Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey

Saadet Kasman and Duygu Ayhan

Central Bank Review, 2006, vol. 6, issue 2, 37-58

Abstract: After the collapse of fixed exchange rate regime in 1980, alternative regimes were adopted in Turkey. The "crawling peg" regime (1980-81) is followed by "managed float" (1981-99), "crawling peg" (1999-2001) and "free floating" (2001-) in "de jure" classification. This paper examines the behavior of the macroeconomic variables in terms of volatility across exchange rate regimes in "de jure " and "de facto" classifications, using monthly data over the period 1980-2006. We find a strong GARCH effect for the real exchange rate, inflation and foreign exchange reserves. The findings of the t-test indicate that the variations in the mean of most of the macroeconomic variables are not statistically different from each other under "de facto" regimes The results of this study suggest the existence of "de facto" regime neutrality.

Keywords: Exchange Rate Regimes; Macroeconomic Variables; Exchange Rate Volatility; Conditional Heteroscedasticity Models (search for similar items in EconPapers)
JEL-codes: C22 E42 E44 F31 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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