Free float and stochastic volatility: the experience of a small open economy

Simple item page
dc.citation.epage700en_US
dc.citation.issueNumber3-4en_US
dc.citation.spage693en_US
dc.citation.volumeNumber342en_US
dc.contributor.authorSelçuk, F.en_US
dc.date.accessioned2016-02-08T10:25:39Z
dc.date.available2016-02-08T10:25:39Z
dc.date.issued2004en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractFollowing a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating period. It is shown that there is a positive relation between the exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at time t+1. However, the effect is asymmetric: a decrease in the exchange rate return at time t causes a relatively less decrease in volatility at time t+1. The results imply that a central bank with a volatility smoothing policy would be biased in viewing the shocks to the exchange rate in favor of appreciation. The bias would increase if the bank is also following an inflation targeting policy. © 2004 Elsevier B.V. All rights reserved.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:25:39Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2004en
dc.identifier.doi10.1016/j.physa.2004.05.085en_US
dc.identifier.eissn1873-2119
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/11693/24205
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.physa.2004.05.085en_US
dc.source.titlePhysica A : Statistical Mechanics and its Applicationsen_US
dc.subjectExchange ratesen_US
dc.subjectFree floaten_US
dc.subjectLeverage effecten_US
dc.subjectStochastic volatilityen_US
dc.subjectTurkeyen_US
dc.subjectConvergence of numerical methodsen_US
dc.subjectFinanceen_US
dc.subjectInternational tradeen_US
dc.subjectMathematical modelsen_US
dc.subjectRandom processesen_US
dc.subjectIndustrial economicsen_US
dc.titleFree float and stochastic volatility: the experience of a small open economyen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Free float and stochastic volatility The experience of a small open economy.pdf
Size:
555.08 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Scholarly Publications - Economics