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Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi

Author

Listed:
  • Meltem Gulenay Chadwick
  • Fatih Fazilet
  • Necati Tekatli

Abstract

The aim of this study is to determine if the common movement among the currencies of emerging market economies that implement flexible exchange rate regime after 2000 is closely related to financial variables. This common movement, which has been derived using a dynamic factor model, is introduced as a composite index of these currencies and the relationship between this index and financial variables has been investigated. The results show that the common trend of the emerging market currencies can be explained to a great extent with the help of financial variables. In this respect, including financial variables while policy making and conducting currency analysis has been underlined with this study.

Suggested Citation

  • Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2012. "Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 12(1), pages 63-74.
    • Handle: RePEc:tcb:cebare:v:12:y:2012:i:1:p:63-74
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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Central+Bank+Review/2012/Volume+12-1/
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    Keywords

    Exchange rate analysis; Emerging market economies; Dynamic factor model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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