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Makroekonomik Gostergelerin Doviz Kurlari Uzerine Etkisi

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  • Pinar Ozlu
  • Deren Unalmis

Abstract

[TR] Bu calismada gecmise donuk olarak derlenen Reuters beklenti anketi verileri ve gercek zamanli veriler kullanilarak Turkiye’de makroekonomik degiskenlere iliskin surprizlerin doviz kurlari uzerindeki etkileri 5 Ocak 2004- 18 Temmuz 2012 donemi icin incelenmistir. Bulgular, Turk lirasinin degerinin cari acik ve para politikasi surprizlerine tepki verdigini gostermektedir. [EN] In this study, we use historical Reuters surveys and real-time data in order to investigate the effect of economic fundamentals on exchange rates in Turkey for the period : January 5, 2004- July 18, 2012. The empirical evidence suggests that current account and monetary policy surprises in Turkey have been effective on daily changes in the value of the Turkish lira.

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Bibliographic Info

Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series CBT Research Notes in Economics with number 1221.

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Date of creation: 2012
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Handle: RePEc:tcb:econot:1221

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  1. Selva DEMİRALP & Kamil YILMAZ, 2010. "Para politikası beklentilerinin sermaye piyasaları üzerindeki etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 25(296), pages 9-31.
  2. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  4. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 0365, European Central Bank.
  5. Duran, Murat & Özcan, Gülserim & Özlü, Pınar & Ünalmış, Deren, 2012. "Measuring the impact of monetary policy on asset prices in Turkey," Economics Letters, Elsevier, vol. 114(1), pages 29-31.
  6. Zelal Aktas & Harun Alp & Refet Gurkaynak & Mehtap Kesriyeli & Musa Orak, 2008. "Turkiye’de Para Politikasinin Aktarimi:Para Politikasinin Mali Piyasalara Etkisi," Working Papers 0811, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
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