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Hakan M. Berument, Zulal S Denaux and Yeliz Yalcin
''How does the Exchange Rate Movement Affect Macroeconomic Performance? A VAR Analysis with Sign Restriction Approach– Evidence from Turkey''
( 2012, Vol. 32 No.1 )
In this paper, we assess the effect of exchange rate movement on macroeconomic performance by differentiating the source of exchange rate movement as either an expansionary monetary policy or a portfolio preference shock using quarterly data from Turkish economy for the period 1987:Q1 to 2008:Q3. Empirical evidence suggest that if the depreciation of the exchange rate stems from an expansionary monetary policy shock, then the effect of currency depreciation on the economy is expansionary. On the other hand, if currency depreciation comes from a portfolio choice allocation, then the effect of exchange rate deprecation on the economy is contractionary.
Keywords: Exchange Rates, Monetary Policy, Vector Autoregression and Sign Restrictions.
JEL: F4 - Macroeconomic Aspects of International Trade and Finance: General
C1 - Econometric and Statistical Methods: General
Manuscript Received : Aug 05 2011 Manuscript Accepted : Jan 23 2012

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