A threshold model for the exchange rate behavior of Turkey
| buir.advisor | Özlale, Ümit | |
| dc.contributor.author | Fazilet, Fatih | |
| dc.date.accessioned | 2016-01-08T18:12:06Z | |
| dc.date.available | 2016-01-08T18:12:06Z | |
| dc.date.issued | 2009 | |
| dc.description | Ankara : The Department of Economics, Bilkent University, 2009. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2009. | en_US |
| dc.description | Includes bibliographical references leaves 36-39. | en_US |
| dc.description.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 | en_US |
| dc.description.provenance | Made available in DSpace on 2016-01-08T18:12:06Z (GMT). No. of bitstreams: 1 0003976.pdf: 808866 bytes, checksum: b27f7e30c20809b4161b94308627df37 (MD5) | en |
| dc.description.statementofresponsibility | Fazilet, Fatih | en_US |
| dc.format.extent | viii, 42 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/15011 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | VIX | en_US |
| dc.subject | nonlinear | en_US |
| dc.subject | unexpected interest rate change | en_US |
| dc.subject.lcc | HG3968.25 .F39 2009 | en_US |
| dc.subject.lcsh | Foreign exchange rates--Turkey--Mathematical models. | en_US |
| dc.subject.lcsh | Interest rates--Turkey. | en_US |
| dc.subject.lcsh | Exchange rates--Turkey--Mathematical models. | en_US |
| dc.title | A threshold model for the exchange rate behavior of Turkey | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Economics | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MA (Master of Arts) |
Files
Original bundle
1 - 1 of 1