Exchange Rate Movements, Inflation Expectations, and Currency Substitution in Turkey

22 Pages Posted: 15 Feb 2006

See all articles by Fabio Scacciavillani

Fabio Scacciavillani

Goldman Sachs - Economics Research Department

Date Written: November 1995

Abstract

This paper contains an empirical analysis of currency substitution in Turkey: a simple relationship between the share of foreign currency holdings in M2X on one side and movements in the exchange rate or inflation on the other is derived from a two-stage portfolio choice model. This relationship is estimated by band spectrum regression which allows to remove from the data the short-term cyclical components. The results show that the relationship between currency substitution depends mainly on long-term movements in the exchange rate, while the effect of inflation on currency substitution is not statistically significant.

JEL Classification: C20, C29, E40, E41, F41, O53

Suggested Citation

Scacciavillani, Fabio, Exchange Rate Movements, Inflation Expectations, and Currency Substitution in Turkey (November 1995). IMF Working Paper, Vol. , pp. 1-21, 1995. Available at SSRN: https://ssrn.com/abstract=883257

Fabio Scacciavillani (Contact Author)

Goldman Sachs - Economics Research Department ( email )

Peterborough Court
133 Fleet Street
London, EC4A 2BB
United Kingdom
+44 20 755 25254 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
175
Abstract Views
1,938
rank
171,512
PlumX Metrics