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Journals / Anadolu Üniversitesi Sosyal Bilimler Dergisi / 2020 / Cilt: 20 - Sayı: 2

Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Endeksler Önemli mi? Döviz Kuru Oynaklığının Türkiye İhracat Endeksi (TIMEX) Üzerindeki Etkisi

Mehmet ÇANAKCI
Ömer Faruk DERİNDAĞ
Pages
1–16
Publication Date
2022-10-11
DOI
—
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AI Summary & Key Takeaways

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

First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns.
📊
Key Findings & Data:First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model.
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Conclusion & Impact:Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.

Özet

Bu çalışma günlük dolar getirilerinin, TİM ihracat endeksi (TIMEX) getirilerine kısa vadeliyayılma etkilerini incelemektedir. Bu ampirik araştırmayı benzerşerinden farklı kılan en belirgin özelliği sadece ihracat yapan şirketler için tasarlanan bir endekslerin etkisini araştırıyor olmasıdır. İlk olarak değiştirilmiş genel otoregresif koşullu değişen varyans (GARCH)(1,1)-M modeli kullanarak asimetrik bir yayılmanın olmadığı sonucuna vardık. Ardından asimetrik yayılmanın varlığı GJR-GARCH(1,1)-M modeli ile araştırılmış olup, dolar getirilerinden TİM ihracat endeksi getirilerine doğru asimetrik yayılmanın olduğuna dair güçlü kanıtlar elde ettik.

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Cite This Article

ÇANAKCI, M., DERİNDAĞ, Ö. F. (2022). Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi, Cilt: 20 - Sayı: 2, 1–16. https://ajindex.com/articles/438714

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