Analyzing CBRT's FOREX interventions using EGARCH (2001-2006)

The post-2001 period in the Turkish economy witnessed many stabilization efforts and regulations applied by policy makers so as to eliminate the effects of the economic crisis on the economy. Dealing with the monetary policy, these policies were conducted in favor of just-in-time interventions when the volatilities in some main monetary aggregates were occurred, and foreign exchange rate market (FOREX) interventions constituted a great deal of such kind of policies. In order to examine such policy issues implemented in the Turkish economy, we try to estimate in our paper how effective were these policies, and our ex-post estimation results permitting asymmetries in policy implementation process using EGARCH estimation method of the contemporaneous econometrics reveal that these policies seem not to be effective in reducing volatilities occurred in the FX market but in accumulating reserves through purchase auctions implemented up to the very recent times of the mid-2006, although the just-after crisis interventions in the form of sale auctions, to the great extent, give support to the declared role of monetary authority in this sense.