IDEAS home Printed from https://ideas.repec.org/a/cbk/journl/v11y2022i3p155-178.html
   My bibliography  Save this article

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED's Tapering Period

Author

Listed:
  • Erkan Demirbas

    (Department of Accountancy, Finance, and Economics, University of Lincoln, UK)

  • Nurettin Can

    (Department of Economics, Vistula University, Warsaw, Poland and Nile University of Nigeria)

Abstract

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013- 2014. We construct four Models where four different variables are separately used that represent the ROM tool, i.e. the amount of FX reserves of CBRT via ROM, and the share of the FX reserves via ROM in Gross FX Reserves of CBRT. Our findings are convincing to say FX facility and the ratio of utilization for the FX facility to ensure the results are statistically meaningful during this period.

Suggested Citation

  • Erkan Demirbas & Nurettin Can, 2022. "Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED's Tapering Period," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(3), pages 155-178.
    • Handle: RePEc:cbk:journl:v:11:y:2022:i:3:p:155-178
    as

    Download full text from publisher

    File URL: http://www.cbcg.me/repec/cbk/journl/vol11no3-8.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Reserve Options Mechanism; Exchange Rate Volatility; Turkish Lira; Tapering; GARCH.;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbk:journl:v:11:y:2022:i:3:p:155-178. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cbmgvme.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.