Local, global and regional shocks indices in emerging exchange rate markets

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buir.contributor.authorGeyikçi, Utku Bora
buir.contributor.orcidGeyikçi, Utku Bora|0000-0003-4513-2595
dc.citation.epage113en_US
dc.citation.spage98en_US
dc.citation.volumeNumber73en_US
dc.contributor.authorErdem, F. P.
dc.contributor.authorGeyikçi, Utku Bora
dc.date.accessioned2022-02-15T10:35:35Z
dc.date.available2022-02-15T10:35:35Z
dc.date.issued2021-05
dc.departmentDepartment of Managementen_US
dc.description.abstractImpact of exchange rate shocks on emerging market economies have been studied extensively; however, what is the origin of those shocks remains unanswered in the literature. The main aim of this paper is to fill this gap. We identify local, regional and global shocks in exchange rate markets for 19 major EMEs on a daily basis by using forward rate unbiasedness hypothesis. We find an asymmetry on the effects of both local and global shocks and also show that depreciating effects of both local and global shocks dominate the appreciating effects for almost all countries sampled. Moreover, we find that the external vulnerability indicators and financial development indicators are the main sources of the level of shocks.en_US
dc.description.provenanceSubmitted by Samet Emre (samet.emre@bilkent.edu.tr) on 2022-02-15T10:35:35Z No. of bitstreams: 1 Local,_global_and_regional_shocks_indices_in_emerging_exchange_rate_markets.pdf: 2657301 bytes, checksum: 2d49834b0037d2f0d35425612b1a1622 (MD5)en
dc.description.provenanceMade available in DSpace on 2022-02-15T10:35:35Z (GMT). No. of bitstreams: 1 Local,_global_and_regional_shocks_indices_in_emerging_exchange_rate_markets.pdf: 2657301 bytes, checksum: 2d49834b0037d2f0d35425612b1a1622 (MD5) Previous issue date: 2021-05en
dc.embargo.release2023-05-31
dc.identifier.doi10.1016/j.iref.2020.12.039en_US
dc.identifier.issn1059-0560
dc.identifier.urihttp://hdl.handle.net/11693/77370
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttps://doi.org/10.1016/j.iref.2020.12.039en_US
dc.source.titleLocal, global and regional shocks indices in emerging exchange rate marketsen_US
dc.subjectForward unbiasedness hypothesisen_US
dc.subjectExchange ratesen_US
dc.subjectEmerging market economiesen_US
dc.titleLocal, global and regional shocks indices in emerging exchange rate marketsen_US
dc.typeArticleen_US

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