Global Uncertainty and Exchange Rate Volatility
Oğuz TümtürkThis 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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References
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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 (Sep. 2023): 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 26 Sep. 2023, 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 (26 Sep. 2023).
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]. 26 Sep. 2023 [cited 26 Sep. 2023];0(37):69-84. Available from: https://doi.org/10.26650/ekoist.2022.37.1112795 doi: 10.26650/ekoist.2022.37.1112795
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Tümtürk, Oğuz. “Global Uncertainty and Exchange Rate Volatility”. EKOIST Journal of Econometrics and Statistics 0/37 (Sep. 2023): 69-84. https://doi.org/10.26650/ekoist.2022.37.1112795