Abstract
Bu çalışmada, YTL/US$ döviz kuru getirisinin oynaklık (volatility) içeriği 2001 krizi sonrası dönem için 2008’in erken dönemlerine kadar incelenmektedir. Üssel GARCH (EGARCH) yöntemi kullanılarak elde edilen sonuçlar döviz kuru getirisi üzerindeki oynaklık şoklarının kalıcı olduğunu ve bu şekilde koşullu varyans tahminlerinin durgun duruma oldukça yavaş bir şekilde yakınsadığını göstermektedir. Ayrıca, döviz kuru getirisinin koşullu varyansı aynı büyüklükteki negatif ve pozitif değişikliklere farklı bir şekilde tepki göstermektedir. Haber Etki Eğrisinin (News Impact Curve) çizimi döviz kuru getirisindeki beklenmedik bir artışın beklenmedik bir azalış durumuyla karşılaştırıldığında daha fazla belirsizliğe yol açtığını ortaya koymaktadır
References
- Ağcaer, A. (2003). Dalgalı Kur Rejimi Altında Merkez Bankası Müdahalelerinin Etkinliği: Türkiye Üzerine Bir Çalışma, Uzmanlık Yeterlilik Tezi, TCMB Piyasalar Genel Müdürlüğü, Ankara, Aralık.
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- Akıncı, Ö., Çulha, O.Y., Özlale, Ü. and Şahinbeyoğlu, G. (2005a). Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy, CBRT Research Department Working Paper, 05/05.
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- Ardıç, O.P. and Selçuk, F. (2006). The Dynamics of a Newly Floating Exchange Rate: The Turkish Case, Applied Economics, 38/8, 931- 42. Bollerslev, T. (1986). Generalized Heteroskedasticity, Journal of Econometrics, 31, 307-27.
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- Enders, W. (2004). Applied Econometric Time Series, 2. ed., John Wiley & Sons, Inc.
- Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987- 1008.
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ASYMMETRIC INFORMATION CONTENT OF THE YTL/US$ EXCHANGE RATE RETURN: NEW EVIDENCE FROM THE POST- CRISIS DATA USING ARMA-EGARCH-M MODELING
Abstract
In this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be persistent so that the forecasts of the conditional variance converge to the steady state quite slowly. Besides, conditional variance of the exchange rate return reacts differently to equal magnitude negative and positive innovations. Plotting the News Impact Curve reveals that an unanticipated increase in exchange rate return would lead to more uncertainty when compared with the case of an unanticipated decrease
References
- Ağcaer, A. (2003). Dalgalı Kur Rejimi Altında Merkez Bankası Müdahalelerinin Etkinliği: Türkiye Üzerine Bir Çalışma, Uzmanlık Yeterlilik Tezi, TCMB Piyasalar Genel Müdürlüğü, Ankara, Aralık.
- Akat, A.S. (2000). The Political Economy of Turkish Economy, Journal of International Affairs, 54/1.
- Akıncı, Ö., Çulha, O.Y., Özlale, Ü. and Şahinbeyoğlu, G. (2005a). Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy, CBRT Research Department Working Paper, 05/05.
- Akıncı, Ö., Çulha, O.Y., Özlale, Ü. and Şahinbeyoğlu, G. (2005b). The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post-Crisis Period Analysis, CBRT Research Department Working Paper, 05/06.
- Ardıç, O.P. and Selçuk, F. (2006). The Dynamics of a Newly Floating Exchange Rate: The Turkish Case, Applied Economics, 38/8, 931- 42. Bollerslev, T. (1986). Generalized Heteroskedasticity, Journal of Econometrics, 31, 307-27.
- Bollerslev, T. and Wooldridge, J.M. (1992). Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, Econometric Reviews, 11, 143-72.
- Ding, Z., Granger, C.W.J. and Engle, R.F. (1993). A Long Memory Property of Stock Market Returns and a New Model, Journal of Empirical Finance, 1, 83–106.
- Domaç, İ. and Mendoza, A. (2004). Is There Room for Foreign Exchange Interventions under an Inflation Targeting Framework?, World Bank Policy Research Working Paper, No. 3288, April.
- Enders, W. (2004). Applied Econometric Time Series, 2. ed., John Wiley & Sons, Inc.
- Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987- 1008.
- Engle, R.F., Lilien, D.M., and Robins, R.P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55, 391–407.
- Ertuğrul, A. and Selçuk, F. (2002). Turkish Economy: 1980-2001, In: A. Kibritçioğlu, L. Rittenberg and F. Selçuk (eds.), Inflation and Disinflation in Turkey, Ashgate Publishing Limited, 13-40. 10
Details
| Other ID | JA25UH55HP |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | December 1, 2008 |
| Published in Issue | Year 2008 Volume: 5 Issue: 2 |