IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

A wavelet network model for analysing exchange rate effects on interest rates

Listed author(s):
  • Alper Ozun

Purpose - This research paper aims to discuss the effects of exchange rates on interest rates by using wavelet network methodology, which is a combination of wavelets and neural networks. Design/methodology/approach - The paper employs wavelet networks to analyse the relationships between the financial time series. Empirically, the research examines the effects of foreign exchanges on the interest rates in Turkish financial markets by using daily USD/TRY rates and interest rates in Turkish Lira (TRY). Findings - The results indicate that the wavelet network model is the most successful methodology among the alternatives such as Hodrick-Prescott filter, feed-forward neural network, wavelet causality, and wavelet correlation analysis in capturing the non-linear dynamics between the selected time series. Originality/value - The research results have both methodological and practical originality. On the theoretical side, the wavelet network is superior in modelling the causal linkages of the financial time series. For practical aims, on the other hand, the results show that the level of the effects of the exchange rates on the interest rates varies on the time-scale used. Wavelet networks shows that the causality relationship is strong in the short run, while the effect decreases in the mid-run.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Access to full text is restricted to subscribers

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Emerald Group Publishing in its journal Journal of Economic Studies.

Volume (Year): 37 (2010)
Issue (Month): 4 (September)
Pages: 405-418

in new window

Handle: RePEc:eme:jespps:v:37:y:2010:i:4:p:405-418
Contact details of provider: Web page:

Order Information: Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Web: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eme:jespps:v:37:y:2010:i:4:p:405-418. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.