'New' monetary policy instruments and exchange rate volatility
| Autor: | Cüneyt Akar, Serkan Çiçek |
|---|---|
| Přispěvatelé: | MÜ, Fethiye İşletme Fakültesi, Ekonomi Ve Finans Bölümü, Çicek, Serkan |
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
Macroeconomics
SWARCH 050208 finance Volatility Models Financial risk 05 social sciences Geography Planning and Development Policy mix Monetary policy Turkish Economy Monetary economics Development Reserve Option Mechanism Exchange rate 0502 economics and business European integration Economics 050207 economics Volatility (finance) Emerging markets Public finance |
| Popis: | 0000-0002-6384-4476 WOS: 000368998600006 Turkish economy has been suffering from rises in financial flows since the last two decades that these flows have raised financial stability challenges across emerging economies including Turkey. Regarding the ability of the central banks to decrease the financial risks including volatile exchange rate, the Central Bank of the Republic of Turkey has designed and implemented a new policy mix. In this study, we investigated the effect of new policy instruments (IRC, RRR and ROM) on the volatilities of US dollar, euro, British pound and basket rate for Turkish economy between January 2, 2002 and December 9, 2014 by using ARMA-GARCH, ARMA-EGARCH and SWARCH models. From the estimation results, we could not reach enough evidence that the IRC and RRR instruments could decrease the volatilities of exchange rates under investigation while the ROM instrument was successful, especially on US dollar and basket rate. We also found strong evidence in favour of asymmetric volatility, indicating that the positive shocks led to greater exchange rate volatility than negative ones. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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