Levent, Korap (2008): Testing international parity hypothesis in a multivariate identified cointegrating system: the Turkish evidence. Published in: İstanbul Üniversitesi Sosyal Bilimler Meslek Yüksek Okulu Sosyal Bilimler Dergisi , Vol. 2008, No. 1 (2008): pp. 129137.

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Abstract
In this paper, a multivariate cointegrating model is constructed upon the Turkish economy to examine the validity of the purchasing power parity and the uncovered interest parity theories simultaneously. Estimation results obtained from the identified cointegrating vectors support a priori modelling expectations and yield evidence to the existence of both parities when integrated within each other. However, no evidence is obtained in favor of the two international exchange rate determination parity hypotheses when formulated in isolation. A policy inference derived from the paper can be summarized such that, since the market mechanisms seem to closely affect the longrun course of the nominal exchange rate, exchange rate based stabilization programs should be appreciated by economic agents in a cautious way.
Item Type:  MPRA Paper 

Original Title:  Testing international parity hypothesis in a multivariate identified cointegrating system: the Turkish evidence 
English Title:  Testing international parity hypothesis in a multivariate identified cointegrating system: the Turkish evidence 
Language:  English 
Keywords:  Purchasing Power Parity ; Uncovered Interest Parity ; Turkish Economy ; 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models F  International Economics > F3  International Finance > F32  Current Account Adjustment ; ShortTerm Capital Movements F  International Economics > F4  Macroeconomic Aspects of International Trade and Finance > F41  Open Economy Macroeconomics 
Item ID:  20020 
Depositing User:  Levent Korap 
Date Deposited:  18. Jan 2010 07:51 
Last Modified:  19. May 2015 18:03 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/20020 