TIME AND FREQUENCY DEPENDENCY OF FOREIGN EXCHANGE RATES AND COUNTRY RISK:EVIDENCE FROM TURKEY

Dervis Kirikkaleli, Mustafa Kartal and Tomiwa Adebayo ()

Bulletin of Monetary Economics and Banking, 2022, vol. 25, issue 1, 37-54

Abstract: This study examines the time and frequency dependency nexus between foreign exchange (FX) rates and country risk in Turkey. We considered Turkey because it is a negative outlier country in terms of the progress of these indicators. Using quarterly data from 1990/Q1 to 2018/Q4 and the Wavelet Coherence approach, we find that an increase in the country risk causes an increase in the FX rates at different frequencies, especially in the medium and long term and different periods. The results highlight the significance of country risk for the progress of the FX rates. Policy implications are discussed.

Keywords: Country risk; FX rates; Wavelet coherence; Turkey (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=1882&context=bmeb (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:25:y:2022:i:1c:p:37-54

DOI: 10.21098/bemp.v25i1.1838

Access Statistics for this article

Bulletin of Monetary Economics and Banking is currently edited by Paresh Narayan

More articles in Bulletin of Monetary Economics and Banking from Bank Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Lutzardo Tobing ( this e-mail address is bad, please contact ) and Jimmy Kathon ().