Download An analysis of Exchange Rate Volatility on Sectoral Turkish Exports

V. Anadolu International Conference in Economics,
May 11-13, 2017, Eskişehir, Turkey.
An analysis of Exchange Rate Volatility on Sectoral Turkish Exports by Panel
Quantile Regression
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Halil İbrahim Akıl , Bülent Güloğlu , Murat Güven ,Fuat Erdal
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Abstract
This papers aims to investigate the role of the exchange rate volatility on Turkish exports. We employ both
quantile panel data regression and fixed effect model for a transformed export model. The data cover five main
sectors; agricultural and forestry, manufacturing, mining and quarrying wholesale and retail trade, fishing (ISIC
classification) and span the period 2001-2016 in which the flexible exchange rate regime is adopted in Turkey.
Since we especially want to see the effects of the recent global crisis (2008) on the level of volatility shock, we
employ a dummy variable to take into account the crisis period. The results reveal important findings: firstly,
the impact of the exchange rate volatility differs significantly across each quantiles of exports. Secondly,
controlling the data after the period for crisis affected the significance of the volatility shock. Thirdly, our
estimations indicate that the level of Turkish export’s elasticity of the reel exchange rate and foreign income in
the last decade, highly dominating the export volume, which are found to be negative and positive
respectively. Our findings also present a perspective to understand how the performance of the Turkish Central
Bank for the foreign exchange rate stability matter for the risk averse agents.
Keywords:Exchange rate volatility, Sectoral level export, Turkey, Panel quantile regression
Jel Codes:E40, O40
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University of Winsconsin [email protected]
Istanbul Technical University [email protected]
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Corresponding Author. Istanbul Technical University [email protected]
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Istanbul Technical University [email protected]
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