Browsing by Subject "unexpected interest rate change"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • 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