Do Monetary Policy Measures Affect Foreign Exchange Rates during the COVID-19 Pandemic? Evidence from Turkey

Year 2021, Volume: 15 Issue: 2, 175 - 202, 31.08.2021

Mustafa Tevfik Kartal Özer Depren Serpil Kılıç Depren

https://doi.org/10.46520/bddkdergisi.987416

Cited By: 6

Abstract

Keywords

FX rates

Do Monetary Policy Measures Affect Foreign Exchange Rates during the COVID-19 Pandemic? Evidence from Turkey

Abstract

The study examines how foreign exchange (FX) rates in Turkey are affected by the pandemic considering the impacts of monetary policy responses to the pandemic. Selected FX
rates are examined by using 10 independent variables containing monetary policy indicators and the pandemic figures. In this context, daily data from February 1, 2019 to August 31,
2020 that consists of the pre-pandemic and the pandemic periods are considered and machine learning algorithms are applied. The findings reveal that the pandemic and monetary
policy indicators have a statistically significant and high effect on the FX rates, and the influence of independent factors on the FX rates vary according to the periods. According to the
results of the study, it is emphasized the importance of the pandemic and monetary policy measures on the FX rates because monetary policy indicators have a statistically significant
and high impact on the FX rates in Turkey for the pandemic period.

Keywords

FX rates, Machine learning algorthims, Monetary policy

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