Original scientific paper
CAPITAL REVERSALS AND EXCHANGE MARKET PRESSURE: EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG (ARDL) BOUNDS TESTS
Mete Feridun
Abstract
This article examines the relationship between capital reversals and exchange market pressure in Turkey within an autoregressive distributed lag (ARDL) bounds testing and Granger causality framework using monthly data from 1991:12 to 2006:08. The results suggest that capital reversals are in a long-run equilibrium relationship with exchange market pressure. Granger causality tests indicate that there exists short-run and long-run causality running from capital reversals to exchange market pressure, but not vice versa. These findings lend empirical support to the Sudden Stop theory.
Keywords
capital reversals; exchange market pressure; Turkey; ARDL
Hrčak ID:
63239
URI
Publication date:
1.12.2010.
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