| Popis: |
In this study, the effects of interest rate policy implemented during the 2001 crisis on exchange rate is examined. By using error-correction model and Toda-Yamamoto (1995) method, a model with four variables including stock exchange index and spread has been estimated. This study concludes that interest rate differential causes a decline in the stock exchange index, which is an indicator of bankruptcy rates, and an increase in the spread. It is also found that a decline in the stock exchange index and an increase in the spread are Granger causes of the decline in the value of domestic currency in the crisis period. The results of Granger tests indicate that an increase in the interest rate leads to a decline in domestic currency. |
