Browsing by Subject "Foreign exchange rates--Turkey--Mathematical models."

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    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.
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    Measuring the impact of monetary policy on the lira exchange rates
    (2010) Özcan, Gülserim
    Measuring the impact of monetary policy on the exchange rate is complicated due to the simultaneous response of monetary policy to the exchange rate and the possibility that both variables respond to other omitted variables. Ignoring these problems may lead to biased results. Given the shortcomings of commonly-used identiÖcation techniques, this paper uses an identiÖcation method based on the heteroscedasticity in the high-frequency data. This methodology which aims to identify the exchange rate response to monetary policy is based on the increase in the variance of the policy shock on monetary policy committee meeting dates. IdentiÖcation through heteroscedasticity gives more accurate estimates and the results of this paper provide a cross-check for previous Öndings in the literature. The results suggest that while statistically there exist some bias in previous estimates, qualitatively the conclusion drawn by the previous literature, that the e§ect of monetary policy on the lira exchange rates is small, is veriÖed.
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    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