Exchange rate risk and interest rate: a case study for Turkey

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buir.contributor.authorBerument, Hakan
dc.citation.epage27en_US
dc.citation.issueNumber1en_US
dc.citation.spage19en_US
dc.citation.volumeNumber14en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorGünay, A.en_US
dc.date.accessioned2016-02-08T10:31:06Z
dc.date.available2016-02-08T10:31:06Z
dc.date.issued2003en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1023/A:1021243101272en_US
dc.identifier.eissn1573-708X
dc.identifier.issn0923-7992
dc.identifier.urihttp://hdl.handle.net/11693/24557
dc.language.isoEnglishen_US
dc.publisherSpringer New York LLCen_US
dc.relation.isversionofhttp://dx.doi.org/10.1023/A:1021243101272en_US
dc.source.titleOpen Economies Reviewen_US
dc.subjectExchange rate risken_US
dc.subjectGARCHen_US
dc.subjectInterest rateen_US
dc.subjectTurkeyen_US
dc.subjectCapital marketen_US
dc.subjectCurrency marketen_US
dc.subjectExchange rateen_US
dc.titleExchange rate risk and interest rate: a case study for Turkeyen_US
dc.typeArticleen_US

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