Exchange rate risk and interest rate: a case study for Turkey
buir.contributor.author | Berument, Hakan | |
dc.citation.epage | 27 | en_US |
dc.citation.issueNumber | 1 | en_US |
dc.citation.spage | 19 | en_US |
dc.citation.volumeNumber | 14 | en_US |
dc.contributor.author | Berument, Hakan | en_US |
dc.contributor.author | Günay, A. | en_US |
dc.date.accessioned | 2016-02-08T10:31:06Z | |
dc.date.available | 2016-02-08T10:31:06Z | |
dc.date.issued | 2003 | en_US |
dc.department | Department of Economics | en_US |
dc.description.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. | en_US |
dc.description.provenance | Made available in DSpace on 2016-02-08T10:31:06Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2003 | en |
dc.identifier.doi | 10.1023/A:1021243101272 | en_US |
dc.identifier.eissn | 1573-708X | |
dc.identifier.issn | 0923-7992 | |
dc.identifier.uri | http://hdl.handle.net/11693/24557 | |
dc.language.iso | English | en_US |
dc.publisher | Springer New York LLC | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1023/A:1021243101272 | en_US |
dc.source.title | Open Economies Review | en_US |
dc.subject | Exchange rate risk | en_US |
dc.subject | GARCH | en_US |
dc.subject | Interest rate | en_US |
dc.subject | Turkey | en_US |
dc.subject | Capital market | en_US |
dc.subject | Currency market | en_US |
dc.subject | Exchange rate | en_US |
dc.title | Exchange rate risk and interest rate: a case study for Turkey | en_US |
dc.type | Article | en_US |
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