Does Currency Substitution Affect Exchange Rate Uncertainty? The Case of Turkey
Yazarlar (3)
| Makale Türü |
Özgün Makale
(Uluslararası alan indekslerindeki dergilerde yayınlanan tam makale)
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| Dergi Adı | Journal of Qafqaz University | ||
| Dergi ISSN | 1302-6763 | ||
| Dergi Tarandığı Indeksler | Russian Periodicals Catalog, Directory of Open Access Journals, Middle East Virtual Library , The International Consortium for the Advancement of Academic Publication, JournalSeek, Genamics, RefSeek Indexcopernicus | ||
| Makale Dili | İngilizce | Basım Tarihi | 01-2007 |
| Cilt / Sayı / Sayfa | – / 20 / 133–141 | DOI | – |
| UAK Araştırma Alanları |
Enflasyon
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| Özet |
| In this paper, we investigate whether the currency substitution can affect the exchange rate uncertainty for the Turkish economy. Considering the whole time period 1987M01-2006M12 as well as thesub-periods 1987M01-1999M12 and 2001M03-2006M12 for sensitivity analysis, our estimation results employing contemporaneous exponential GARCH (EGARCH) methodology of Nelson (1991) indicate that currency substitution leads to the exchange rate uncertainty. Besides, conditional variance reacts more to past positive shocks than to negative innovations of equal size. |
| Anahtar Kelimeler |
