On asymmetry effects of exchange rate volatility in Turkey
Alper Aslan () and
Ferit Kula ()
International Journal of Economic Policy in Emerging Economies, 2010, vol. 3, issue 2, 183-193
In this paper, we examine the issue of volatility for both official and black market exchange rates of the Turkish lira using the monthly exchange rate against the US dollar for the period 1969-1998. The main findings are: 1) conditional shocks have a positive effect on exchange rate volatility; 2) shocks having asymmetric effects on official exchange rate volatility are more effective than that obtained from black market; 3) while an increase in official exchange rate volatility leads to a depreciation of the Turkish lira vis-a-vis the US dollar, an appreciation is observed for black market.
Keywords: black market; exchange rate volatility; EGARCH; emerging economies; Turkey; official exchange rates; asymmetry. (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ids:ijepee:v:3:y:2010:i:2:p:183-193
Access Statistics for this article
More articles in International Journal of Economic Policy in Emerging Economies from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Carmel O'Grady ().