The effect of exchange rate volatility on export: An application for Turkey

This study investigates the impact of volatiliy on exports from Turkey to United States of America and Germany covering the period 1995-2014, and to UK covering the period 2002-2014, using quarterly data by means of Pesaran's ARDL bounds testing approach as to specify the cointegration among the variables and Error Correction Model as to estimate short run equations. Volatiliy was estimated by using both Moving Standard Deviation (MSD) over 6 months and Exponential Generalized Autoregressive Conditional Heteroscedasticty (EGARCH) on monthly nominal exchange rate basis. The result of the study showed that the majority of the volatility variables has no effect on export in the long run between the period 1995-2014. Only, the volatility estimated by using MSD method has statistically significant negative long run impact on exports to Germany and UK between the period 2002-2014. If it is needed to generalize the volatility behaviour in the short run, statistically significant negative coefficients were captured mostly within the scope of this study.