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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.

Suggested Citation

  • Pinar Ozlu & Deren Unalmis, 2012. "Makroekonomik Gostergelerin Doviz Kurlari Uzerine Etkisi," CBT Research Notes in Economics 1221, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:econot:1221
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    References listed on IDEAS

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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. Selva DEMİRALP & Kamil YILMAZ, 2010. "Para politikası beklentilerinin sermaye piyasaları üzerindeki etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 25(296), pages 9-31.
    3. 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.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Zelal AKTAŞ & Harun ALP & Refet GÜRKAYNAK & Mehtap KESRİYELİ & Musa ORAK, 2009. "Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(278), pages 9-24.
    6. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    7. 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.
    8. Ehrmann, Michael & Fratzscher, Marcel, 2005. "Exchange rates and fundamentals: new evidence from real-time data," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 317-341, March.
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