1. Foreign exchange reserves and exchange rates in Turkey: Structural breaks, unit roots and cointegration
授課教授:楊奕農
學生:呂詩萱

2. introduction
The main objective of this paper is to fill the gap by undertaking a study on the relationship between exchange rates (real and nominal) and foreign exchange reserves for the period 1982–2005 for Turkey, using cointegration and Granger causality testing.

3. Methodology
Unit roots
Cointegration
Causality

4. Empirical results Table 1: Unit root test (without break): ADF
Table 2: Unit root test (with break): Zivot and Andrews (1992) unit root test
Note: Critical values at 1% and 5% significance level are −5.57 and −5.08 respectively (Zivot and Andrews, 1992

5. Empirical results Table 3 Engle–Granger cointegration testtest
The 1% critical value is −3.500

6. Empirical Results
Table 4: Gregory and Hansen (1996) cointegration tests
⁎, ⁎⁎ and ⁎⁎⁎ imply significance at 1%, 5% and 10%,

7. Empirical results
Table 5 :Results of Granger causality tests: Real exchange rate and foreign exchange reserves
Table 6: Results of Granger causality: nominal exchange rate and foreign exchange reserves
⁎,⁎⁎, ⁎⁎⁎ indicate significance level at 1%,5%, and 10%

8. Conclusion
Our results show that foreign exchange reserves have significant effect on reducing the volatility of real and nominal exchange rates in the short run, which is very important for market players.