AKEL, Veli Erciyes Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İşletme Bölümü, Turkey , GAZEL, Sümeyra Bozok Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İşletme Bölümü, Turkey

THE COINTEGRATION LINKAGES BETWEEN EXCHANGE RATES AND BIST INDUSTRIAL INDEX: AN ARDL BOUND TESTING APPROACH

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In this paper, we investigate existence of long-run and short-run equilibrium relationships among the Borsa Istanbul Industrial Index (SINAI), real effective exchange rate (REER), Dollar Index (DXY) and Euro/Turkish Lira exchange rate in Turkey. Applying ARDL cointegration analysis on monthly data for the 2005:01–2013:12 period, we find that the SINAI Index is positively related to the Dollar Index and Euro/TL exchange rate. But, there is no meaningful relationship between real effective exchange rate and SINAI. The results of vector error correction model reveal that the SINAI is positively related to the real effective exchange rate while SINAI is negatively related to the Dollar Index and Euro/TL exchange rate in a statistically significant way.

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Exchange Rate , Real Effective Exchange Rate , Dollar Index , BIST Industrial Index

Erciyes University Journal Of Economics an‎d Administrative Sciences

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