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      • Department of Economics
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      Exchange rate risk and interest rate: a case study for Turkey

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      Author
      Berument, Hakan
      Günay, A.
      Date
      2003
      Source Title
      Open Economies Review
      Print ISSN
      0923-7992
      Electronic ISSN
      1573-708X
      Publisher
      Springer New York LLC
      Volume
      14
      Issue
      1
      Pages
      19 - 27
      Language
      English
      Type
      Article
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      Abstract
      This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001.
      Keywords
      Exchange rate risk
      GARCH
      Interest rate
      Turkey
      Capital market
      Currency market
      Exchange rate
      Permalink
      http://hdl.handle.net/11693/24557
      Published Version (Please cite this version)
      http://dx.doi.org/10.1023/A:1021243101272
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      • Department of Economics 663
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