Exchange rate risk and interest rate: a case study for Turkey
Date
2003
Authors
Editor(s)
Advisor
Supervisor
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Co-Supervisor
Instructor
Source Title
Open Economies Review
Print ISSN
0923-7992
Electronic ISSN
1573-708X
Publisher
Springer New York LLC
Volume
14
Issue
1
Pages
19 - 27
Language
English
Type
Journal Title
Journal ISSN
Volume Title
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Abstract
This paper 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 December 1986 to January 2001.