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Time And Frequency Dependency Of Foreign Exchange Rates And Country Risk:Evidence From Turkey

Author

Listed:
  • DerviÅŸ Kirikkaleli

    (European University of Lefke)

  • Mustafa Tevfik Kartal

    (Borsa Ä°stanbul Strategic Planning, Financial Reporting, andInvestor Relations Directorate)

  • Tomiwa Sunday Adebayo

    (Cyprus International University)

Abstract

This study examines the time and frequency dependency nexus between foreign exchange (FX) rates and country risk in Turkey. We considered Turkey because it is a negative outlier country in terms of the progress of these indicators. Using quarterly data from 1990/Q1 to 2018/Q4 and the Wavelet Coherence approach, we find that an increase in the country risk causes an increase in the FX rates at different frequencies, especially in the medium and long term and different periods. The results highlight the significance of country risk for the progress of the FX rates. Policy implications are discussed.

Suggested Citation

  • DerviÅŸ Kirikkaleli & Mustafa Tevfik Kartal & Tomiwa Sunday Adebayo, 2022. "Time And Frequency Dependency Of Foreign Exchange Rates And Country Risk:Evidence From Turkey," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(1), pages 37-54, June.
    • Handle: RePEc:idn:journl:v:25:y:2022:i:1c:p:37-54
    DOI: https://doi.org/10.21098/bemp.v25i1.1838
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    References listed on IDEAS

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    More about this item

    Keywords

    Country risk; FX rates; Wavelet coherence; Turkey;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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