Levent, Korap (2007): Information content of exchange rate volatility: Turkish experience. Published in: International Business and Economics Research Journal , Vol. 6, No. 2 (2007): pp. 9-14.
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This study constructs an empirical model of the volatility of the TL/US$ exchange rate for the Turkish economy during the post-2001 crisis period ending on August 2006. Employing the Exponential GARCH (EGARCH) estimation methodology of econometrics, we find that the volatility of a given shock to the exchange rate is highly persistent and the successive forecasts of the conditional variance converge to the steady state quite slowly. In addition, the conditional variance of the exchange rate reacts differently to a given negative shock than to a positive shock with equal magnitude. The plot of the News Impact Curve indicates that a foreign investor would face a higher uncertainty when there is an unanticipated increase in the exchange rate when compared to an unanticipated decrease.
|Item Type:||MPRA Paper|
|Original Title:||Information content of exchange rate volatility: Turkish experience|
|English Title:||Information content of exchange rate volatility: Turkish experience|
|Keywords:||Exchange Rate Volatility ; News Impact ; Turkish Economy|
|Subjects:||C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Levent Korap|
|Date Deposited:||27. Dec 2009 09:57|
|Last Modified:||12. Feb 2013 05:47|
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