Research Article


DOI :10.26650/ekoist.2022.37.1112795   IUP :10.26650/ekoist.2022.37.1112795    Full Text (PDF)

Global Uncertainty and Exchange Rate Volatility

Oğuz Tümtürk

This paper investigates the impact of global uncertainty on Turkey's exchange rate volatility via quantile regression approach. Using quantile regression approach, estimated uncertainty coefficients are allowed to differ over quantiles of the exchange rate volatility. The EGARCH model is the best fit for measuring exchange rate volatility due to the fact that exchange rate series exhibit “asymmetric volatility”. In this study we employed global economic policy uncertainty indexGEPU constructed by Baker et al. (2013) as a proxy of global uncertainty. Empirical results suggest that higher volatility of exchange rate is associated with a greater positive shock of GEPU. However, estimated parameters are statistically significant at lower exchange rate volatility since the CBRT intervenes the foreign exchange markets and restricts the excessive fluctuations in exchange rates to achieve financial stability.


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APA

Tümtürk, O. (2022). Global Uncertainty and Exchange Rate Volatility. EKOIST Journal of Econometrics and Statistics, 0(37), 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795


AMA

Tümtürk O. Global Uncertainty and Exchange Rate Volatility. EKOIST Journal of Econometrics and Statistics. 2022;0(37):69-84. https://doi.org/10.26650/ekoist.2022.37.1112795


ABNT

Tümtürk, O. Global Uncertainty and Exchange Rate Volatility. EKOIST Journal of Econometrics and Statistics, [Publisher Location], v. 0, n. 37, p. 69-84, 2022.


Chicago: Author-Date Style

Tümtürk, Oğuz,. 2022. “Global Uncertainty and Exchange Rate Volatility.” EKOIST Journal of Econometrics and Statistics 0, no. 37: 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795


Chicago: Humanities Style

Tümtürk, Oğuz,. Global Uncertainty and Exchange Rate Volatility.” EKOIST Journal of Econometrics and Statistics 0, no. 37 (Jul. 2024): 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795


Harvard: Australian Style

Tümtürk, O 2022, 'Global Uncertainty and Exchange Rate Volatility', EKOIST Journal of Econometrics and Statistics, vol. 0, no. 37, pp. 69-84, viewed 21 Jul. 2024, https://doi.org/10.26650/ekoist.2022.37.1112795


Harvard: Author-Date Style

Tümtürk, O. (2022) ‘Global Uncertainty and Exchange Rate Volatility’, EKOIST Journal of Econometrics and Statistics, 0(37), pp. 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795 (21 Jul. 2024).


MLA

Tümtürk, Oğuz,. Global Uncertainty and Exchange Rate Volatility.” EKOIST Journal of Econometrics and Statistics, vol. 0, no. 37, 2022, pp. 69-84. [Database Container], https://doi.org/10.26650/ekoist.2022.37.1112795


Vancouver

Tümtürk O. Global Uncertainty and Exchange Rate Volatility. EKOIST Journal of Econometrics and Statistics [Internet]. 21 Jul. 2024 [cited 21 Jul. 2024];0(37):69-84. Available from: https://doi.org/10.26650/ekoist.2022.37.1112795 doi: 10.26650/ekoist.2022.37.1112795


ISNAD

Tümtürk, Oğuz. Global Uncertainty and Exchange Rate Volatility”. EKOIST Journal of Econometrics and Statistics 0/37 (Jul. 2024): 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795



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Submitted07.05.2022
Published Online29.12.2022

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