H. Levent Korap

Does the uncovered interest parity hold in short horizons

In this article, one of the contemporaneous monetary theories of exchange rate determination, namely uncovered interest parity (UIP), is examined. The UIP hypothesis assumes that if capital is perfectly mobile, then investors around the world will be indifferent between holding their portfolios in domestic or foreign securities because they obtain the same return from these assets. Based on a theoretical formulation, our ex post estimation results employing four developed countries exchange rates vis-à-vis US dollar indicate the failure of the UIP hypothesis using short-horizon interest differential and future spot exchange rate data in line with most empirical papers in the economics literature.

Re-examination of the long-run purchasing power parity: further evidence from Turkey

In this article, we re-examine the empirical validity of the Purchasing Power Parity (PPP) theory for the Turkish economy. For this purpose, an empirical model is constructed using some contemporaneous estimation techniques such as multivariate co-integration and vector error correction methodology. Our estimation results reveal that the PPP can strongly be supported as a long-run stationary steady-state relationship for the Turkish economy.

TESTING EXCHANGE RATE DETERMINATION MODEL FOR YTL/US

Bu calismada, YTL/US

: EVIDENCE FROM HIGH FREQUENCY DATA

doviz kuru belirlenme mekanizmasi aylik gozlem araligi kullanilarak 1986M01-2007M08 donemi icin incelenmektedir. Parasal model doviz kuru belirlenme mekanizmasina dayali olarak olusturulan kuramsal bir yaklasim dogrultusunda, cagdas cok degiskenli es-butunlesim yontemi kullanilarak elde edilen tahmin sonuclari YTL/US

An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period

parasal doviz kurunun iktisat kurami tarafindan onerilen temellerle es-butunlesik bir iliski icerisinde oldugunu gostermektedir. Tahmin bulgulari parasal doviz kuruyla goreceli para arzi farki arasinda pozitif bir iliskinin varligini ve goreceli gelir farkindaki bir artisin yerli paranin US

Information Content Of Exchange Rate Volatility: Turkish Experience

karsisinda degerlenmesine neden oldugunu ortaya koymaktadir. Ayrica, goreceli faiz farki degiskeni onsel olarak varsayildigi gibi parasal doviz kuruyla pozitif bir iliski icerisinde bulunmustur. Bununla birlikte, goreceli enflasyon farkinin parasal doviz kuru uzerinde herhangi anlamli bir etkisi bulunamamistir. Anahtar Kelimeler: Doviz Kurlari; Gktisadi Temeller; Es-butunlesim