Exchange rate volatility and news effects: An application with the Turkish daily data
Döviz kuru volatilitesi ve haber etkileri: Türkiye özelinde günlük veri ile bir uygulama
- Tez No: 97042
- Danışmanlar: Belirtilmemiş.
- Tez Türü: Yüksek Lisans
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Döviz kuru, Fiyat hareketi, Haberler, Exchange rate, Price movement, News
- Yıl: 2000
- Dil: İngilizce
- Üniversite: Marmara Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: İktisat Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
Özet yok.
Özet (Çeviri)
Abstract The main aim of this thesis is to estimate the daily volatility of four foreign currencies, namely the American Dollar, the German Mark, the French Franc and the English Sterling. By using various time varying volatility models daily foreign exchange volatility has been estimated. Furthermore, the impacts of political and macroeconomic news effects have also been analysed. In daily level, foreign exchange volatility may be influenced by several public announcements, including macroeconomic announcements, (money supply changes, interest rates, Central Bank's open market operations and etc.) and political events (elections, and other shifts in the political environment). To investigate the possible relationship between various news effects and foreign exchange volatility, a three step method has been implemented. In the first step, the estimation of volatility parameters has been conducted. In the second step, the volatility forecasting experiment has been implemented. In the final step, the forecasted volatility is used to asses the impacts of news effects on the foreign exchange volatility. For the estimation, the daily data between 01.06.1994 and 31.08.1998 are processed, where the estimated parameters are used to forecast the future volatility. To test the forecasting efficiency of these models, the data between 01.09.1998 and 31.08.1999 are used. Depending on various statistical criteria, the most convenient model for forecasting is chosen. Finally, the effects of macroeconomic announcements and other public information components on the forecasted volatility of dairy foreign exchange rates are measured. The resultsof the paper illustrates that foreign exchange volatility is influenced by negative foreign exchange reruns more than by positive returns. It is also found that any unexpected change in foreign exchange return rates do not affect the volatility for the long term. This result differs from previous studies where a symmetric behaviour and long term persistence in foreign exchange volatility is found. The reason of this finding can be explained by the high chronic inflation existing in Turkish economy and high uncertainty in socio-political environment. It is observed that the interest rates and Central Bank's interventions are the most effective factors in explaining the volatility of foreign exchange rates. The closure effects and the financial crises are found to be influential on daily volatility.
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