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Türkiye'de Merkez Bankası Müdahalelerinin Döviz Kurlarının Oynaklığına Etkileri

Yıl 2008, Cilt: 2 Sayı: 2, 77 - 112, 01.12.2008

Kaynakça

  • 1. Akıncı, Ö. – Çulha, O.Y.; Özlale, Ü. ve şahinbeyoğlu, G. (2005a). Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy. TCMB Research Department Working Paper, No: 05/05, (February).
  • 2. Ak›nc›, Ö. – Çulha, O.Y.; Özlale, Ü. ve fiahinbeyo¤lu, G. (2005b). The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post Crisis Period Analysis. TCMB Research Department Working Paper, No: 05/06, (February).
  • 3. Andersen, T. G. - Bollerslev, T. - Diebold, F. X. ve Vega, C. (2003). Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. The American Economic Review, 93(1): 38-62.
  • 4. Ayhan, D. (2006). Döviz Kuru Rejimlerinin Kur Oynakl›¤› Üzerine Etkisi: Türkiye Örne¤i. ‹ktisat, ‹flletme ve Finans Dergisi, 21(245): 64-76.
  • 5. Baillie, R. T. ve Osterberg, W.P. (1997). Why do Central Banks Intervene? Journal of International Money and Finance, 16(6): 909-919.
  • 6. Baillie, R.T. - Bollerslev T. ve Mikkelsen, H.O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 74(1): 3 – 30.
  • 7. Baillie, R.T. ve Osterberg, W.P. (1997). Central Bank Intervention and Risk in The Forward Market. Journal of International Economics, 43(3-4): 483-497.
  • 8. Beattie, N. and Fillion, J. (1999). “An Intra-day Analysis of the Effectiveness of Foreign Exchange Intervention”, Bank of Canada Working Paper, No: 99-4.
  • 9. Beine, M. - Benassy-Quere, A. and Lecourt, C. (2002). Central Bank Intervention and Foreign Exchange Rates: New Evidence from FIGARCH Estimations. Journal of International Money and Finance, 21(1): 115-144.
  • 10. Beine, M. - Laurent, S. ve Palm, F. (2004). Central Bank Forex Interventions Assessed Using Realized Moments. CORE Working Paper, No:2004/1.
  • 11. Benie, M. – Lahaye, J.; Laurent, S.; Neely, C.J. ve Palm, F.C. (2007). Central Bank Intervention and Exchange Rate Volatility Its Continious and Jump Components. Federal Reserve Bank of St. Louis Working Paper Series, No: 2006- 031C, (revised Feb. 2007).
  • 12. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3): 307–327.
  • 13. Bollerslev, T. ve Mikkelsen, H.O. (1996). Modeling and Pricing Long Memory in Stock Market Volatility. Journal of Econometrics, 73(1): 151-184.
  • 14. Bonser-Neal, C. ve Taner, G. (1996). Central Bank Intervention and the Volatility of Foreign Exchange Rates: Evidence from the Options Market. Journal of International Money and Finance, 15(6): 853-878.
  • 15. Brailsford, T. ve Fall R. (1996). An Evaluation of Volatility Forecasting Techniques. Journal of Banking and Finance 20(3): 419-438
  • 16. Brandorf-Nielsen, O. ve Shephard, N. (2004). Power and Bipower Variation with Stochastic Volatility and Jumps (with Dis-cussion). Journal of Financial Econometrics, 2(1): 1-48.
  • 17. Brandorf-Nielsen, O. ve Shephard, N. (2006). Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. Journal of Financial Econometrics, 4(1): 1-30.
  • 18. Chang, Y. and Taylor, S.J., (1998). Intra-day Effects of Foreign Exchange Intervention by the Bank of Japan. Journal of International Money and Finance, 17(1): 191–210.
  • 19. Conrad, C. ve Haag, B.R. (2006). Inequality Constraints in the Fractionally Integrated GARCH Model. Journal of Financial Econometrics, 4(3): 413-449.
  • 20. Dickey, David A. ve Wayne A. Fuller (1979). Distribution of the Estimators of Autoregressive Time Series with a Unit Root. Journal of American Statistical Association, 74(366): 427-431.
  • 21. Disyatat, P. ve Galati, G. (2007). “The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna”, Journal of International Money & Finance; 26(3): 383-402.
  • 22. Dominguez, K.M. (1990). “Market Responses to Coordinated Central Bank Intervention”, Carnegie-Rochester Conference Series on Public Policy, 32: 121- 163.
  • 23. Dominguez, K.M. (1993). Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? NBER Working Papers Series, No: 4532.
  • 24. Dominguez, K.M. (1998). Central Bank Intervention and The Exchange Rate Volatility. Journal of International Money and Finance, 17(1): 161-190.
  • 25. Dominguez, K. M. (2003). “The Market Microstructure of Central Bank Intervention”, Journal of International Economics, 59(1), 25-45.
  • 26. Dominguez, K. M. (2006). When Do Central Bank Interventions Influence Intradaily and Longer-Term Exchange Rate Movements. Journal of International Money and Finance, 25(7): .1051-1071.
  • 27. Dursun, G. ve Bozkurt, H. (2007). Reel Döviz Kurunun GARCH Modeli ile Tahmini ve Yabanc› Do¤rudan Yat›r›m ‹liflkisi: Türkiye Analizi. 8. Türkiye Ekonometri ve ‹statistik Kongresi, 24-25 May›s 2007, ‹nönü Üniversitesi, Malatya.
  • 28. Edison, H.J. (1993). The Effectiveness of Central Bank Intervention: A Survey of The Literature After 1982. Special Papers in International Economics, No: 18 July (Department of Economics, Princeton University).
  • 29. Engle, R.F., (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4): 987-1007.
  • 30. Engle, R.F. ve Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Review, 5(1): 1-50.
  • 31. Engle, R. ve Gonzalez-Rivera, G. (1991). Semiparametric ARCH Models. Journal of Business and Economic Statistics, 9(4): 345-359.
  • 32. Engle, R. ve Sheppard, K. (2001). Theoretical and Empirical Properties of dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper, No: 8554. 33. Fatum, R. and King, M. (2005), “Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data”, SCCIE Working Paper, No: 04-24.
  • 34. Fatum, R. ve Hutchison, M. (2006). “Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan”, Journal of International Money and Finance; 25(2): 199-219.
  • 35. Figlewski, S. (1997). Forecasting Volatility. Financial Markets, Institutions & Investment 6(1): 1-88.
  • 36. Fischer, A., ve Zurlinden, M. (1999). Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices. Economic Journal, 109(458): 662-676.
  • 37. Frankel, J. ve Dominguez K. (1993). Does Foreign Exchange Intervention Matter? The Portfolio Effect. American Economic Review, 83(5): 1356-1369.
  • 38. Frankel, J. ve Dominguez K. (1993). Foreign Exchange Intervention: An Empirical Assessment. On Exchange Rates. (Ed.) J. Frankel, Cambridge: MIT Press.: 327-345.
  • 39. Frenkel, M. - Pierdzioch, C. ve Stadtmann, G. (2005), “The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility”, International Review of Economics and Finance, 14(1): 27-39.
  • 40. Galati, G. ve Melick, W. (1999). Central Bank Intervention and Market Expectations: An Empirical Study of the YEN/Dollar Exchange Rate, 1993-1996. BIS Working Paper, No: 77.
  • 41. Granger, C. W. J. and Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing, Journal of Time Series Analysis, 1(1): 15-39.
  • 42. Granger, C. W. J. (1980). Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics, 25(2): 227-238.
  • 43. Hafner, C.M. ve Herwartz, H. (2006). “Volatility Impulse Responses for Multivariate GARCH Models: An Exchange Rate Illustration”, Journal of International Money and Finance, 25(5): 719-740.
  • 44. Herrera, A.M. ve Özbay, P. (2005). A Dynamic Model of Central Bank Intervention. TCMB Research Department Working Paper, No: 05/01, (January).
  • 45. Hosking, J.R.M. (1981). Fractional Differencing. Biometrica, 68(1): 165-76.
  • 46. Huang, Z. ve Neun, S. (2006), “The Effectiveness of Fed Intervention on the USD/DM Foreign Exchange Market”, Global Economy Journal, 6(2): 1135-1135.
  • 47. Humpage, O. F. (2003). Government Intervention in the Foreign Exchange Market. Federal Reserve Bank of Cleveland Working Paper, No:03-15.
  • 48. Hwang, S. ve Pereira, P.L.V. (2006). Small Sample Properties of GARCH Estimates and Persistence. The European Journal of Finance, 12(6-7): 473-494.
  • 49. Kahyao¤lu, H. ve Abuk Duygulu, A. (2005). Finansal Varl›k Fiyatlar›ndaki De¤iflme – Parasal Büyüklükler Etkileflimi. D.E.Ü. ‹.‹.B.F. Dergisi, 20(1): 63-85.
  • 50. Kaminsky, G.L. ve Lewis, K. (1996). Does Foreign Exchange Intervention Signal Future Monetary Policy? Journal of Monetary Economics, 37(2): 285-312.
  • 51. Kim, S. ve Sheen, J. (2006). “Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume”, Journal of Banking and Finance; 30(11): 3191-3214.
  • 52. Klaassen, F. (2002). Improving GARCH Volatility Forecasts with RegimeSwitching GARCH. Empirical Economics, 27(2): 363-394.
  • 53. Klein, M.W. ve Rosengren, E.S. (1991). “Foreign Exchange Intervention as a Signal of Monetary Policy”, Federal Reserve Bank of Boston, New England Economic Review, May: 39-50.
  • 54. Kutlar, A. ve Turgut, T. (2006). Türkiye’de Bafll›ca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirli¤i. KOÜ Sosyal Bilimler Enstitüsü Dergisi, 11(1): 120-149.
  • 55. Kwiatkowski D. – Phillips, P.C.B., Schmidt, P. ve Shin, Y. (1992). “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?” Journal of Econometrics, 54(1-3):159-178.
  • 56. LeBaron, B. (1996). Technical Trading Rule Profitability and Foreign Exchange Intervention. NBER Working Papers No: 5505.
  • 57. MacKinnon, James G. (1991). Critical Values for Cointegration Tests. Long-run Economic Relationships: Reading in Cointegration, (Ed.) R.F. Engle and C.W.J. Granger, Oxford University Press.: 267-276.
  • 58. MacKinnon, James G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics, Vol. 11(6): 601-618.
  • 59. Michael W.K. ve Rosengren, E.S., (1991). Foreign Exchange Intervention as a Signal of Monetary Policy. New England Economic Review, Federal Reserve Bank of Boston, May: 39-50.
  • 60. Nagayasu, J. (2004). “The Effectiveness of Japanese Foreign Exchange Interventions during 1991-2001”, Economics Letters, 84(3): 377-381.
  • 61. Nelson, D.B. ve Cao, C.Q. (1992). Inequality Constraints in Univariate GARCH Model. Journal of Business and Economics Statistics, 10(2): 229-235.
  • 62. Neely, C.J. (2005b). Identifying the Effect of US Interventions on the Level of Exchange Rates. Federal Reserve Bank of Saint Louis Working Paper, No: 2005- 031B.
  • 63. Noomen, A.A. –Amed G. ve Abdelwed T., (2003). The Reserve Bank of Australia Intervention: Exchange Rate Volatility from a FIGARCH Modelling. High Institute of Management BESTMOD Working Papers, No: 03-02 (http://papers.ssrn.com-ol3/papers.cfm? abstract_id=460120).
  • 64. Özçam, M. (2004). Döviz Kuru Politikalar› ve Türkiye’de Döviz Kuru Oynakl›¤›n›n Etkileflimleri. SPK Araflt›rma Raporu, Ankara: SPK Araflt›rma Dairesi.
  • 65. Özçam, M. (2005). Türkiye’de Üç Finansal Varl›¤a (Kamu Ka¤›tlar›, Hisse Senetleri ve Dövize) Dayal› Fiyatlama Modeli. SPK Araflt›rma Raporu, Ankara: SPK Araflt›rma Dairesi.
  • 66. Pasquariello, P. (2007), “Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions”, Journal of Financial Markets, 10(2): 107-143.
  • 67. Payne, R. ve Vitale, P. (2003), “A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates”, Journal of International Economics, 61: 331-352.
  • 68. Phillips, P.C.B. ve Peron, P. (1988). “Testing for a Unit Root in the Time Series Regressions”, Biometrika, 75(2): 335-346.
  • 69. Pilbeam, K. (2005). “The Relative Effectiveness of Sterilized and Non Sterilized Foreign Exchange Market Interventions”, Journal of Policy Modeling, 27(3): 375-383.
  • 70. Scalia, A. (2008), “Is Foreign Exchange Intervention Effective? Some Microanalytical Evidence from the Czech Republic”, Journal of International Money and Finance; 27(4): 529-546.
  • 71. Suardi, S. (2008), “Central Bank Intervention, Threshold Effects and Asymmetric Volatility: Evidence from the Japanese Yen–US Dollar Foreign Exchange Market”, Economic Modelling, 25(4): 628-642.
  • 72. Takeshi, H. (2008). “Does Foreign Exchange Intervention Reduces the Exchange Rate Volatility?”, Applied Financial Economics Letters, 4(3): 221-224.
  • 73. Tapia, Matias ve Tokman, Andrea. (2004). “Effects of Foreign Exchange Intervention under Public Information: The Chilean Case”, Journal of Latin American Studies; 4(2): 215-256.
  • 74. TCMB. (1999). “2000 Y›l› Enflasyonu Düflürme Program›: Kur ve Para Politikas› Uygulamas›”, 9 Aral›k 1999, TCMB.
  • 75. TCMB (2004). “2005 Y›l›nda Para ve Kur Politikas›”, 20 Aral›k 2004, TCMB.
  • 76. TCMB (2007). “2008 Y›l›nda Para ve Kur Politikas›”, 18 Aral›k 2007, TCMB.
  • 77. Türky›lmaz, S. ve Özer, M. (2007). Türkiye’de Döviz Kuru Oynakl›¤›n›n Uzun Haf›za Özelliklerinin Analizi. ‹ktisat, ‹flletme ve Finans Dergisi, 22(259): 99-113.
  • 78. Vilasuso, J. (2002). Forecasting Exchange Rate Volatility. Economics Letters, 76(1): 59 – 64.
  • 79. West, K. ve Cho D. (1995). The Predictive Ability of Several Models of Exchange Rate Volatility. Journal of Econometrics, 69(2): 367-391.
  • 80. Zumbach, G. (2004). Volatility Processes and Volatility Forecast with Long Memory. Quantitative Finance, 4(1): 70 – 86.

The Effects of Turkish Central Bank's Interventions Over Currency Rate Volatility

Yıl 2008, Cilt: 2 Sayı: 2, 77 - 112, 01.12.2008

Kaynakça

  • 1. Akıncı, Ö. – Çulha, O.Y.; Özlale, Ü. ve şahinbeyoğlu, G. (2005a). Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy. TCMB Research Department Working Paper, No: 05/05, (February).
  • 2. Ak›nc›, Ö. – Çulha, O.Y.; Özlale, Ü. ve fiahinbeyo¤lu, G. (2005b). The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post Crisis Period Analysis. TCMB Research Department Working Paper, No: 05/06, (February).
  • 3. Andersen, T. G. - Bollerslev, T. - Diebold, F. X. ve Vega, C. (2003). Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. The American Economic Review, 93(1): 38-62.
  • 4. Ayhan, D. (2006). Döviz Kuru Rejimlerinin Kur Oynakl›¤› Üzerine Etkisi: Türkiye Örne¤i. ‹ktisat, ‹flletme ve Finans Dergisi, 21(245): 64-76.
  • 5. Baillie, R. T. ve Osterberg, W.P. (1997). Why do Central Banks Intervene? Journal of International Money and Finance, 16(6): 909-919.
  • 6. Baillie, R.T. - Bollerslev T. ve Mikkelsen, H.O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 74(1): 3 – 30.
  • 7. Baillie, R.T. ve Osterberg, W.P. (1997). Central Bank Intervention and Risk in The Forward Market. Journal of International Economics, 43(3-4): 483-497.
  • 8. Beattie, N. and Fillion, J. (1999). “An Intra-day Analysis of the Effectiveness of Foreign Exchange Intervention”, Bank of Canada Working Paper, No: 99-4.
  • 9. Beine, M. - Benassy-Quere, A. and Lecourt, C. (2002). Central Bank Intervention and Foreign Exchange Rates: New Evidence from FIGARCH Estimations. Journal of International Money and Finance, 21(1): 115-144.
  • 10. Beine, M. - Laurent, S. ve Palm, F. (2004). Central Bank Forex Interventions Assessed Using Realized Moments. CORE Working Paper, No:2004/1.
  • 11. Benie, M. – Lahaye, J.; Laurent, S.; Neely, C.J. ve Palm, F.C. (2007). Central Bank Intervention and Exchange Rate Volatility Its Continious and Jump Components. Federal Reserve Bank of St. Louis Working Paper Series, No: 2006- 031C, (revised Feb. 2007).
  • 12. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3): 307–327.
  • 13. Bollerslev, T. ve Mikkelsen, H.O. (1996). Modeling and Pricing Long Memory in Stock Market Volatility. Journal of Econometrics, 73(1): 151-184.
  • 14. Bonser-Neal, C. ve Taner, G. (1996). Central Bank Intervention and the Volatility of Foreign Exchange Rates: Evidence from the Options Market. Journal of International Money and Finance, 15(6): 853-878.
  • 15. Brailsford, T. ve Fall R. (1996). An Evaluation of Volatility Forecasting Techniques. Journal of Banking and Finance 20(3): 419-438
  • 16. Brandorf-Nielsen, O. ve Shephard, N. (2004). Power and Bipower Variation with Stochastic Volatility and Jumps (with Dis-cussion). Journal of Financial Econometrics, 2(1): 1-48.
  • 17. Brandorf-Nielsen, O. ve Shephard, N. (2006). Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. Journal of Financial Econometrics, 4(1): 1-30.
  • 18. Chang, Y. and Taylor, S.J., (1998). Intra-day Effects of Foreign Exchange Intervention by the Bank of Japan. Journal of International Money and Finance, 17(1): 191–210.
  • 19. Conrad, C. ve Haag, B.R. (2006). Inequality Constraints in the Fractionally Integrated GARCH Model. Journal of Financial Econometrics, 4(3): 413-449.
  • 20. Dickey, David A. ve Wayne A. Fuller (1979). Distribution of the Estimators of Autoregressive Time Series with a Unit Root. Journal of American Statistical Association, 74(366): 427-431.
  • 21. Disyatat, P. ve Galati, G. (2007). “The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna”, Journal of International Money & Finance; 26(3): 383-402.
  • 22. Dominguez, K.M. (1990). “Market Responses to Coordinated Central Bank Intervention”, Carnegie-Rochester Conference Series on Public Policy, 32: 121- 163.
  • 23. Dominguez, K.M. (1993). Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? NBER Working Papers Series, No: 4532.
  • 24. Dominguez, K.M. (1998). Central Bank Intervention and The Exchange Rate Volatility. Journal of International Money and Finance, 17(1): 161-190.
  • 25. Dominguez, K. M. (2003). “The Market Microstructure of Central Bank Intervention”, Journal of International Economics, 59(1), 25-45.
  • 26. Dominguez, K. M. (2006). When Do Central Bank Interventions Influence Intradaily and Longer-Term Exchange Rate Movements. Journal of International Money and Finance, 25(7): .1051-1071.
  • 27. Dursun, G. ve Bozkurt, H. (2007). Reel Döviz Kurunun GARCH Modeli ile Tahmini ve Yabanc› Do¤rudan Yat›r›m ‹liflkisi: Türkiye Analizi. 8. Türkiye Ekonometri ve ‹statistik Kongresi, 24-25 May›s 2007, ‹nönü Üniversitesi, Malatya.
  • 28. Edison, H.J. (1993). The Effectiveness of Central Bank Intervention: A Survey of The Literature After 1982. Special Papers in International Economics, No: 18 July (Department of Economics, Princeton University).
  • 29. Engle, R.F., (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4): 987-1007.
  • 30. Engle, R.F. ve Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Review, 5(1): 1-50.
  • 31. Engle, R. ve Gonzalez-Rivera, G. (1991). Semiparametric ARCH Models. Journal of Business and Economic Statistics, 9(4): 345-359.
  • 32. Engle, R. ve Sheppard, K. (2001). Theoretical and Empirical Properties of dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper, No: 8554. 33. Fatum, R. and King, M. (2005), “Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data”, SCCIE Working Paper, No: 04-24.
  • 34. Fatum, R. ve Hutchison, M. (2006). “Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan”, Journal of International Money and Finance; 25(2): 199-219.
  • 35. Figlewski, S. (1997). Forecasting Volatility. Financial Markets, Institutions & Investment 6(1): 1-88.
  • 36. Fischer, A., ve Zurlinden, M. (1999). Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices. Economic Journal, 109(458): 662-676.
  • 37. Frankel, J. ve Dominguez K. (1993). Does Foreign Exchange Intervention Matter? The Portfolio Effect. American Economic Review, 83(5): 1356-1369.
  • 38. Frankel, J. ve Dominguez K. (1993). Foreign Exchange Intervention: An Empirical Assessment. On Exchange Rates. (Ed.) J. Frankel, Cambridge: MIT Press.: 327-345.
  • 39. Frenkel, M. - Pierdzioch, C. ve Stadtmann, G. (2005), “The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility”, International Review of Economics and Finance, 14(1): 27-39.
  • 40. Galati, G. ve Melick, W. (1999). Central Bank Intervention and Market Expectations: An Empirical Study of the YEN/Dollar Exchange Rate, 1993-1996. BIS Working Paper, No: 77.
  • 41. Granger, C. W. J. and Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing, Journal of Time Series Analysis, 1(1): 15-39.
  • 42. Granger, C. W. J. (1980). Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics, 25(2): 227-238.
  • 43. Hafner, C.M. ve Herwartz, H. (2006). “Volatility Impulse Responses for Multivariate GARCH Models: An Exchange Rate Illustration”, Journal of International Money and Finance, 25(5): 719-740.
  • 44. Herrera, A.M. ve Özbay, P. (2005). A Dynamic Model of Central Bank Intervention. TCMB Research Department Working Paper, No: 05/01, (January).
  • 45. Hosking, J.R.M. (1981). Fractional Differencing. Biometrica, 68(1): 165-76.
  • 46. Huang, Z. ve Neun, S. (2006), “The Effectiveness of Fed Intervention on the USD/DM Foreign Exchange Market”, Global Economy Journal, 6(2): 1135-1135.
  • 47. Humpage, O. F. (2003). Government Intervention in the Foreign Exchange Market. Federal Reserve Bank of Cleveland Working Paper, No:03-15.
  • 48. Hwang, S. ve Pereira, P.L.V. (2006). Small Sample Properties of GARCH Estimates and Persistence. The European Journal of Finance, 12(6-7): 473-494.
  • 49. Kahyao¤lu, H. ve Abuk Duygulu, A. (2005). Finansal Varl›k Fiyatlar›ndaki De¤iflme – Parasal Büyüklükler Etkileflimi. D.E.Ü. ‹.‹.B.F. Dergisi, 20(1): 63-85.
  • 50. Kaminsky, G.L. ve Lewis, K. (1996). Does Foreign Exchange Intervention Signal Future Monetary Policy? Journal of Monetary Economics, 37(2): 285-312.
  • 51. Kim, S. ve Sheen, J. (2006). “Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume”, Journal of Banking and Finance; 30(11): 3191-3214.
  • 52. Klaassen, F. (2002). Improving GARCH Volatility Forecasts with RegimeSwitching GARCH. Empirical Economics, 27(2): 363-394.
  • 53. Klein, M.W. ve Rosengren, E.S. (1991). “Foreign Exchange Intervention as a Signal of Monetary Policy”, Federal Reserve Bank of Boston, New England Economic Review, May: 39-50.
  • 54. Kutlar, A. ve Turgut, T. (2006). Türkiye’de Bafll›ca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirli¤i. KOÜ Sosyal Bilimler Enstitüsü Dergisi, 11(1): 120-149.
  • 55. Kwiatkowski D. – Phillips, P.C.B., Schmidt, P. ve Shin, Y. (1992). “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?” Journal of Econometrics, 54(1-3):159-178.
  • 56. LeBaron, B. (1996). Technical Trading Rule Profitability and Foreign Exchange Intervention. NBER Working Papers No: 5505.
  • 57. MacKinnon, James G. (1991). Critical Values for Cointegration Tests. Long-run Economic Relationships: Reading in Cointegration, (Ed.) R.F. Engle and C.W.J. Granger, Oxford University Press.: 267-276.
  • 58. MacKinnon, James G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics, Vol. 11(6): 601-618.
  • 59. Michael W.K. ve Rosengren, E.S., (1991). Foreign Exchange Intervention as a Signal of Monetary Policy. New England Economic Review, Federal Reserve Bank of Boston, May: 39-50.
  • 60. Nagayasu, J. (2004). “The Effectiveness of Japanese Foreign Exchange Interventions during 1991-2001”, Economics Letters, 84(3): 377-381.
  • 61. Nelson, D.B. ve Cao, C.Q. (1992). Inequality Constraints in Univariate GARCH Model. Journal of Business and Economics Statistics, 10(2): 229-235.
  • 62. Neely, C.J. (2005b). Identifying the Effect of US Interventions on the Level of Exchange Rates. Federal Reserve Bank of Saint Louis Working Paper, No: 2005- 031B.
  • 63. Noomen, A.A. –Amed G. ve Abdelwed T., (2003). The Reserve Bank of Australia Intervention: Exchange Rate Volatility from a FIGARCH Modelling. High Institute of Management BESTMOD Working Papers, No: 03-02 (http://papers.ssrn.com-ol3/papers.cfm? abstract_id=460120).
  • 64. Özçam, M. (2004). Döviz Kuru Politikalar› ve Türkiye’de Döviz Kuru Oynakl›¤›n›n Etkileflimleri. SPK Araflt›rma Raporu, Ankara: SPK Araflt›rma Dairesi.
  • 65. Özçam, M. (2005). Türkiye’de Üç Finansal Varl›¤a (Kamu Ka¤›tlar›, Hisse Senetleri ve Dövize) Dayal› Fiyatlama Modeli. SPK Araflt›rma Raporu, Ankara: SPK Araflt›rma Dairesi.
  • 66. Pasquariello, P. (2007), “Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions”, Journal of Financial Markets, 10(2): 107-143.
  • 67. Payne, R. ve Vitale, P. (2003), “A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates”, Journal of International Economics, 61: 331-352.
  • 68. Phillips, P.C.B. ve Peron, P. (1988). “Testing for a Unit Root in the Time Series Regressions”, Biometrika, 75(2): 335-346.
  • 69. Pilbeam, K. (2005). “The Relative Effectiveness of Sterilized and Non Sterilized Foreign Exchange Market Interventions”, Journal of Policy Modeling, 27(3): 375-383.
  • 70. Scalia, A. (2008), “Is Foreign Exchange Intervention Effective? Some Microanalytical Evidence from the Czech Republic”, Journal of International Money and Finance; 27(4): 529-546.
  • 71. Suardi, S. (2008), “Central Bank Intervention, Threshold Effects and Asymmetric Volatility: Evidence from the Japanese Yen–US Dollar Foreign Exchange Market”, Economic Modelling, 25(4): 628-642.
  • 72. Takeshi, H. (2008). “Does Foreign Exchange Intervention Reduces the Exchange Rate Volatility?”, Applied Financial Economics Letters, 4(3): 221-224.
  • 73. Tapia, Matias ve Tokman, Andrea. (2004). “Effects of Foreign Exchange Intervention under Public Information: The Chilean Case”, Journal of Latin American Studies; 4(2): 215-256.
  • 74. TCMB. (1999). “2000 Y›l› Enflasyonu Düflürme Program›: Kur ve Para Politikas› Uygulamas›”, 9 Aral›k 1999, TCMB.
  • 75. TCMB (2004). “2005 Y›l›nda Para ve Kur Politikas›”, 20 Aral›k 2004, TCMB.
  • 76. TCMB (2007). “2008 Y›l›nda Para ve Kur Politikas›”, 18 Aral›k 2007, TCMB.
  • 77. Türky›lmaz, S. ve Özer, M. (2007). Türkiye’de Döviz Kuru Oynakl›¤›n›n Uzun Haf›za Özelliklerinin Analizi. ‹ktisat, ‹flletme ve Finans Dergisi, 22(259): 99-113.
  • 78. Vilasuso, J. (2002). Forecasting Exchange Rate Volatility. Economics Letters, 76(1): 59 – 64.
  • 79. West, K. ve Cho D. (1995). The Predictive Ability of Several Models of Exchange Rate Volatility. Journal of Econometrics, 69(2): 367-391.
  • 80. Zumbach, G. (2004). Volatility Processes and Volatility Forecast with Long Memory. Quantitative Finance, 4(1): 70 – 86.
Toplam 79 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

K. Batu Tunay Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2008
Yayımlandığı Sayı Yıl 2008 Cilt: 2 Sayı: 2

Kaynak Göster

APA Tunay, K. B. (2008). Türkiye’de Merkez Bankası Müdahalelerinin Döviz Kurlarının Oynaklığına Etkileri. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 2(2), 77-112.