The Effects of Turkish Central Bank's Interventions Over Currency Rate Volatility
AbstractThis study aims to identify and analyze the effects of Turkish Central Bank's interventions over currency rate volatility. US Dolar and Euro Returns of Turkish Lira between 04.01.1999 and 24.09.2008 are modelled in the study. Econometric methods used are ARFIMA-GARCH and ARFIMA-FIGARCH models. Findings obtained from model verify the presence of long memory properties, and increasing effects of Central Bank's interventions over currency volatility. According to model's findings, currency shocks have no permanent characteristic and market dynamics will return stability back to markets; therefore, Central Bank should avoid intervening currency markets.
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Bibliographic InfoArticle provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.
Volume (Year): 2 (2008)
Issue (Month): 2 ()
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Exchange Rate Volatility; Central Bank Interventions; ARFIMA-GARCH and ARFIMA-FIGARCH Models;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
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