Browsing by Subject "Interest rates--Turkey."

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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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    Exchange rate risk and interest rate: a case study for Turkey
    (2001) Günay, Aslı
    This thesis 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 1986:12 to 2000:01.
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    The response of TL interbank rates to weekly money supply announcements within the framework of market efficiency
    (1992) Bal, Yasemin
    THE RESPONSE OF TL INTERBANK RATES TO WEEKLY MONEY SUPPLY ANNOUNCEMENTS WITHIN THE FRAMEWORK OF MARKET EFFICIENCY In th is study,the effects of weekly money supply announcements on changes in TL interbank rates is tested in terms of market efficiency. As a result of the model tested, T urkish interbank market appeared to be an inefficient financiai market. During th is study, ARIMA based generated money suppiy survey data is used. Therefore a joint hypothesis, market efficiency and effectiveness of ARIMA based survey data, is tested. This leads to a weak rejection of market efficiency in TL interbank market.
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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