Asymmetric relationship between interest rates and exchange rates: Evidence from Turkey

Karamelikli, Hüseyin; Karimi, Mohammad Sharif

doi:10.1002/ijfe.2213

Cited by 8 publications

(6 citation statements)

References 29 publications

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“…In addition, when the nonlinear ARDL test is used, a significant long-run relationship between the series of both countries are found. This result is in-line with Karamelikli and Karimi (2020), and Katrakilidis and Trachanas (2012). In Golit et al (2019), an asymmetric approach was used in examining the sample of G7 countries, which showed a stronger relationship between interest rate and exchange rate.…”

Section: Resultssupporting

confidence: 77%

“…The Effects of Interest Karamelikli and Karimi (2020) and Capasso et al (2019), which confirm that the short and long run relationship with positive and negative explanatory power of the IBR components is greater than positive explanatory components.…”

Section: Resultsmentioning

confidence: 58%

“…Although there have been many research on the effectiveness of monetary policies and interest rate, Kayhan et al (2013) argue that the interest rate in emerging, developing, and developed economies behaves differently and has varying impacts on the same type of purchasing power indicators. Recently, Karamelikli and Karimi (2020) have used the linear and nonlinear estimates, which result in different empirical statistics and relationships between interest rate and purchasing power indicators in Turkey.…”

Section: Literature Reviewmentioning

confidence: 99%

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The Effects of Interest Rate on Real Effective Exchange Rate Volatility Spillover in Malaysia and Thailand: Empirical Evidence

et al. 2021

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The research examined this asymmetric effect between the interrelationship of the interbank rate on the external competitiveness purchasing power represented by the real effective exchange rate for Malaysia and Thailand using monthly data covering the period of 1994 until 2020. The empirical findings confirms an asymmetric effect between interbank rate and real effective exchange rate based on the nonlinear autoregressive distributed lag estimates. The research also finds a unidirectional asymmetric causal relationship running from real effective exchange rate on interbank rate Thailand, which indicate the monetary policy has a direct relationship on interbank rate volatility. While in Malaysia, there is no causality running between both variables since the country has proposed several soft monetary policies and more concentrating on the short-term borrowing by improving the tight money supply circulation based on the domestic inflation, global economic, and financial market volatility. Therefore, the research recommends a specific need of monetary stabilizer policy to stabilize both countries’ currencies and put more effort to liberalize the foreign exchange rate system in a globalized economy.

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Section: Resultssupporting

confidence: 77%

Section: Resultsmentioning

confidence: 58%

Section: Literature Reviewmentioning

confidence: 99%

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The Effects of Interest Rate on Real Effective Exchange Rate Volatility Spillover in Malaysia and Thailand: Empirical Evidence

et al. 2021

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“…There is bidirectional causality from positive shocks in the real interest rate to adverse shocks in the exchange rate and vice versa. Similar results are determined in the following studies: Kayhan et al (2013), Gök and Erkan (2021), and Karamelikli and Karimi (2022). In addition, results of other analyses indicate a causality relationship between negative shocks in the net capital investments to adverse shocks in the exchange rates.…”

Section: Concluding Remarksupporting

confidence: 87%

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Çelik

2022

ECO

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This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then, symmetric and asymmetric causality analysis was preferred to ascertain the relationship between the variables. Symmetric causality analysis results indicated a causality relationship from the exchange rate to the long-term debt stock, from the credit default swap (CDS) to the exchange rate, and from the exchange rate to the uncertainty index. The asymmetric causality analysis showed a causality relationship from positive shocks in the short-term debt stock to negative shocks in the exchange rate. Also, it was proven that there exists a causality relationship from negative shocks in the short-term external debt stock to positive and negative shocks in the exchange rate. Another result demonstrated a causality relationship between positive shocks in the exchange rate to negative shocks in the long-term debt stock. In addition, it was found that negative shocks in net capital investment were the cause of negative shocks in the exchange rate, while it was determined that there was a causality relationship from positive shocks in the net reserves to positive shocks in the exchange rate. In conclusion, the asymmetric causality relationship from positive shocks in CDS to positive shocks in exchange rates was detected.

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“…According to this approach, the interest difference between the two countries equals the expected value change in the exchange rate (Rowland, 2002). Studies examining exchange rates with asymmetric methods in the Türkiye sample are minimal (Karamelikli and Karimi, 2022). Furthermore, we encountered no study examining an asymmetrical approach in determining exchange rates based on UIRP theory in the Türkiye sample.…”

Section: Literature Reviewmentioning

confidence: 97%

Türkiye'de Makroekonomik Faktörlerin Nominal Döviz Kuru Üzerindeki Doğrusal ve Doğrusal Olmayan Etkileri

DEMİRHAN,

GÖKSU

2023

Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi

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This study examines the symmetrical and asymmetrical relationships between nominal exchange rates and some key macroeconomic indicators in Türkiye using ARDL and NARDL approaches. According to the findings, there is an asymmetric cointegration relationship between the variables, but this relationship is not symmetrical. Inflation is the most remarkable indicator of the exchange rate. While all variables have asymmetric effects in the long run, only exports have asymmetric effects in the short run. The effect of export increases on the exchange rate is more dominant than decreases. Positive shocks between Türkiye and the US interest rate decrease the nominal exchange rate. In general, the effects of positive shocks are more dominant than negative shocks.

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Asymmetric relationship between interest rates and exchange rates: Evidence from Turkey

Cited by 8 publications

References 29 publications

The Effects of Interest Rate on Real Effective Exchange Rate Volatility Spillover in Malaysia and Thailand: Empirical Evidence

The Effects of Interest Rate on Real Effective Exchange Rate Volatility Spillover in Malaysia and Thailand: Empirical Evidence

Dynamics of Exchange Rate Fluctuations in Turkey: Evidence from Symmetric and Asymmetric Causality Analysis

Türkiye'de Makroekonomik Faktörlerin Nominal Döviz Kuru Üzerindeki Doğrusal ve Doğrusal Olmayan Etkileri

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