On asymmetry effects of exchange rate volatility in Turkey

In this paper, we examine the issue of volatility for both official and black market exchange rates of the Turkish lira using the monthly exchange rate against the US dollar for the period 1969-1998. The main findings are: 1) conditional shocks have a positive effect on exchange rate volatility; 2)...

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Bibliographic Details
Published inInternational Journal of Economic Policy in Emerging Economies Vol. 3; no. 2; pp. 183 - 193
Main Authors Kula, Ferit, Aslan, Alper
Format Journal Article
LanguageEnglish
Published Inderscience Enterprises Ltd 2010
SeriesInternational Journal of Economic Policy in Emerging Economies
Subjects
asymmetry
black market
EGARCH
emerging economies
exchange rate volatility
official exchange rates
Turkey
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Summary:In this paper, we examine the issue of volatility for both official and black market exchange rates of the Turkish lira using the monthly exchange rate against the US dollar for the period 1969-1998. The main findings are: 1) conditional shocks have a positive effect on exchange rate volatility; 2) shocks having asymmetric effects on official exchange rate volatility are more effective than that obtained from black market; 3) while an increase in official exchange rate volatility leads to a depreciation of the Turkish lira vis-a-vis the US dollar, an appreciation is observed for black market.
ISSN:1752-0452
DOI:10.1504/IJEPEE.2010.033786