Information Content of Exchange Rate Volatility Turkish Experience
Yazarlar (3)
Prof. Dr. Cem Saatcioğlu İstanbul Üniversitesi, Türkiye
Volkan Ara
Doç. Dr. Hüseyin Levent KORAP Kastamonu Üniversitesi, Türkiye
| Makale Türü |
Özgün Makale
(Uluslararası alan indekslerindeki dergilerde yayınlanan tam makale)
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| Dergi Adı | International Business and Economics Research Journal | ||
| Dergi Tarandığı Indeksler | The Clute Institute For Academic Research | ||
| Makale Dili | İngilizce | Basım Tarihi | 06-2007 |
| Cilt / Sayı / Sayfa | 4 / 6 / 9–14 | DOI | – |
| Özet |
| This study constructs an empirical model of the volatility of the TL/USS exchange rate for the Turkish economy during the post-200 I crisis period ending on August 2006. Employing the Exponential GARCH (EGARCH) estimation methodology of econometrics, we find that the volatility of a given shock to the exchange rate is highly persistent and the successive forecasts of the conditional variance converge to the steady state quite slowly. In addition, the conditional variance of the exchange rate reacts differently to a given negative shock than to a positive shock with equal magnitude. The plot of the News Impact Curve indicates that a foreign investor would face a higher uncertainty when there is an unanticipated increase in the exchange rate when compared to an unanticipated decrease. |
| Anahtar Kelimeler |
