Time and Frequency Dependency of Foreign Exchange Rates and Country Risk: Evidence From Turkey

Kırıkkaleli, Derviş; Kartal, Mustafa Tevfik; Adebayo, Tomiwa Sunday

doi:10.21098/bemp.v25i1.1838

Cited by 3 publications

(6 citation statements)

References 45 publications

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“…In the third group, various studies handle the FX rates from different perspectives [ 3 , 6 , 12 , 27 , 31 , 42 , 43 ]. Current studies in the literature highlight the significance of the FX rates for economies.…”

Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

“…Current studies in the literature highlight the significance of the FX rates for economies. In this context, some studies focus on the link between FX rates and CBR [ 17 , 24 ], whereas others examine the link between FX rates and country/sovereign risk proxied mainly by CDS spreads [ 12 , 26 , 27 , 30 , 31 , 40 , 41 ].…”

Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

“…There is no study examining the link between these variables altogether according to the best knowledge. On the other hand, it is acknowledged that some studies examine the link between some of these variables, such as CBR and sovereign risk [ 39 ]; CDS spreads and FX rates [ 16 ]; FX rates and sovereign/country risk [ 12 , 30 ], CBR and sovereign risk [ 24 ].…”

Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

“…Economic growth, inflation, interest rates, credit/deposit ratio, credit growth, non-performing loans, stock market indices, and unemployment are typical examples of these macroeconomic and financial indicators [ [5] , [6] , [7] , [8] , [9] ]. Although there are many indicators, CBR, CDS spreads, and FX rates are the ones, which are the most important indicators reflecting the soundness, riskiness, vulnerability, and predictability of countries [ [10] , [11] , [12] ].…”

Section: Introductionmentioning

confidence: 99%

“…In the literature, various studies scrutinize CBR [ 15 , [21] , [22] , [23] , [24] , [25] ], CDS spreads [ 10 , 11 , 16 , [26] , [27] , [28] ], and FX rates [ 12 , 26 , [29] , [30] , [31] ]. Even, some studies examine some of these indicators with other indicators in the same study.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic link between central bank reserves, credit default swap spreads, and foreign exchange rates: Evidence from Turkey by time series econometrics

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Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

Section: Conceptual Framework and Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Dynamic link between central bank reserves, credit default swap spreads, and foreign exchange rates: Evidence from Turkey by time series econometrics

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et al. 2023

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Self Cite

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Exploring the determinants of housing price bubbles in the Turkish economy: a COVID-related framework

Doruk

2024

IJHMA

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Purpose This study aims to explore a novel framework for housing price bubbles in the Turkish economy during the pandemic. It examines the probability of housing bubble formation relative to the pre-pandemic period and identifies possible determinants of housing bubbles in the Turkish economy. Design/methodology/approach In this study, a two-stage novel estimation method is applied. In the first stage, bubble periods are identified through the right-tailed supremum augmented Dickey–Fuller test. In the second stage, the determinants of these bubbles are identified, and the housing bubble determinants during the COVID-19 pandemic are compared to the pre-pandemic period. Findings The findings indicate that there is an asset price bubble in the housing market during the pandemic period. Furthermore, mortgage credit expansion, mortgage credit rates and the depreciation of the Turkish Lira against the USD could increase housing bubble formation. However, housing sector sales to foreign investors do not contribute to housing bubble formation during the pandemic in the Turkish housing market. Originality/value To the best of the author’s knowledge, this is the first study to address the relative determinants of housing bubbles in an emerging market context during the pandemic.

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Asymmetric relationship between global and national factors and domestic food prices: evidence from Turkey with novel nonlinear approaches

Kartal

Depren

2023

Financ Innov

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This study investigates the asymmetric relationship between global and national factors and domestic food prices in Turkey, considering the recent rapid and continuous increase in domestic food prices. In this context, six global and three national explanatory variables were included, and monthly data for the period from January 2004 to June 2021 were used. In addition, novel nonlinear time-series econometric approaches, such as wavelet coherence, Granger causality in quantiles, and quantile-on-quantile regression, were applied for examination at different times, frequencies, and quantiles. Moreover, the Toda-Yamamoto (TY) causality test and quantile regression (QR) approach were used for robustness checks. The empirical results revealed that (i) there is a significant relationship between domestic food prices and explanatory variables at different times and frequencies; (ii) a causal relationship exists in most quantiles, excluding the lowest quantile, some middle quantiles, and the highest quantile for some variables; (iii) the power of the effect of the explanatory variables on domestic food prices varies according to the quantiles; and (iv) the results were validated by the TY causality test and QR, which show that the results were robust. Overall, the empirical results reveal that global and national factors have an asymmetric relationship with domestic food prices, highlighting the effects of fluctuations in global and national variables on domestic food prices. Thus, the results imply that Turkish policymakers should consider the asymmetric effects of global and national factors on domestic food prices at different times, frequencies, and quantiles.

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Time and Frequency Dependency of Foreign Exchange Rates and Country Risk: Evidence From Turkey

Cited by 3 publications

References 45 publications

Dynamic link between central bank reserves, credit default swap spreads, and foreign exchange rates: Evidence from Turkey by time series econometrics

Dynamic link between central bank reserves, credit default swap spreads, and foreign exchange rates: Evidence from Turkey by time series econometrics

Exploring the determinants of housing price bubbles in the Turkish economy: a COVID-related framework

Asymmetric relationship between global and national factors and domestic food prices: evidence from Turkey with novel nonlinear approaches

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