Levent, Korap (2007): Analyzing CBRT's FOREX interventions using EGARCH (2001-2006). Published in: Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi , Vol. 21, No. 2 (2007): pp. 39-54.
Download (247kB) | Preview
The post-2001 period in the Turkish economy witnessed many stabilization efforts and regulations applied by policy makers so as to eliminate the effects of the economic crisis on the economy. Dealing with the monetary policy, these policies were conducted in favor of just-in-time interventions when the volatilities in some main monetary aggregates were occurred, and foreign exchange rate market (FOREX) interventions constituted a great deal of such kind of policies. In order to examine such policy issues implemented in the Turkish economy, we try to estimate in our paper how effective were these policies, and our ex-post estimation results permitting asymmetries in policy implementation process using EGARCH estimation method of the contemporaneous econometrics reveal that these policies seem not to be effective in reducing volatilities occurred in the FX market but in accumulating reserves through purchase auctions implemented up to the very recent times of the mid-2006, although the just-after crisis interventions in the form of sale auctions, to the great extent, give support to the declared role of monetary authority in this sense.
|Item Type:||MPRA Paper|
|Original Title:||Analyzing CBRT's FOREX interventions using EGARCH (2001-2006)|
|English Title:||Analyzing CBRT's FOREX interventions using EGARCH (2001-2006)|
|Keywords:||Foreign Exchange Market ; Intervention ; EGARCH Models ; Turkish Economy ;|
|Subjects:||F - International Economics > F3 - International Finance > F31 - Foreign Exchange|
|Depositing User:||Levent Korap|
|Date Deposited:||12. Feb 2010 03:42|
|Last Modified:||13. Feb 2013 11:19|
Ağcaer, Arzu (2003), Dalgalı Kur Rejimi Altında Merkez Bankası Müdahalelerinin Etkinliği: Türkiye Üzerine Bir Çalışma, Uzmanlık Yeterlilik Tezi, TCMB Piyasalar Genel Müdürlüğü, Ankara.
Akıncı, Özge, Çulha, Olcay Yücel, Özlale,Ümit and Şahinbeyoğlu, Gülbin (2005a), “Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy”, CBRT Research Department Working Paper, 05/05.
Akıncı, Özge, Çulha, Olcay Yücel, Özlale,Ümit and Şahinbeyoğlu, Gülbin (2005b), “The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post-Crisis Period Analysis”, CBRT Research Department Working Paper, 05/06.
Akyüz, Yılmaz and Boratav, Korkut (2001), “The Making of the Turkish Financial Crisis”, Paper Presented at the Conference on ‘Financialization of the Global Economy’, PERI, University of Massachusetts, December 7-9, Amherst, Mass.
Alper, C. Emre (2001), “The Turkish Liqudity Crisis of 2000: What Went Wrong?”, Russian and East European Finance and Trade, 37/6, 51-71.
Ardıç, Oya Pınar and Selçuk, Faruk (2006), “The Dynamics of a Newly Floating Exchange Rate: The Turkish Case”, Applied Economics, 38/8, 931-942.
Bollerslev, Tim (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
Bollerslev, Tim and Wooldridge, Jeffrey (1992), “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances”, Econometric Reviews, 11, 143-172.
Canales-Kriljenko, Jorge Iván, Guimarães, Roberto F. and Karacadağ, Cem (2003), “Official Intervention in the Foreign Exvhange Market: Elements of Best Practice”, IMF Working Paper, 03/152.
Cashin, Paul and McDermott, C. John (2003), “An Unbiased Appraisal of Purchasing Power Parity”, IMF Staff Papers, 50/3, 321-351.
Central Bank of the Republic of Turkey (2001), Monetary Policy Report, November.
Central Bank of the Republic of Turkey (2002a), Monetary Policy Report, April.
Central Bank of the Republic of Turkey (2002b), Monetary Policy Report, July.
Central Bank of the Republic of Turkey (2002c), Monetary Policy Report, October.
Central Bank of the Republic of Turkey (2005a), Monetary Policy Report, 2005-I.
Central Bank of the Republic of Turkey (2005b), Monetary Policy Report, 2005-III.
Central Bank of the Republic of Turkey (2006a), Inflation Report, 2006-1.
Central Bank of the Republic of Turkey (2006b), Inflation Report, 2006-2.
Civcir, İrfan (2002), “Before the Fall was the Turkish Lira Overvalued?”, ERF Working Paper, No. 200220.
Domaç, İlker and Mendoza, Alfonso (2004), “Is There Room for Foreign Exchange Interventions under an Inflation Targeting Framework?”, World Bank Policy Research Working Paper, No. 3288, April.
Dornbusch, Rud, (2001), “A Primer on Emerging Market Crises”, NBER Working Paper, 8326, June.
Eichengreen, Barry (2001), “Crisis Preventation and Management: Any New Lessons from Argentina and Turkey?”, Background Paper Written for the World Bank’s Global Development Finance 2002, University of California, Berkeley.
Ekinc, Nazım K. and Ertürk, Korkut (2004), “Turkish Currency Crisis of 2000-1, Revisited”, CEPA Working Paper, 2004/01, January.
Ertuğrul, Ahmet and Selçuk, Faruk (2001), “A Brief Account of the Turkish Economy”, Russian and East European Finance and Trade, 37/6, 6-28.
Ertuğrul, Ahmet and Yeldan, Erinç (202), “On the Structural Weakness of the Post-1999Turkish Disinflation Program”, Turkish Studies Quarterly, 4/2, 53-67.
Fischer, Stanley (2001), “Exchange Rate Regimes: Is the Bipolar View Correct?”, Journal of Economic Perspectives, 15, 3-24.
Guimarães, Roberto F. and Karacadağ, Cem (2004), The Empirics of Foreign Exchange Intervention in Emerging Market Countries: The Case of Mexico and Turkey”, IMF Working Paper, 04/123.
Herrera, Ana Maria and Özbay, Pınar (2005), “A Dynamic Model of Central Bank Intervention”, CBRT Research Department Working Paper, 05/01.
Korap, H.Levent (2006), “An Analysis of Central Bank Interventions on FOREX Market for the post-Crisis Period”, Turkish Economic Association Discussion Paper, 2006/4.
Nelson, Daniel B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59/2, 347-370.
QMS (2004), EViews 5 User’s Guide, April.
Sarno, Lucio and Taylor, Mark P. (2001), “Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?”, Journal of Economic Literature, 39, 839-868.
Selçuk, Faruk (2005), “The Policy Challenges with Floating Exchange Rates: Turkey’s Recent Experience”, Open Economies Review, 16/3, 295-312.
Uygur, Ercan (2001), “Krizden Krize Türkiye: 2000Kasım ve 2001 Şubat Krizleri”, Türkiye Ekonomi Kurumu Tartışma Metni, 2001/1.
Yeldan, Erinç (2001), “On the IMF Directed Disinflation Program in Turkey: A Program for Stabilization and Austerity or a Recipe for Impoverishment and Financial Chaos?”, Mimeographed, Bilkent University Department of Economics, Ankara.