A thesis on exchange rates, fundamentals and trade

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buir.advisorBöke, Selin Sayek
dc.contributor.authorDoğanay, Seda Meyveci
dc.date.accessioned2016-01-08T20:19:27Z
dc.date.available2016-01-08T20:19:27Z
dc.date.issued2014
dc.departmentDepartment of Economicsen_US
dc.descriptionAnkara : Department of Economics İhsan Doğramacı Bilkent University, 2014.en_US
dc.descriptionThesis (Ph. D) -- Bilkent University, 2014.en_US
dc.descriptionIncludes bibliographical refences 75-83.en_US
dc.description.abstractThis dissertation is made up of three essays on understanding the exchange rate movements and the link between the exchange rate and the real economy. In the first essay, exchange rate movements are decomposed into two components that are driven by the observable fundamentals and the unobservable factors in the economy with different statistical methods. Then, these methods results are compared in a reduce form equation in a panel setting that enables us to understand the economic sense behind these decomposition techniques. From this analysis, Christiano and Fitzgerald Filter (C-F Filter) (2003) is selected as the method that decomposes real exchange rate into permanent and temporary components which are respectively components that capture the fundamentals and unobservables. In the second essay the Meese and Rogoff puzzle is analyzed through testing the scapegoat theory of exchange rate. Scapegoat theory of exchange rate claims that when exchange rate changes due to an unobserved factor, to rationalize this movement, agents give more weight to a fundamental that reveals a large variation from its mean which creates an exchange rate movement in the expected direction. This part presents an empirical test of the scapegoat theory of exchange rate using Turkish data. It is found that there exists a strong and robust empirical support for the scapegoat theory of exchange rate. Of all the fundamentals, between 2003-2013 market participants have viewed the current account as the scapegoat; the current account variable and its scapegoat incidences have the statistically significant and theoretically expected effect on nominal spot exchange rate return. Finally in the last essay making use of the decomposed exchange rate series the impact of exchange rate on bilateral trade flows is empirically analyzed using the Gravity Model in a panel setting. The estimation is done for using aggregate bilateral trade data. From this analysis we conclude that the impact of currency depreciation on trade flows depends on whether that change in the exchange rate reflects a shift in trend or is just a transitory movement.en_US
dc.description.degreePh.D.en_US
dc.description.statementofresponsibilityDoğanay, Seda Meyvecien_US
dc.embargo.release2016-08-21
dc.format.extentxii, 124 leaves, chartsen_US
dc.identifier.itemidB126102
dc.identifier.urihttp://hdl.handle.net/11693/18448
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectExchange rate decompositionen_US
dc.subjectScapegoat theoryen_US
dc.subjectGravity modelen_US
dc.subjecten_US
dc.subjecten_US
dc.subject.lccHG3851 .D63 2014en_US
dc.subject.lcshForeign exchange rates.en_US
dc.subject.lcshEconometric models.en_US
dc.subject.lcshMacroeconomics.en_US
dc.titleA thesis on exchange rates, fundamentals and tradeen_US
dc.title.alternativeKurlar, makroekonomik temel göstergeler ve dış ticaret üzerine bir tezen_US
dc.typeThesisen_US

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