Browsing by Subject "Exchange rates--Turkey--Mathematical models."

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Asymmetric behavior of exchange rate pass through in Turkey
    (2009) Şen, Bahar
    This thesis investigates the presence of asymmetry in pass through from exchange rates to manufacturing industry prices in Turkey. In the analysis, to detect a possible nonlinear response of prices, threshold regression models are employed. The results indicate that reactions of prices to exchange rate movements differ depending on the aggregate demand conditions. In particular, when the economy is booming, exchange rate changes are transmitted into prices in a larger extent. On the other hand, during slowdowns, fluctuations of exchange rates are not reflected on prices and past inflation has more important role in determining prices.
  • Thumbnail Image
    ItemOpen Access
    A threshold model for the exchange rate behavior of Turkey
    (2009) Fazilet, Fatih
    This thesis analyzes the effects of global market conditions and interest rate policy decisions on $/T.L. exchange rate in a nonlinear framework. VIX (Chicago Boards Options Exchange Volatility Index) and unexpected interest rate change are used in the model. It is found that when the exchange rate risk is below a threshold level, exchange rate is sensitive to both unexpected interest rate change and VIX. On the other hand, when the exchange rate risk is high, it becomes insensitive to unexpected interest rate change and significantly more sensitive to VIX