Abstract
Analysis of Causal Relationship Between Real Effective Exchange Rate, Export and Import in Turkey
The main purpose of this study is to analyze the relationship between real effective exchange rate, exports and imports in Turkey between the period of 2003: 01 and 2018: 06. The stability of the variables was analyzed by a structural break (Zivot-Andrews) unit root test. The long-term relationship between variables was investigated by Gregory-Hansen structural fracture cointegration test. According to Gregory-Hansen cointegration test results, considering the fixed and the trend breaking, it can be stated about the long-term relationship between the variables. The causality relationship between variables was determined by the Fourier Toda-Yamamoto causality test and Balcılar et al. (2010) Boostrap Rolling Windows Test. In the Fourier Toda-Yamamoto causality test, it was observed that there is a one-way causality relation from real effective exchange rate to imports. Moreover, there is a one-way causality from exports to real effective exchange rate. Using the causality test of Balcılar et al. (2010), it was found that there is a relationship between months.
Keywords
Real Efective Exchange Rate, Export, Import, Causality Test.
