Modeling Exchange Rate Volatility in Türkiye: An Empirical Research
JOURNAL OF ECONOMIC POLICY RESEARCHES-IKTISAT POLITIKASI ARASTIRMALARI DERGISI, cilt.10, sa.2, 2023 (ESCI, TRDizin)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 10 Sayı: 2
- Basım Tarihi: 2023
- Doi Numarası: 10.26650/jepr1217028
- Dergi Adı: JOURNAL OF ECONOMIC POLICY RESEARCHES-IKTISAT POLITIKASI ARASTIRMALARI DERGISI
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
- İstanbul Üniversitesi Adresli: Evet
Özet
Exchange rate volatility is a concept that corresponds to the fluctuations around the equilibrium value of the exchange rate and is the main source of exchange rate risk as it adversely affects many variables that can disrupt macroeconomic stability, especially international trade, investments, and capital flows. In this context, empirical estimation and measurement of exchange rate volatility is an issue that needs to be emphasized in terms of its widespread economic effects. The effects of exchange rate volatility on basic macroeconomic variables have created a wide range of research, thus laying the groundwork for a very rich theoretical and empirical literature. This study estimates the volatility in T & uuml;rkiye using the Autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) modeling techniques alongside effective exchange rate data for the period of 2003-2022. According to the obtained findings, the study has concluded the GARCH(1,1) model to be the most appropriate model for estimating exchange rate volatility in T & uuml;rkiye