Exchange Rate In Turkey Research Articles

The Relationship Between Oil Prices and Real Exchange Rate in Turkey: Fourier ADL Cointegration Analysis

Bu çalışma, 2003:1-2023:6 dönemine ilişkin aylık verileri kullanarak Türkiye'de petrol fiyatları ile reel döviz kuru arasındaki uzun vadeli ilişkiyi incelemiştir. Değişkenler arasındaki uzun dönem ilişkisini incelemek için yapısal kırılmaların tarihi, sayısı ve biçiminden etkilenmediğinden Fourier temelli sınamalardan yararlanılmıştır. Değişkenler arasındaki ilişkiyi incelemek için Banerjee, Arčabić ve Lee, (2017) tarafından geliştirilen Fourier ADL eşbütünleşme testi uygulanmış ve değişkenlerin uzun dönemde beraber hareket ettikleri sonucuna ulaşılmıştır. Ayrıca uzun dönem katsayı tahmin sonuçlarına göre, döviz kuru ile petrol fiyatları arasında pozitif ve istatistiksel olarak anlamlı bir ilişkinin olduğu sonucuna ulaşılmıştır.

The Effect of World Oil Price on Türkiye’s Exchange Rate

Oil prices are used in international markets both as one of the key prices and as an indicator price for other energy sources other than oil. Especially in developing oil importing countries like Turkey, the relationship of this important input with the exchange rate has always been an interesting research topic. In this study, the relationship between oil prices and nominal exchange rate in Turkey is examined by causality tests using daily data set (total 5168 observations) for the period of 3 April 2013-3 April 2023. The findings obtained from the analyzes indicate the existence of a unilateral causality relationship between the variables. This positive relationship indicates that there is a causality running from oil prices to the exchange rate. On the other hand, there was no causal relationship from exchange rate to oil prices. The results obtained show similar results with such articles made before in the literature.

TÜRKİYE'DE DOLAR/TL KURUNU TAHMİN ETMEK: UZUN-KISA BELLEK SİNİR AĞLARI YAKLAŞIMI

The prediction of the exchange rate time series has been quite challenging but is an essential process. This is as a result of the inherent noise and the volatile behavior in these series. Time series analysis models such as ARIMA have been used for this purpose. However, these models are limited due to the fact that they are not able to explain the non-linearity as well as the stochastic properties of foreign exchange rates. In order to perform a more accurate exchange rate prediction, deep-learning methods have been employed withremarkable rates of success. In this paper, we apply the Long-Short Term Memory Neural Network to predict the USD/TL exchange rate in Turkey. The result from this paper indicates that the Long-Short Term Memory Neural Network deep learning method gives higher prediction accuracy compared to the Auto Regressive Integrated Moving Average and the Multilayer Perception Neural Network models.

Impact of exogenous and endogenous variables in time series analysis, exchange rate in turkey as case study

This study aimed to investigate the impact of exogenous and endogenous variables in time series Analysis, the study sample consisted of data from 2014 to 2018. The analysis ARIMA, ARIMAX was carried out on exchange rate and interest rate in Turkey during 2014 to 2018 (Monthly data), the results indicated that arimx model explains better the change in dependent variable more than arima model,Also the results are statistically more significant.

Machine-Coded News-Based Sentiment Index for Turkey and its Impact on Exchange Rates

This paper, initially, develops an automated system that conducts a content analysis using newspaper coverage to generate a high frequency news-driven sentiment index. The system classifies the news as good, bad, or neutral depending on word frequencies. Then, the study investigates the relationship between the news-based sentiment index and exchange rates in Turkey after controlling for both domestic and foreign macroeconomic fundamentals. The results reveal that US economic announcements drive the value of Turkish Lira whereas the Turkish economic announcements and sentiment index are ineffective. When other financial variables are considered, there is strong evidence that the sentiment index affects the stock market returns. Turkish macroeconomic announcements are insignificant in the stock and bond market specifications. The US announcements affect medium to long-term bond yields.

Red Meat Price Volatility and Its Relationship with Crude Oil and Exchange Rates in Turkey with the Approach of GARCH (p, q) Model

Turkey's agricultural commodity prices are volatile while they have steadily increased over time. A substantial amount of research has been done on the variations in these prices by looking at other commodities like energy. As a result, the connections between agricultural and energy markets have been widely explored. There is a great concern about how red meat prices in Turkey are getting increasingly fluctuating. On the other hand, we may assume that ups and downs movement in the prices of crude oil and exchange rates are connected to veal and lamb carcass prices and that volatility is transmitted to those meat prices. This study uses the generalize all period unconstraint volatility model, which generalizes the GARCH (p, q) model, to examine the veal and lamb prices volatilities in Turkey and their relationship with crude oil as well as exchange rates (data are weekly covering from May 2006 to February 2017). According to findings, red meat prices have been volatile over the previous decade, notably between 2009 and 2012. Furthermore, crude oil prices have an important impact on the prices of veal and lamb and their prior times statistically. Also exchange rates at t-2 and t-4 time have an impact on lamb prices but none at all on veal prices. Subsequently, red meat price rise and volatility are becoming an important problem for Turkey, and the policies made in this area need to be evaluated.

Döviz Cinsi Krediler Bir “Döviz Riski” Azaltma Araci Mıdır? 2003-2018 Türkiye Analizi

Exchange rates are important macro variables for developing economies. Fluctuations in exchange rates, especially upward trending movements, creates a foreign exchange risk for both debtors and firms that use imported inputs in their operations. In consideration of this, investors take on various actions to avoid possible foreign exchange risks. Thus, this study investigates whether investors borrowing foreign exchange loans from commercial banks use such credits as a means of hedging against foreign exchange risk. In this respect, ARDL cointegration and Toda-Yamamoto (1995) causality analyses are employed to study the relationship between ratio of foreign exchange loans to the total loans granted by commercial banks and real effective exchange rate in turkey for the period 2003:1-2018:6. The results of the analysis indicate that foreign exchange loans can be taken out as a means of hedging against foreign exchange risk.

Monetary Policy and Exchange Rates Pre- and Post-Global Financial Crisis: The Case of Turkey

The aim of this study is to investigate the association between monetary policy and exchange rates in Turkey for two periods: Pre (December 2001-December 2007) and Post (January 2010-January 2016) global financial crisis (GFC). The ARDL, FMOLS, CCR and DOLS models are used to achieve the objective of this study. The results show that there is a significant impact of monetary policy, namely money supply and short-term interest rates, on exchange rates in Turkey before and after the GFC. The results suggest that the Central Bank of Turkey affected exchange rates after the GFC more than before the GFC.

Determinants of Turkish real effective exchange rates

Widening current account deficits went hand in hand with considerable volatility, and financial fragility for last three decades. Within these circumstances, Turkish Lira has been exposed to huge oscillations from time to time. These kind of substantial ups and downs raise the questions on the persistency of equilibrium exchange rates for TL. This paper aims to assess the long run equilibrium path for Turkish Lira and its fundamental determinants. Empirical investigation suggests that the main fundamental determinants of Turkish real effective exchange rates are the real GDP per capita relative to trading partners, oil prices, fiscal expenditures and international openness. Despite expectations, net foreign assets do not exhibit a significant long run relationship with real exchange rates in Turkey. Persistent rise in productivity measure (GDP per capita relative to major trading partners) is associated with the appreciation pressure on equilibrium exchange rates.

Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

The purpose of this study is to determine whether there is a causality relationship between stock price and real exchange rates in Turkey. Within this context, the study employs monthly data for real exchange rates based on consumer price index and BIST 100 index as representing stock prices that cover the periods from January 2005 to August 2017. On the other side, Granger causality test, Toda-Yamamoto causality analysis and Diks and Panchenko nonlinear causality test used for this purpose. As a result, Linear Granger causality, Toda-Yamamoto and Nonlinear Granger causality tests reveal that there is a casual relationship between real exchange rate and stock price in Turkish economy for the period of 2005:01 - 2017:08 and the direction of the causality is from stock price to exchange rate. This evidence can be interpreted as the changes in stock prices may strongly have influences on the success of foreign exchange rate policies.

Interactions between Energy Consumption and Imports: Empirical Evidence from Turkey

ABSTRACTThe present study investigates interactions between imports and energy consumption in the case of Turkey, which heavily depends on enervngy imports over the years. Empirical results reveal that energy consumption exerts significant effects on imports both in the long-term and short-term periods. Results from causality, impulse responses, and variance decompositions do also show that energy consumption exerts significant effects on real income and real exchange rates in Turkey. The major findings of this study reveal that alternative local energy sources and renewable energy sources are needed in order to reduce foreign import dependency and current account deficits in Turkey.

Causality between Stock Prices and Exchange Rates in Turkey: Empirical Evidence from the ARDL Bounds Test and a Combined Cointegration Approach

This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to investigate the existence of a long-run equilibrium relationship between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence for a strong long-run relationship. The Granger causality test results indicate a long-run bidirectional causality between stock prices and real exchange rates, and also a unidirectional causality from the real exchange rates to the stock prices in the short-run. In order to analyze the validity and reliability of the test results, diagnostic tests were applied in both the short-run and long-run models.

Dynamics of the exchange rate in Turkey

The prime aim of this study is to analysis the impact of macroeconomic variables on the volatility of exchange rate in Turkey. For this purpose, we have applied the Pearson’s correlation and taken the data from 1992 to 2011. Our results are showing that increase and decrease the macroeconomic variables have always impact on the exchange rate. An attempt has been done to review the association between Turkey exchange rate and macroeconomic variables. We have suggested that government should focus on the policies of monetary and fiscal policies for better performance.

Asymmetric cointegration with threshold adjustment model of exchange rates and the trade balance in Turkey

ABSTRACTThis paper aims to investigate the long-run equilibrium relationship between the trade balance and exchange rates in Turkey using the asymmetric error correction model with threshold cointegration. The results provide new evidence for the asymmetric long-run relationship between the trade balance and exchange rates. Besides, deviations from the long-run equilibrium due to a relative increase in real exchange rates have a lower speed of adjustment in comparison to the deviations caused by a relative decrease in real exchange rates.

Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.

DYNAMICS OF THE EXCHANGE RATE IN TURKEY

The prime aim of this study is to analysis the impact of macroeconomic variables on the volatility of exchange rate in Turkey .For this purpose, we have applied the Pearson’s correlation and taken the data from 1992 to 2011.our results are showing that increase and decrease the macroeconomic variables have always impact on the exchange rate .An attempt has been done to review the association between turkey exchange rate and macroeconomic variables .we have suggested that government should focus on the policies of monetary and fiscal policies for better performance.

The Effects of Short-Term Capital Flows on Exchange Rates in Intermediate and Flexible Exchange Rate Regimes: Empirical Evidence from Turkey

The aim of this paper is to analyze empirically the effects of short-term capital flows on exchange rates in Turkey under intermediate and flexible exchange rate regimes. In this framework, the periods where intermediate (January 1994-February 2001) and flexible (March 2001-September 2012) exchange rate regimes implemented in Turkey were taken as a base. The estimation results show that foreign exchange rate regimes are significant factors for the effects of short-term capital flows on exchange rates. While the short-term capital flows have significant effects on exchange rates in the flexible exchange rate regime, they have no significant effects on exchange rates in the intermediate exchange rate regimes. In the intermediate exchange rate regimes, price differentials have significant effects on exchange rates. These empirical results are consistent with the theory.

An Analysis of the Effect of Volatility of Capital Flows on the Real Exchange Rate in Turkey

An Analysis of the Effect of Volatility of Capital Flows on the Real Exchange Rate in Turkey

The Effect of Non-residents’ Portfolio Investment on Exchange Rate: Evidence from Turkey

The purpose of this study is to analyze the short term effect of non-residents’ portfolio investment on nominal exchange rate in Turkey by using Vector Autoregression (VAR) methods. The analyses were performed with data consisting of 361 observations weekly, covering between 14.01.2005 and 30.12.2011. Two variables are used in the scope of the analyses. The first variable is the non-residents’ portfolio investment and the second variable is nominal exchange rate. At the end of Granger causality analysis, it is seen that non-residents’ portfolio investment is causality of nominal exchange rate. Secondly, impulse-response analysis was performed and seen that nominal exchange rate initial reaction to shock in the non-residents’ portfolio investment is negative and significant statistically. Finally, variance decomposition analysis was performed. Consequently, at the end of econometric analyses, it is seen that non-residents’ portfolio investment has short term effect on the nominal exchange rate in Turkey.

Stock prices and exchange rates dynamics: Evidence from emerging markets

This study empirically investigates the dynamic relationship between the Turkish stock price and the exchange rates, and also considers the US stock prices as a world market, in the long- and short-run. The study analyzes the period of floating exchange rate in Turkey which spans from 2001:08 to 2009:08 via applying cointegration, Granger causality and impulse response tests. The result from the cointegration reveals that the long run relationship is maintained. Granger causality shows that there are bidirectional relationships between exchange rate and Turkish stock prices. The impulse response results indicate the shocks of Turkish stock price, exchange rates, and US stock price response within a short time; in other words, the shocks are temporary. Key words: Exchange rate, stock price, vector autoregression (VAR).