Ekonomi ve Yönetim Araştırmaları Dergisi
Yazarlar: Mehmet AYDINER
Konular:-
Anahtar Kelimeler:Threshold Regression,Exchange Rate Volatility,Export,GARCH
Özet: The purpose of this sudy is to investigate whether there exist an exchange rate threshold volatility influencing Turkeye’s export to five European Union M ember Stataes, USA, Japan and Russia. The study uses quarterly export data of Turkey between 1999-2013. Volatility series were estimated by using GARCH 1,1 model. The results show that there is no threshold value in Euro volatility series affecting Turkey’s export to Germany, France, England, Spain and İtaly. There is also no threshold for Dolar volatility influencing Turkey’s export to USA, Japan and Russia as well. As general result, effect of exchange rate volatility on Turkey’s export is lineer since there does not exist a critical value of volatility