THE INTERACTION BETWEEN EXCHANGE RATE VOLATILITY ACCOMPANIED WITH STRUCTURAL BREAKS AND THE SECTORAL FOREIGN TRADE OF TURKEY

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The fluctuations and volatility in exchange rates create undesirable effects on foreign trade in developing countries such as Turkey by causing an increase in the risk and uncertainty. In this context, the aim of the study is to examine the relationship between exchange rate volatility and the real exchange rate and the foreign trade sector in 1997:01-2018:12 periods in Turkey. In this study, were used to standard deviation method based on moving averages to measure the volatility in exchange rates, the ADF and PP unit root tests to test the stationarities of the series, the Zivot-Andrews and Lee-Strazicich unit root tests to test the structural breaks. The causality relationship between the existence of structural breaks and the variables was examined by Toda-Yamamoto causality analysis using monthly data. According to the findings of the research, it is revealed that there is a causality relationship between exchange rate volatility and foreign trade of agriculture and mining sector, real exchange rate and foreign trade of agriculture and manufacturing industry sector.

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Exchange Rate Volatility , Real Exchange Rate , Sectoral Foreign Trade , Structural Break , Toda , Yamamoto

Abant Sosyal Bilimler Dergisi

1095

Abant Sosyal Bilimler Dergisi