validity of the PPP theory was tested by using various methods for various countries. In this study, it is aimed to examine whether the PPP hypothesis is valid in MIST (Mexico, Indonesia, South Korea, and Turkey) countries for the period 1994:01-2022:01. For this purpose, panel unit root tests are used to analyze whether real exchange rates are stationary or not. Due to the cross-sectional dependency between the units, the second-generation unit root tests PANKPSS developed by Carrion-i-Silvestre et al. (2005) and CADF developed by Pesaran (2007) tests are used in the study, which takes cross-sectional dependency into account. While the findings obtained with the CADF test revealed that the series was not stationary and the PPP theory was not valid, the results of the PANKPSS test, which considered the structural breaks, concluded that the series was stationary, and the PPP theory was valid.

The main objective of this research is to analyze the effect of depreciation and real exchange rate appreciation on Indonesia's tourism trade balance bilaterally against Australia, China, Japan, Malaysia, and Singapore. Such analysis on bilateral relations have never been studied for developing markets countries, namely Indonesia. This study uses a linear ARDL approach and a nonlinear ARDL approach with the dependent variable on the tourism trade balance and the real exchange rate as independent variables. Income, foreign direct investment (FDI), and natural disasters as control variables. The empirical results show that Chinese and Japanese tourists respond positively to the depreciation in the real currency rate of exchange, thereby increasing Indonesia's tourism trade balance. Nonlinear ARDL shows that the relation concerning the real rate of exchange plus the balance of trade is non-symmetrical with respect to China and Japan, while Australia, Malaysia, and Singapore are symmetrical. These results suggest that the government should formulate policies to increase tourist visits from China and Japan. Further empirical results also found a J-curve pattern in Indonesia-China and Indonesia-Japan.

Publié en février 2021 dans Journal of African Economies, ISSN 0963-8024; International audience; We analyze the domestic transport and logistics costs of importing a 20-foot container into Africa. We run regressions on a panel of 50 African countries for the period 2006-2014 using the RE-2SLS estimator. Distance from port of arrival to the point of delivery is an important explanatory factor of cost. Time-varying variables yield additional and valuable information. For the 2010-2014 sub-period, the simulations suggest that reducing processing times and adjusting real exchange rates to PPP equilibrium levels would save 12% of the cost to import for North Africa and 37% for Central Africa.

A competitive and stable real exchange rate (RER) has been recognized as an important variable for promoting economic development, especially in emerging and developing economies (EMDEs). The post global financial crisis era, however, has seen a marked deluge of global liquidity from ultra‐loose monetary policy in advanced economies which has led to a surge in capital inflows and consequent loss of external competitiveness in several EMDEs. Given this context, this paper empirically investigates if and what types of macroprudential policies (MaPs) have been effective in countering RER appreciations in a panel of 93 EMDEs over the period 2000‐2013. Our results show strong evidence that MaPs moderate RER appreciation through the real interest rate channel, though this is limited to MaPs that target financial institutions rather than borrowers. There is also evidence to suggest that MaPs work more effectively during periods of rising rather than falling real interest rates. Refereed/Peer-reviewed

In this study, the relations between foreign trade deficit, imports of intermediate goods, manufacturing industry exports and real effective exchange rate in Türkiye in the period covering the years 1990-2020 were researched. Vector Autoregression (VAR) Model was used in the study. In the VAR model, the series must be stationary. Therefore, whether the variables are stationary or not was tested with Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests and the series were found to be non-stationary. The variables were made stationary by taking the first difference of the series. The differenced series show only short-run relationships. The Johansen Co-integration test was applied to the series in order to examine whether there are long-term relationships adjusted for time between the series. Minimum value of delay length is determined as one (1) according to LR (Sequential modified LR test statistic), FPE (Final prediction error), SC (Schwarz) and HQ (Hannan-Quinn) information criteria. "Trace Test Statistics" and "Max Eigenvalue Statistics" results were used to examine whether there is a long-term relationship between the cointegration analysis and the series.There is no cointegrating vector between the variables since the trace test statistics values and the maximum eigenvalue statistics values are less than the 5% critical value. In other words, it was determined that there was no long-term relationship between the variables. Whether there is causality between the variables was examined with the Granger causality test and the reflection of the innovation in one variable to the other variables was followed with the stimulus-response functions. According to Granger causality analysis, it is observed that there is only one-way causality relationship between imports of intermediate goods (LNIGI) and exports of manufacturing industry (LNMIE). A unidirectional causality has been determined from imports of intermediate goods to exports of the manufacturing industry., Bu çalışmada Türkiye’de 1990-2020 yıllarını kapsayan dönemde, dış ticaret açığı, ara malı ithalatı, imalat sanayi ihracatı ve reel efektif döviz kuru arasındaki ilişkiler araştırılmıştır. Çalışmada Vektör Otoregresyon (VAR) Modeli kullanılmıştır. VAR modelinde serilerin durağan olması gereklidir. Bu nedenle değişkenlerin durağan olup olmadığı Augmented Dickey-Fuller (ADF) ve Phillips-Perron (PP) birim kök testi ile test edilmiş ve serilerin durağan olmadığı görülmüştür. Serilerin birinci farkı alınarak değişkenler durağan hale getirilmiştir. Farkı alınan seriler sadece kısa dönem ilişkileri gösterir. Seriler arasında zamanın etkisinden arındırılmış uzun dönemli ilişkilerin olup olmadığının incelenmesi amacıyla serilere Johansen Eşbütünleşme (Koentegrasyon) testi uygulanmıştır. Eşbütünleşme modelinin seçimini için öncelikle en uygun gecikme uzunluğu belirlenmiş, gecikme uzunluğunun minimum değeri LR (Sequential modified LR test statistic), FPE (Final prediction error), SC (Schwarz) ve HQ (Hannan-Quinn) bilgi kriterine göre bir (1) olarak tespit edilmiştir. Yapılan eş bütünleşme analizi ile seriler arasında uzun dönemli ilişki olup olmadığının tetkiki için “İz Testi İstatistiği” ve “Maksimum Özdeğer İstatistiği” sonuçları kullanılmıştır. İz testi istatistiği değerleri ve maksimum özdeğer istatistiği değerleri %5 kritik değerinden daha az olduğu için değişkenler arasında eşbütünleşik vektör bulunmamaktadır. Diğer bir deyişle değişkenler arasında uzun dönemli bir ilişkinin olmadığı saptanmıştır. Değişkenler arasında nedensellik olup olmadığı Granger nedensellik testi ile incelenmiş ve etki-tepki fonksiyonları ile bir değişkendeki inovasyonun diğer değişkenlere yansıması takip edilmiştir. Granger nedensellik analizine göre, sadece ara malı ithalatı (LNIGI) ile imalat sanayi ihracatı (LNMIE) arasında tek yönlü nedensellik ilişkisinin olduğu gözlemlenmektedir. Ara malı ithalatından imalat sanayi ihracatına doğru tek yönlü bir nedensellik tespit edilmiştir.

Büyüyen ülkelerin karşı karşıya olduğu en önemli sorunlardan biri, ekonomik kalkınmayı finanse edecek yeterli rezervlere sahip olmamalarıdır. Bu durum ülkelerin dış borç ihtiyaçlarını artıran önemli sebeplerden biridir. Ayrıca döviz kurundaki geçişkenlik, ülkelerin gelişmişlik düzeyine göre makroekonomik göstergeleri olumlu veya olumsuz yönde etkilemektedir. Türkiye, kırılgan ekonomik yapısı ve çözülmesi gereken sorunları nedeniyle reel döviz kurundaki değişimlerden en çok etkilenen ülkeler arasında yer almaktadır. Bu araştırma, Türkiye'de reel efektif döviz kuru oynaklığının devlet finansmanı üzerindeki kısa ve uzun vadeli etkilerini ölçmeyi amaçlamaktadır. Araştırmada, 1994Q1-2021Q2, Bai-Perron çoklu yapısal kırılma dönemine ilişkin üç aylık verilerin incelenmesinde, ampirik bulgular 1998Q3, 2003Q2, 2008Q4, 2013Q2, 2017Q3 dönemlerinde meydana gelen beş yapısal kırılmayı göstermektedir. Johansen eşbütünleşmesinden elde edilen sonuçlar değişkenler arasında uzun dönemli ilişkinin bulunduğunu göstermektedir. Granger sonuçları, reel döviz kurları ile kısa vadeli borç arasında çift yönlü bir nedensellik ilişkisinin varlığını ortaya koymaktadır. Bulgular, kısa vadeli borcun uzun vadeli borca neden olduğuna dair kanıt sağlamamıştır. Ampirik sonuçlar, politika yapıcıların ekonomideki riskleri önlemek ve istikrarı sağlamak ve sürdürmek için döviz kurunda dengeleyici politikalar uygulaması gerektiğine işaret etmektedir., One of the most important problems opposed to growing countries is that they do not have sufficient reserves to finance economic development. This situation is one of the crucial reasons that increase the foreign debt needs of countries. In addition, the pass-through in the exchange rate affects the macroeconomic indicators positively or negatively according to the development level of the countries. Turkey is among the countries most affected by the changes in the real exchange rate because of its fragile economic structure and the problems that need to be resolved. This research aims to measure the short- and long-term effects of real effective exchange rate volatility on government finance in Turkey. In the study, in investigating quarterly data for the term 1994Q1-2021Q2, Bai-Perron multiple structural breaks, empirical findings show five structural breaks occurred in 1998Q3, 2003Q2, 2008Q4, 2013Q2, 2017Q3 periods. The results obtained from the Johansen cointegration show that there is a long-term relationship between the variables. Granger's results reveal the existence of a bidirectional causality relationship between real exchange rates and short-term debt. The findings did not provide evidence that short-term debt causes long-term debt. Empirical results point out that policymakers should implement stabilizing policies in the exchange rate to prevent risks in the economy and to ensure and maintain stability.

Purpose: The purpose of this paper is to investigate the optimal inflation targets for an appropriate exchange rate policy in 15 major oil exporting countries in Sub-Saharan African (SSA). Design/methodology/approach: Dynamic heterogeneous panel threshold techniques are used via threshold-effect test and threshold regression. This procedure is achieved through a grid search and bootstrapping replications method to stimulate the asymptotic distribution of the likelihood ratio test of the null hypothesis on no-threshold as against the alternative hypothesis. The p-values validate the threshold estimates. Findings: Findings revealed that the optimal inflation target has a turning point and its impact on the real exchange rate is up to a threshold level of 14.47 per cent. Furthermore, the inflation rate above the threshold level overwhelmingly revealed its effect on real exchange regimes. Research limitations/implications: It would have been a good idea to investigate optimal inflation targets for all African countries but due to inadequate data the selection criteria was narrowed to oil-exporting countries in Sub-Saharan Africa. Practical implications: Inflation targeting beyond the threshold level would have serious implications on the monetary policy. Originality/value: To the best of he knowledge, this is the first study to look at optimal inflation targets for 15 major oil exporting countries in general and SSA countries in particular. The findings provide a critical analysis of an inflation regime for a typical oil-producing country that oil exports being their source of revenue. Objetivo: El propósito de este documento es investigar los objetivos de inflación óptimos para una política de tipo de cambio adecuada en los 15 principales países exportadores de petróleo del África subsahariana (ASS). Diseño / metodología / enfoque: Las técnicas dinámicas de umbral de panel heterogéneo se utilizan mediante la prueba del efecto de umbral y la regresión de umbral. Este procedimiento se logra a través de una búsqueda de cuadrícula y un método de replicaciones de arranque para estimular la distribución asintótica de la prueba de razón de verosimilitud de la hipótesis nula sin umbral frente a la hipótesis alternativa. Los valores p validan las estimaciones de umbral. Hallazgos: Los hallazgos revelaron que la meta de inflación óptima tiene un punto de inflexión y su impacto en el tipo de cambio real alcanza un nivel de umbral del 14,47 por ciento. Además, la tasa de inflación por encima del umbral reveló de manera abrumadora su efecto sobre los regímenes cambiarios reales. Limitaciones / implicaciones de la investigación: Habría sido una buena idea investigar los objetivos de inflación óptimos para todos los países africanos, pero debido a los datos inadecuados, los criterios de selección se redujeron a los países exportadores de petróleo del África subsahariana. Implicaciones prácticas: Una meta de inflación más allá del nivel umbral tendría serias implicaciones en la política monetaria. Originalidad / valor: Hasta donde sabemos, este es el primer estudio que analiza los objetivos de inflación óptimos para los 15 principales países exportadores de petróleo en general y los países del África subsahariana en particular. Los hallazgos proporcionan un análisis crítico de un régimen de inflación para un país productor de petróleo típico en el que las exportaciones de petróleo son su fuente de ingresos.

Public foreign currency borrowing is a common problem of emerging markets. Scholars named it the original sin of foreign debt. It has a proven negative influence on economic growth and development, undermining financial stability, and increasing the probability of monetary crises. The roots of the original sin often lay in emerging markets’ institutional underdevelopment, with low-quality monetary policy, inappropriate exchange rate regime choice, and exchange rate mismanagement being stated among the most important causes. This paper evaluates the influence of the exchange rate policy on the emission of foreign currency sovereign bonds in emerging markets. The relationship is estimated using panel data and GMM approach, with exchange rate regime type (both de jure and de facto) and real exchange rate volatility serving as explanatory variables. The findings reveal that fixed exchange rate regime and high real exchange rate volatility is promoting the foreign currency borrowing. Thus countries that want to reduce the burden of the original sin should lean towards a more flexible exchange rate policy while maintaining their real exchange rate stable.

The sustainability of purchasing power parity (PPP) theory is examined within the quantile autoregression model for the monthly data of the euro- and the US dollar-based real exchange rate (RER) in selected European economies (the Czech Republic, Hungary, Poland, Romania, Serbia and Turkey). Period from January 2000 to December 2014 is covered. The application of quantile autoregression model is motivated by the necessity of identifying asymmetric behavior of the RER due to the shocks of different size and sign. The empirical results support to some extent the PPP theory for the euro- and US dollar-based RER in Romania, Serbia, and Turkey. The euro-based RER in Hungary and Poland is also identified to confirm the PPP theory. The dynamics of the RER in the Czech Republic cannot be associated with the PPP validity. The persistence of the euro-based RER is estimated to be more prominent after the depreciation shocks of smaller size. Key words: Purchasing power parity, Real exchange rate, Quantile regression model.JEL: C22, F31, F41. Dinamika realnog kursa u ekonomijama u nastajanju: Dokazi iz kvantitativne regresije Teorija održivosti pariteta kupovne moci (PPP) ispituje se u okviru kvantitativnog modela autoregresije za mesecne podatke realnog kursa zasnovanog na evrima i americkom dolaru (RER) u izabranim evropskim ekonomijama (Ceska, Mađarska, Poljska, Rumunija, Srbija i Turska). Pokriven je period od januara 2000. do decembra 2014. godine. Primena kvantitativnog modela autoregresije motivisana je potrebom da se identifikuju asimetricna ponasanja RER-a zbog sokova razlicitih velicina i znaka. Empirijski rezultati donekle podržavaju PPP teoriju za RER zasnovanom na evrima i americkim dolarima u Rumuniji, Srbiji i Turskoj. RER zasnovan na evrima takođe potvrđuje PPP teoriju u Mađarskoj i Poljskoj. Dinamika RER-a u Ceskoj Republici ne može se povezati sa validnoscu PPP-a. Procenjuje se da je postojanost RER-a zasnovanog na evru istaknutiji nakon sokova deprecijacije manjeg obima. Kljucne reci: Paritet kupovne moci, realni kurs, kvantni regresioni model.

Purpose This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approach The authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. Findings The PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/value There is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.

Isik, Cem/0000-0001-5125-7648, WOS: 000498125600001, The global economic outlook is more uncertain than ever before and sensitive to uncertainties related to a variety of economic policies decisions of all stakeholders and governments. These perceived uncertainties may be the culprit in shrinking the size of overall economic activity. Under increasing uncertainties, travel and vacation plans of consumers can be canceled or postponed. Therefore, policy-related economic uncertainties are expected to affect tourism demand beyond well-established economic and noneconomic factors. in this study, we explore the efficacy and the impact of the economic policy uncertainty (EPU) index in predicting the tourism demand on international tourist arrivals (a measure of tourism demand) to the United States from Mexico and Canada over the period of January 1996-September 2017. the findings of the study reveal that EPU is a significant predictor as increases in the EPU index lead to decreases in tourism demand to the United States. Canadian tourists seem to be more sensitive to EPUs. Increases in the EPU index cause them to reduce Canadians' vacations to the United States proportionally more than the Mexicans. To enhance the explanatory power of current models, the uncertainty can be a theoretically significant construct thus needs to be included when calibrating demand models.

İhracata girmeyi planlayan firmaların karşılaşacağı maliyetlerin birçoğu ihracattan vazgeçildiği zaman geri dönüşü olmayan harcamalardan yani batık maliyetlerden oluşmaktadır. Batık maliyetlerin varlığı, firmaların ihracat pazarına girme veya ihracat pazarından çıkma kararlarını gecikmeli olarak almalarına yol açabilmektedir. Firma düzeyinde gözlenen bu atalet aynı zamanda makro düzeyde reel kur-ihracat ilişkisinde bozulmalara da neden olabilmektedir. Bu çalışmada öncelikle firma düzeyinde veriler çerçevesinde imalat sanayi firmalarının ihracat kararlarında atalet etkisi incelenmiştir. Tahmin sonuçları firmaların batık maliyetlere maruz kaldıklarını göstermiştir. Batık maliyetlerin neden olduğu ataletin sektör düzeyinde reel kur-ihracat ilişkisine olası etkilerini incelemek amacıyla Preisach yaklaşımı kullanılarak ihracattaki kalıcılık analizinde kur seviyesinin etkisi incelenmiştir. Sonuçlar, ihracata girişte batık maliyetlerin neden olduğu gecikmenin, tekstil, hazır giyim, tütün, makine-teçhizat ve iletişim araçları alt sektörleri haricinde kalan sektörlerde ihracatın reel kur değişimlerine duyarlılığını sınırladığına işaret etmektedir., Most of the exportation costs are sunk and those sunk-costs generates hysteresis in the export decisions of the firms. Firm-level observed hysteresis in the export behavior may lead to deterioration in the exchange rate export relation at macro-level. In this study, at the first stage using micro data existence of sunk-cost investigated by studying the exportation decision of the Turkish manufacturing firms. Estimation results show that exporting firms are exposed to high sunk costs. In order to examine the possible impacts of the hysteresis caused by sunk costs on the real exchange rate-export relationship at the sector level the Preisach approach is employed. The results indicate that the hysteresis behavior of the firms caused by sunk costs limits the sensitivity of exports to real exchange rate changes in Turkish manufacturing sectors excluding textile, wearing, tobacco, machinery-equipment and communication tools sub-sectors.

This paper explores the robustness of the Balassa-Samuelson (BS) hypothesis. We analyze a panel of OECD countries from 1970 to 2008 and compare three different datasets on sectoral productivity, including a newly constructed database on total factor productivity. Overall, our DOLS estimation results do not support the BS hypothesis. For the last two decades, we find a very robust negative relationship between the productivity in the tradable sector and the equilibrium real exchange rate, in contrast to BS. Earlier supportive findings depend strongly on the choice of the dataset. Except for the terms of trade, the explanatory power of other variables is weak.

Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil, Chile, New Zealand, and Uruguay from 1990 to 2013. We study the impact of RER volatility on total exports using Johansen's methodology, including proxies for global demand and international prices. The results suggest that exports depend positively on global demand and international prices for all countries; however, conditional RER volatility resulted significant and negative only for Uruguay, in the short and long run. Key words: Exports, Real exchange rate, GARCH, Co-integration.JEL: C55, F31, F41. Volatilnost realnog deviznog kursa i izvoz: studija o cetiri odabrane zemlje izvoznice robe Robni izvoz zavisi od globalne tražnje i cena, ali sve veca volatilnost realnih deviznih kurseva (RER) predstavlja dodatni faktor. U radu se proucava dinamika volatilnosti RER-a, ocenjena kroz GARCH i IGARCH model za Brazil, Cile, Novi Zeland i Urugvaj od 1990. do 2013. Ispitujemo uticaj nestabilnosti RER-a na ukupni izvoz primenom Johansenove metodologije, uvođenjem vestackih promenljivih za globalnu tražnju i međunarodne cene. Rezultati sugerisu da izvoz pozitivno zavisi od globalne tražnje i međunarodnih cena za sve zemlje; međutim, uslovna volatilnost RER-a bila je znacajna i negativna samo za Urugvaj, u kratkom i dugom roku. Kljucne reci: Izvoz, realni devizni kurs, GARCH, kointegracija.

Satın alma gücü paritesi (SAGP), ülkeler arasında fiyat farklılıklarını ortadan kaldırarak ülkelerin para birimlerinin satın alma gücünü eşitleyen tek fiyat kanununa dayalı bir yaklaşımdır. Uluslararası gelişmişlik ölçütü olarak da kullanılan SAGP hipotezine olan ilgi, ülkelerin karşılaştığı fiyat istikrarsızlıkları ve dış açık sorunları nedeniyle artmaktadır. Artan ilgi ile birlikte SAGP hipotezinin geçerliliği farklı ülke ve ülke gruplarında çeşitli dönem aralıkları itibarıyla güncel analiz yöntemleri kullanılarak sınanmaktadır. Bu çalışmanın amacı, dokuz N-11 ülkesinde 1970-2019 dönemi için SAGP hipotezinin geçerliliğini sınamaktır. Bu doğrultuda çalışmada güncel bir test tekniği olarak Lee, Wu ve Yang (2016) tarafından ileri sürülen yatay kesit bağımlılığına, yumuşak kırılmalara ve ortak faktör yapısına izin veren BCIPS birim kök analiz yöntemi kullanılmıştır. Analiz bulgularından N-11 ülkeleri için reel döviz kurlarının durağan olduğu tespit edilmiş, dolayısıyla SAGP hipotezinin geçerli olduğu sonucuna ulaşılmıştır. Bu bağlamda N-11 ülkelerinde reel (efektif) döviz kuru üzerinde şokların etkisinin geçici olduğu, para politikası kararlarında ve uluslararası gelişmişlik ölçütlerinde SAGP’nin güvenilir bir gösterge olarak kullanılabileceği ortaya konulmuştur. Purchasing power parity (PPP) is an approach which is based on the law of one price and balances the purchasing power of currencies by excluding price differences among countries. The interest in the PPP hypothesis, which is also used as an international development criteria, has been increasing due to price instability and trade deficits faced by countries. Along with the increasing interest, the validity of the PPP hypothesis is tested more often for different country groups and time periods by using modern analysis methods. The aim of this study is to test the validity of the PPP hypothesis for the period 1970-2019 in nine of N-11 countries. Accordingly, the BCIPS unit root analysis method, which allows for cross-section dependence, soft breaks, and common factor structure and which was proposed by Lee, Wu, and Yang (2016), was used as a modern test technique in the study. The findings of the analysis suggest that the real exchange rates for N-11 countries are stationary, therefore, it is concluded that the PPP hypothesis is valid. In this respect, it is revealed that the effect of shocks on the real (effective) exchange rate in N-11 countries is temporary and that PPP can be used as a reliable indicator in monetary policy decisions and international development measures.

Since nominal interest rate and nominal exchange rate are common for the Euro-zone (EZ) members, inflation differentials initiate real interest rate and real exchange rate divergences with further spill-over effects. The aim of the research is to investigate in which extent national price level, real interest rate and real exchange rate, co-move or diverge from supranational EZ variables. The research results, based on heterogeneous dynamic macro-panel data of 12 initial EZ members in the period 1999Q1-2019Q4, confirm heterogeneous adjustment, as well as the lack of balancing towards equilibrium, as a sign of EZ vulnerability, Dado que la tasa de interés nominal y la tasa de cambio nominal son comunes para los miembros de la zona euro (EZ), los diferenciales de inflación inician divergencias en la tasa de interés real y en la tasa de cambio real con más efectos indirectos. El objetivo de la investigación es indagar en qué medida el nivel de precios nacional, la tasa de interés real y el tipo de cambio real se mueven conjuntamente o divergen de las variables EZ supranacionales. Los resultados de la investigación, basados en datos heterogéneos de macropanel dinámico de 12 miembros iniciales de la EZ en el período 1999Q1-2019Q4, confirman un ajuste heterogéneo, así como la falta de equilibrio hacia el equilibrio, como un signo de vulnerabilidad de la EZ