The Linear and Nonlinear Effects of Macroeconomic Factors on the Nominal Exchange Rate in Türkiye

Authors : Banu Demirhan, Serkan Göksu

Pages : 730-747

Doi:10.17153/oguiibf.1290038

View : 190 | Download : 184

Publication Date : 2023-12-01

Article Type : Research Paper

Abstract :This study examines the symmetrical and asymmetrical relationships between nominal exchange rates and some key macroeconomic indicators in Türkiye using ARDL and NARDL approaches. According to the findings, there is an asymmetric cointegration relationship between the variables, but this relationship is not symmetrical. Inflation is the most remarkable indicator of the exchange rate. While all variables have asymmetric effects in the long run, only exports have asymmetric effects in the short run. The effect of export increases on the exchange rate is more dominant than decreases. Positive shocks between Türkiye and the US interest rate decrease the nominal exchange rate. In general, the effects of positive shocks are more dominant than negative shocks.
Keywords : Nominal döviz kuru, Kapsanmamış faiz oranı paritesi, Doğrusal olmayan eşbütünleşme, ARDL ve NARDL, Uluslararası Fisher etkisi