The role of expectations for currency crisis dynamics—The case of the Turkish lira

Joscha Beckmann and Robert Czudaj

Journal of Forecasting, 2023, vol. 42, issue 3, 625-642

Abstract: This paper examines whether and how expectations have contributed to the turbulent path of the Turkish lira since 2008. We derive uncertainty measures surrounding gross domestic product (GDP) growth, inflation, the interest rate, and exchange rates based on survey data from Consensus Economics. Our results illustrate that forecasts have affected realized exchange rates and stock market returns via increased uncertainty. We also show that expectations regarding monetary policy have changed throughout the sample period. In line with, a gradual adjustment of expectations professionals have accounted for the violation of the Taylor rule.

Date: 2023
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https://doi.org/10.1002/for.2940

Related works:
Working Paper: The role of expectations for currency crisis dynamics - The case of the Turkish lira (2023)
Working Paper: The role of expectations for currency crisis dynamics - the case of the Turkish lira (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:42:y:2023:i:3:p:625-642

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