SavedAdd your journal

Journals / Bankacılar / 2020 / Cilt: 31 - Sayı: 114

Economic Policy Uncertainty and Exchange Rate Volatility

Ekonomik Politika Belirsizliği ve Döviz Kuru Oynaklığı

Pelin Öge GÜNEY
Pages
3–16
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Our findings reveal the importance of EPU in order to stabilize USD/TL exchange rate.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, whether the economic policy uncertainty (EPU) has an effect on the volatility in the Dollar/TL and EURO/TL exchange rates was analyzed using the bound testing approach.
📊
Key Findings & Data:Exchange rates can be affected by the policies of the country and the economic conditions of countries in which the country has economic and political relations.
💡
Conclusion & Impact:Our findings reveal the importance of EPU in order to stabilize USD/TL exchange rate.
🔬Design:Research Article
📍Scope:2016 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, whether the economic policy uncertainty (EPU) has an effect on the volatility in the Dollar/TL and EURO/TL exchange rates was analyzed using the bound testing approach. Exchange rates can be affected by the policies of the country and the economic conditions of countries in which the country has economic and political relations. EPU indices calculated by Baker, Bloom ve Davis (2016) for the US and Europe were used in the analysis. According to our estimates it is found that in the long run, EPU in USA increases the volatility in the Dolar/TL exchange rate. The volatility in EURO/TL exchange rate is not affected by the EPU in Europe. Our findings reveal the importance of EPU in order to stabilize USD/TL exchange rate.

Özet

Bu çalışmada ekonomik politika belirsizliğinin Dolar/TL ve EURO/TL kurlarındaki oynaklık üzerinde etkisi olup olmadığı sınır testi yaklaşımı kullanılarak analiz edilmektedir. Döviz kurları, ülkenin ekonomik koşulları yanında ekonomik ve politik ilişki içinde bulunulan ülkelerin politikalarından da etkilenebilmektedir. Analizde ABD ve Avrupa için Baker, Bloom ve Davis (2016) tarafından hesaplanan ekonomik politika belirsizliği endeksleri kullanılmıştır. Tahminlerimiz sonucunda uzun dönemde ABD’deki ekonomik politika belirsizliğinin Dolar/TL kurundaki oynaklığı arttırdığı saptanmıştır. EURO/TL kurundaki oynaklık ise Avrupa’daki ekonomik politika belirsizliğinden etkilenmemektedir. Bulgularımız, Dolar/TL kuruna istikrar kazandırmakta ekonomik politika belirsizliğinin önemini ortaya koymaktadır.

🔖

Cite This Article

GÜNEY, P. Ö. (2020). Economic Policy Uncertainty and Exchange Rate Volatility. Bankacılar, Cilt: 31 - Sayı: 114, 3–16. https://ajindex.com/articles/212574

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. Baker, S. R., Bloom, N., ve Davis, S.J. (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
  2. Balcilar, M., Gupta, R., Kyei, C. ve Wohar, M.E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametc Causality-in-Quantiles Test. Open Economies Review, 27(2), 229–250.
  3. Baum, C. F., ve Caglayan, M. (2006). On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty. Journal of International Money and Finance, 29, 79-93.
  4. Banerjee, A., Dolado, J.J., Galbraith, J.W. ve Hendry, D.F. (1993). Co-Integration Error Correction and The Econometric Analysis of Non-Stationary Data (Oxford University Press.
  5. Bartsch, Z. (2019). Economic Policy Uncertainty and Dollar-Pound Exchange Rate Return Volatility. Journal of International Money and Finance, 98, 102067.
  6. Benita, G., ve Lauterbach, B. (2007). Policy factors and exchange rate volatility. International research journal of finance and economics, 7(8), 1-17.
  7. Bloom, N., Kose, M. ve Terrones, M. (2013). Held Back by Uncertainty”, Finance and Development, 50(1), 38-41.
  8. Braun, M., ve Larrain, B. (2005). Finance and the Business Cycle: International, Interindustry Evidence. Journal of Finance, 60, 1097-1128.
  9. Brogaard, J., ve Detzel, A. (2012). The Asset Pricing Implications of Government Economic Policy Uncertainty. University of Washington Foster School of Business Working Paper. Brown, R.L., Durbin, J. ve Evans, J.M. (1975). Techniques for Testing the Constansy of Regression Relations over Time. Journal of Royal Statistical Society, Series B, 37, 149-163.
  10. Byrne, J.P., ve Davis, E.P. (2005). Investment and Uncertainty in G7. Review of World Economics, 141, 1–32.
  11. Carroll, C. (1996). Buffer-stock Saving and the Life Cycle/Permanent Income Hypothesis. NBER Working Paper No. 5788 Chen, L., Du, Z., ve Hu, Z. (2020). Impact of Economic Policy Uncertainty on Exchange Rate Volatility of China. Finance Research Letters, 32, 101266. Colombo, V. (2013). Economic Policy Uncertainty in the US: Does It Matter for the Euro Area?. Economics Letters, 121(1), 39–42.
  12. Cosar, E. E., ve Sahinoz, S. (2018). Quantifying uncertainty and identifying its impacts on the Turkish economy (No. 1806). Çavuşoğlu, A. T. (1997). Sticky-Price Monetary Model of Exchange Rate: A Cointegration Analysis (pp. 1-18). ERC Working Papers 1997
  13. Series. Dai, Y., Zhang, J., Yu, X., ve Li, X. (2017). Causality Between Economic P