“New” monetary policy instruments and exchange rate volatility

详细信息    查看全文

• 作者：Cüneyt Akar ; Serkan Çiçek
• 关键词：Reserve option mechanism ; Volatility models ; SWARCH ; Turkish economy ; C32 ; E52 ; E58
• 刊名：Documenta Opthalmologica
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：43
• 期：1
• 页码：141-165
• 全文大小：1,587 KB
• 参考文献：Akar Cüneyt (2006) Finansal Piyasalarda Krizlerin ve Takvimsel Faktörlerin Volatilite ve Getiri Üzerine Etkisi. İşletme Finans Dergisi, Eylül
  Alper K, Kara H, Yörükoğlu M (2013a) Reserve options mechanism. Cent Bank Rev 13:1–14
  Alper K, Kara H, Yörükoğlu M (2013a) Alternative tools to manage capital flow volatility. Central Bank Working Papers, no: 13/31, pp 1–18
  Bansal R (1997) An exploration of the forward premium puzzle in currency markets. Rev Financ Stud 10:369–403CrossRef
  Başçı E (2010) Financial stability and the Central Bank, presentation at the Turkish Economic Association Panel on capital movements and exchange rate policies, December, Ankara
  Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econ 31:307–327CrossRef
  Bruno V, Shin HS (2013) Capital flows and the risk-taking channel of monetary policy. No. w18942. National Bureau of Economic Research
  Çağlayan E, Dayıoğlu T (2009) Döviz kuru getiri volatitesinin koşullu değişen varyans modelleri ile öngörüsü. Ekonometri ve İstatistik Dergisi 9:1–16
  Cai J (1994) A markov model of switching-regime ARCH. J Bus Econ Stat 12(3):309–316
  Çiçek S (2012) Globalization and flattening of Phillips curve in Turkey between 1987 and 2007. Econ Model 29(5):1655–1661CrossRef
  Çiçek S (2014) The Turkish Economic Conundrum, The Vienna Institute for International Economic Studies (wiiw), Monthly Report, September 2014, pp 5–8
  Çiçek S, Akar C (2013) The asymmetry of inflation adjustment in Turkey. Econ Model 31(1):104–118CrossRef
  Çiçek S, Boz C (2013) A new test of exchange rate pass-through in a small-open economy: evidence from asymmetric ARDL bounds approach. İktisat İşletme ve Finans 28(333):43–64
  Domaç I, Mendoza A (2004) Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey. World Bank Policy Research Working Paper, no: 3288
  Engel C (1996) The forward discount anomaly and the risk premium: a survey of recent evidence. J Empir Finance 3:123–191CrossRef
  Ermişoğlu E, Oduncu A, Akçelik Y (2013) Rezerv Opsiyonu Mekanizması ve Kur Oynaklığı. CBT Res Notes Econ 1304:1–8
  Guimarães R, Karacadag C (2004) The empirics of foreign exchange intervention in emerging market countries: the cases of Mexico and Turkey. IMF Working Paper, no: 04/123
  Güloğlu B, Akman A (2007) Türkiye’de Döviz Kuru Oynaklığının SWARCH Yöntemi İle Analizi. Finans Politik ve Ekonomik Yorumlar 44(512):43–51
  Hamilton JD, Susmel R (1994) Autoregressive conditional heteroskedasticity and changes in regime. J Econ 64(1):307–333CrossRef
  Inclán C, Tiao G (1994) Use of cumulative sums of squares for retrospective detection of changes of variance. J Am Stat Assoc 89(427):913–923
  Kara H (2011) Monetary policy under global imbalances: the Turkish experience. Speech at the BIS chief economists’ meeting, pp 1–11
  Kara H, Öğünç F (2011) Döviz Kuru ve Yurtiçi Fiyatlara Etkisi. İktisat İşletme ve Finans 317(27):9–28
  Lamoureux CG, Lastrapes WD (1993) Forecasting stock-return variance: toward an understanding of stochastic implied volatilities. Rev Financ Stud 6(2):293–326CrossRef
  Mimir Y, Sunel E, Taşkın T (2012) Required reserves as a credit policy tool. Central Bank Working Papers, no: 12/24, pp 1–37
  Nelson DB (1991) Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59(2):347–370CrossRef
  Oduncu A (2011) The effects of currency futures trading on Turkish currency market. J BRSA Bank Financ Mark 5(1):97–109
  Sansó A, Aragó V, Carrion-i-Silvestre JL (2004) Testing for changes in the unconditional variance of financial time series. Rev Econ Financ 4:32–53
  Şen B (2009) Asymmetric behavior of exchange rate pass through in Turkey. Unpublished Master Thesis, September 2009, Ankara
  Uysal D, Özşahin Ş (2012) Reel Efektif Döviz Kuru Endeksi Volatilitesinin ARCH ve GARCH Modelleri ile Tahmini. Anadolu Üniversitesi Sosyal Bilimler Dergisi 12(1):13–20
  
• 作者单位：Cüneyt Akar (1)
  Serkan Çiçek (2) (3)
  
  1. Department of Business Administration, FEAS, Bandirma Onyedi Eylul University, 10230, Bandirma, Balikesir, Turkey
  2. Department of Economics and Finance, FBF, Mugla Sitki Kocman University, Taskaya Mah, 48300, Fethiye, Mugla, Turkey
  3. Research Department, The Vienna Institute for International Economic Studies, Rahlgasse 3, 1060, Vienna, Austria
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Industrial Organization
  International Economics
  Political Science
  Economic Growth
  
• 出版者：Springer Netherlands
• ISSN：1573-6911

文摘

Turkish economy has been suffering from rises in financial flows since the last two decades that these flows have raised financial stability challenges across emerging economies including Turkey. Regarding the ability of the central banks to decrease the financial risks including volatile exchange rate, the Central Bank of the Republic of Turkey has designed and implemented a new policy mix. In this study, we investigated the effect of new policy instruments (IRC, RRR and ROM) on the volatilities of US dollar, euro, British pound and basket rate for Turkish economy between January 2, 2002 and December 9, 2014 by using ARMA-GARCH, ARMA-EGARCH and SWARCH models. From the estimation results, we could not reach enough evidence that the IRC and RRR instruments could decrease the volatilities of exchange rates under investigation while the ROM instrument was successful, especially on US dollar and basket rate. We also found strong evidence in favour of asymmetric volatility, indicating that the positive shocks led to greater exchange rate volatility than negative ones. Keywords Reserve option mechanism Volatility models SWARCH Turkish economy