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Makroekonomik Gostergelerin Doviz Kurlari Uzerine Etkisi

  • Pinar Ozlu
  • Deren Unalmis

[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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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. 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.
  2. 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.
  3. Selva Demiralp & Kamil Yilmaz, 2010. "Para Politikasi Beklentilerinin Sermaye Piyasalari Üzerindeki Etkisi," Koç University-TUSIAD Economic Research Forum Working Papers 1008, Koc University-TUSIAD Economic Research Forum.
  4. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 0365, European Central Bank.
  5. 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.
  6. 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.
  7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  8. Christopher J. Neely & S. Rubun Dey, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 417-464.
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