Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch
This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Condi...
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| Format: | Article |
| Language: | English |
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Hasan Eleroğlu
2021-07-01
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| Series: | Turkish Journal of Agriculture: Food Science and Technology |
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| Online Access: | http://www.agrifoodscience.com/index.php/TURJAF/article/view/4456 |
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| _version_ | 1849765903772680192 |
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| author | Turgut Orman İlkay Dellal |
| author_facet | Turgut Orman İlkay Dellal |
| author_sort | Turgut Orman |
| collection | DOAJ |
| description | This study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real effective exchange rate have a statistically significant positive influence on the export volume whereas exchange rate volatility has negative impact on it. |
| format | Article |
| id | doaj-art-bd9210d9fa994512ba8d39b860da2ddd |
| institution | DOAJ |
| issn | 2148-127X |
| language | English |
| publishDate | 2021-07-01 |
| publisher | Hasan Eleroğlu |
| record_format | Article |
| series | Turkish Journal of Agriculture: Food Science and Technology |
| spelling | doaj-art-bd9210d9fa994512ba8d39b860da2ddd2025-08-20T03:04:44ZengHasan EleroğluTurkish Journal of Agriculture: Food Science and Technology2148-127X2021-07-01961180118510.24925/turjaf.v9i6.1180-1185.44562121Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl ApprochTurgut Orman0İlkay Dellal1Department of Agricultural Economics, Field Crops Central Research Institute, 06170 AnkaraDepartment of Agricultural Economics, Faculty of Agriculture, Ankara University, 06100 AnkaraThis study aims to reveal the impact of exchange rate volatility on agricultural exports of Turkey by using the Autoregressive Distributed Lag Model. While quarterly time series data covering period of 2001: Q1 to 2018: Q4 were used to carry out analyses, Exponential Generalized Autoregressive Conditional Heteroscedasticity (1.1) is used to acquire exchange rate volatility series. The research findings showed that agricultural export is cointegrated with exchange rate volatility, producer price index and real effective exchange rate. Furthermore, our findings indicate that increases in real effective exchange rate have a statistically significant positive influence on the export volume whereas exchange rate volatility has negative impact on it.http://www.agrifoodscience.com/index.php/TURJAF/article/view/4456volatilityardl bounds testingproducer price indexagricultural exportsreal effective exchange rate |
| spellingShingle | Turgut Orman İlkay Dellal Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch Turkish Journal of Agriculture: Food Science and Technology volatility ardl bounds testing producer price index agricultural exports real effective exchange rate |
| title | Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch |
| title_full | Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch |
| title_fullStr | Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch |
| title_full_unstemmed | Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch |
| title_short | Cointegration Analysis of Exchange Rate Volatility and Agricultural Exports in Turkey: an Ardl Approch |
| title_sort | cointegration analysis of exchange rate volatility and agricultural exports in turkey an ardl approch |
| topic | volatility ardl bounds testing producer price index agricultural exports real effective exchange rate |
| url | http://www.agrifoodscience.com/index.php/TURJAF/article/view/4456 |
| work_keys_str_mv | AT turgutorman cointegrationanalysisofexchangeratevolatilityandagriculturalexportsinturkeyanardlapproch AT ilkaydellal cointegrationanalysisofexchangeratevolatilityandagriculturalexportsinturkeyanardlapproch |