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      How does the exchange rate movement affect macroeconomic performance? a VAR analysis with sign restriction approach – evidence from Turkey

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      Author
      Berument, Hakan
      Denaux, Z. S.
      Yalcin, Y.
      Date
      2012
      Source Title
      Economics Bulletin
      Electronic ISSN
      1545-2921
      Publisher
      Economics Bulletin
      Volume
      32
      Issue
      1
      Pages
      295 - 305
      Language
      English
      Type
      Article
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      Abstract
      In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to 2008:Q3. Empirical evidence suggest that if the depreciation of the exchange rate stems from an expansionary monetary policy shock, then the effect of currency depreciation on the economy is expansionary. On the other hand, if currency depreciation comes from a portfolio choice allocation, then the effect of exchange rate deprecation on the economy is contractionary.
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      http://hdl.handle.net/11693/48324
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      • Department of Economics 649
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