Exchange Rate Risk and Interest Rate: A Case Study for Turkey

Hakan Berument () and Asli Günay ()

Open Economies Review, 2003, vol. 14, issue 1, 19-27

Abstract: This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001. Copyright Kluwer Academic Publishers 2003

Keywords: exchange rate risk; interest rate; GARCH; Turkey (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (14)

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DOI: 10.1023/A:1021243101272

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