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On asymmetry effects of exchange rate volatility in Turkey

Author

Listed:
  • Alper Aslan
  • Ferit Kula

Abstract

In this paper, we examine the issue of volatility for both official and black market exchange rates of the Turkish lira using the monthly exchange rate against the US dollar for the period 1969-1998. The main findings are: 1) conditional shocks have a positive effect on exchange rate volatility; 2) shocks having asymmetric effects on official exchange rate volatility are more effective than that obtained from black market; 3) while an increase in official exchange rate volatility leads to a depreciation of the Turkish lira vis-a-vis the US dollar, an appreciation is observed for black market.

Suggested Citation

  • Alper Aslan & Ferit Kula, 2010. "On asymmetry effects of exchange rate volatility in Turkey," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 3(2), pages 183-193.
    • Handle: RePEc:ids:ijepee:v:3:y:2010:i:2:p:183-193
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    Cited by:

    1. Kwame Osei-Assibey, 2014. "Sign asymmetry and exchange rate market volatility: empirical evidence from two developing countries," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 7(2), pages 107-121.

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