IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v10y2016i1p65-94.html
   My bibliography  Save this article

The Effect of Foreign Exchange Interventions on Exchange Rate

Author

Listed:
  • Derya AYSOY
  • Guray KUCUKKOCAOGLU

Abstract

This study aims to measure the relationship between foreign exchange interventions applied by CBRT and the exchange rate and exchange rate volatility by using the GARCH and E-GARCH models in the period between January 1, 2004 and June 30, 2015. According to the results of the GARCH model, it has been determined that the purchase and sale interventions do not have a significant effect on exchange rate level and exchange rate volatility for the studied period. As a result of the analysis made by setting periods according to changes in monetary policy between January 1, 2004 and June 30, 2015, significant results have been determined for some periods. One of the most common results is that selling interventions increase the exchange rate level. On the other hand, in accordance with the results of E-GARCH model, in the whole period, it has been seen that purchase interventions have significant and positive effect on exchange rate level. Moreover, it has been observed that sale interventions have significant and positive effect on exchange rate volatility. This effect of sale interventions also has been seen in some periods such as pre and post crisis periods. Therefore, it has been suggested that CBRT should avoid from sale interventions.

Suggested Citation

  • Derya AYSOY & Guray KUCUKKOCAOGLU, 2016. "The Effect of Foreign Exchange Interventions on Exchange Rate," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 10(1), pages 65-94.
    • Handle: RePEc:bdd:journl:v:10:y:2016:i:1:p:65-94
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiEn/dergi_0019_05.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Foreign Exchange Interventions; Exchange Rates; GARCH; E-GARCH;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:10:y:2016:i:1:p:65-94. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sumeyye Azize CENGIZ (email available below). General contact details of provider: https://edirc.repec.org/data/bddgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.