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Journals / İktisat Politikası Araştırmaları Dergisi / 2023 / Cilt: 10 Sayı: 2

Modeling Exchange Rate Volatility in Türkiye: An Empirical Research

Türkiye’de Döviz Kuru Oynaklığının Modellenmesi: Ampirik Bir Araştırma

Sinem Kutlu Horvath
İpek Yurttagüler
Pages
435–455
Publication Date
2023-08-02
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AI Summary & Key Takeaways

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

According to the obtained findings, the study has concluded the GARCH(1,1) model to be the most appropriate model for estimating exchange rate volatility in Türkiye.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Exchange rate volatility is a concept that corresponds to the fluctuations around the equilibrium value of the exchange rate and is the main source of exchange rate risk as it adversely affects many variables that can disrupt macroeconomic stability, especially international trade, investments, and capital flows.
📊
Key Findings & Data:In this context, empirical estimation and measurement of exchange rate volatility is an issue that needs to be emphasized in terms of its widespread economic effects.
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Conclusion & Impact:According to the obtained findings, the study has concluded the GARCH(1,1) model to be the most appropriate model for estimating exchange rate volatility in Türkiye.
🔬Design:Modeling & Simulation
📍Scope:2003-2022 Verileri
⚙️Variables:Efektif Döviz Kuru · Oynaklık · Değişen Varyans

Abstract

Exchange rate volatility is a concept that corresponds to the fluctuations around the equilibrium value of the exchange rate and is the main source of exchange rate risk as it adversely affects many variables that can disrupt macroeconomic stability, especially international trade, investments, and capital flows. In this context, empirical estimation and measurement of exchange rate volatility is an issue that needs to be emphasized in terms of its widespread economic effects. The effects of exchange rate volatility on basic macroeconomic variables have created a wide range of research, thus laying the groundwork for a very rich theoretical and empirical literature. This study estimates the volatility in Türkiye using theAutoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) modeling techniques alongside effective exchange rate data for the period of 2003-2022. According to the obtained findings, the study has concluded the GARCH(1,1) model to be the most appropriate model for estimating exchange rate volatility in Türkiye.

Özet

Döviz kurunun denge değeri etrafındaki dalgalanmalara karşılık gelen bir kavram olarak döviz kuru oynaklığı kur riskinin başlıca kaynağıdır ve uluslararası ticaret, yatırımlar ve sermaye akımları başta olmak üzere makroekonomik istikrarı bozacak pek çok değişkeni olumsuz etkilemektedir. Bu bağlamda, döviz kuru oynaklığının ampirik olarak tahmini ve ölçümü yaygın ekonomik etkileri açısından üzerinde durulması gereken bir konudur. Döviz kurlarındaki oynaklığın temel makroekonomik değişkenler üzerinde yarattığı etkiler geniş bir araştırma alanı oluşturmuş, böylece teorik ve ampirik açıdan oldukça zengin bir literatüre de zemin hazırlamıştır. Çalışmamızda, 2003-2022 dönemine ait efektif döviz kuruverileri kullanılarak Türkiye için oynaklık ARCH-GARCH modelleme teknikleriyle tahmin edilmektedir. Çalışmadan elde edilen bulgulara göre, Türkiye için döviz kuru oynaklığının tahmininde GARCH(1,1)'in en uygun model olduğu sonucuna varılmıştır.

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Cite This Article

Horvath, S. K., Yurttagüler, İ. (2023). Modeling Exchange Rate Volatility in Türkiye: An Empirical Research. İktisat Politikası Araştırmaları Dergisi, Cilt: 10 Sayı: 2, 435–455. https://doi.org/10.26650/JEPR1217028

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