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Exchange Rate Risk and Interest Rate: A Case Study for Turkey

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Author Info
Hakan Berument
Asli Günay ()

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Abstract

This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001. Copyright Kluwer Academic Publishers 2003

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File URL: http://hdl.handle.net/10.1023/A:1021243101272
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Publisher Info
Article provided by Springer in its journal Open Economies Review.

Volume (Year): 14 (2003)
Issue (Month): 1 (January)
Pages: 19-27
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Handle: RePEc:kap:openec:v:14:y:2003:i:1:p:19-27

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Web page: http://www.springerlink.com/link.asp?id=100323

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Related research
Keywords: exchange rate risk interest rate GARCH Turkey

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hakan Berument, 2005. "Measuring Monetary Policy for A Small Open Economy : Turkey," Departmental Working Papers 0509, Bilkent University, Department of Economics. [Downloadable!]
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  2. Bruce S. Felmingham & Peter Mansfield, 1997. "Rationality And The Risk Premium On The Australian Dollar," International Economic Journal, Korean International Economic Association, vol. 11(3), pages 47-59, October. [Downloadable!] (restricted)
  3. Akcay, O. Cevdet & Alper, C. Emre & Karasulu, Meral, 1997. "Currency substitution and exchange rate instability: The Turkish case," European Economic Review, Elsevier, vol. 41(3-5), pages 827-835, April. [Downloadable!] (restricted)
  4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hakan Berument & M. Eray Yücel, 2005. "Return and Maturity Relationships for Treasury Auctions : Evidence from Turkey," Departmental Working Papers 0511, Bilkent University, Department of Economics. [Downloadable!]
    Other versions:
  2. Hakan Berument & N. Nergiz Dincer, 2004. "The effects of exchange rate risk on economic performance: the Turkish experience," Applied Economics, Taylor and Francis Journals, vol. 36(21), pages 2429-2441, December. [Downloadable!] (restricted)
    Other versions:
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