A threshold model for the exchange rate behavior of Turkey
Date
2009
Authors
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Advisor
Özlale, Ümit
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Language
English
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Abstract
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
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Degree Discipline
Economics
Degree Level
Master's
Degree Name
MA (Master of Arts)