IDEAS home Printed from https://ideas.repec.org/a/ids/ijmefi/v15y2022i2p118-137.html
   My bibliography  Save this article

Investigating contagion effect of the recent Turkey currency crisis

Author

Listed:
  • Narinder Pal Singh
  • Suzan Dsouza

Abstract

This study empirically analyses the contagion effect of Turkey Lira crisis 2018 on the currencies of selected Asian (Indonesia, Malaysia, South Korea and India) and other six countries (Chile, Argentina, Mexico, Brazil, Russia and South Africa) using correlation and volatility analysis. The results of correlation analysis show that Turkey's lira bears a positive correlation with all the other select currencies in all the three periods; the whole period, the pre-crisis period and the post-crisis period. Almost all the correlation coefficients are significant at 1% or 5% level of significance across the crisis and have increased after the recent turkey lira crisis. From the results of volatility spillover analysis using exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, we infer that the Turkey currency crisis has affected the volatility of currencies of India, Brazil, Argentina % South Africa, and the effect being the least on the Indian rupee volatility while the maximum impact on the South African rand volatility.

Suggested Citation

  • Narinder Pal Singh & Suzan Dsouza, 2022. "Investigating contagion effect of the recent Turkey currency crisis," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 15(2), pages 118-137.
  • Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:118-137
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=124960
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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:ids:ijmefi:v:15:y:2022:i:2:p:118-137. 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: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=218 .

    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.