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This study investigated the impact of exchange rate volatility on sectoral stock volatility by employing the intraday volatility measure directly calculated from the original data, using daily data from 27 Borsa Istanbul sectors between April 29, 2003, and April 25, 2023. In the literature, GARCH models are commonly used to study the volatility spillovers between exchange rates and stock prices, typically using aggregate data. However, the GARCH family models provide inefficient and biased estimates if they are misspecified. Moreover, using aggregate-level data may lead to biased and misleading conclusions. The research used intraday volatility measures to overcome the shortcomings of GARCH models. The ordinary least squares (OLS), GARCH (1,1) methods, and Garman and Klass (1980) volatility estimator are used. The empirical results showed that the estimates from each method vary significantly, and these disparities in the results might be due to misspecification in GARCH (1,1) models. The intraday volatility model estimation results showed that although stock price volatilities in all sectors are positively and significantly affected by exchange rate volatility, their magnitudes vary significantly. Taken together, this implies the presence of vast heterogeneities in the responses of sectoral stock price volatilities to exchange rate volatility. The results encourage policymakers to pay special attention to these heterogeneities to prevent capital flights and underinvestment. Additionally, the findings assist investors in making more effective decisions by helping them adapt their investment strategies to factor in exchange rate fluctuations and mitigate the impact of unexpected events in the exchange rate market. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Economic Policy Researches / İktisat Politikası Araştırmaları Dergisi is the property of Journal of Economic Policy Researches / Iktisat Politikasi Arastirmalari Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

With the collapse of the Bretton Woods system, the transition to the flexible exchange rate system was achieved and the effect of exchange rate volatility on macroeconomic factors has been the subject of many studies. Under these conditions, modelling volatility, determining exchange rate volatility and stock market index volatility and volatility spillovers are important for market actors. In this context, the aim of the study is to examine the interaction between exchange rate volatility and stock market index volatility between 2002-2021 in Turkey. In the study, US dollar volatility data and Euro volatility data are used as exchange rate variables, and BIST100, BISTHIZ, BISTSINAI indices volatility data are used as stock market variables. The stationarity of the data set used in the study is examined with ADF unit root test and Lee-Strazicich unit root test. TodaYamamoto Model is used to determine the causality relationship between exchange rate volatility and stock market index volatility. Then, with variance decomposition tests, it is determined how much of the change in the variables is caused by itself and how much is caused by other variables. Finally, the response of the variables used in the research to unit shocks is examined by impulse-response tests. According to the Toda-Yamamoto causality test, it is concluded that there is a two-way causality relationship in terms of all index variables and exchange rate volatility variables. [ABSTRACT FROM AUTHOR]

The problems faced by states within the fundamentals of this economy can in turn affect macroeconomic stability. One of the most sensitive macroeconomic indicators of external economic disruption is the currency exchange rate. In international trade, the exchange rate serves as a barometer of international competitiveness, so the volatility of exchange rates should be a good consideration for investors, companies, and consumers in a country. Porpose of this study was to examine the relationship between the volatility of the dollar exchange rate on international trade variables, namely exports and imports, in 3 Muslim-majority countries. The method used is the Autoregressive Distributed Lag and Error Correction Model (ARDL-ECM) to analyze the short-term and long-term relationship between the volatility of the dollar exchange rate against international trade in Indonesia, Pakistan, and Turkey. And to see the causality relationship between variables, the Granger-Causality method is used. The data used are monthly data for the period January 2006 to December 2021. From this research, it can be seen that in the long term there is no relationship between exchange rate volatility and export performance except in Turkey. Meanwhile, there is a relationship between exchange rate volatility and import performance in Pakistan and Turkey. In the short term in the export dependent model, Turkey is the country that takes the longest to respond to shocks to international trade, while in the import dependent model, Indonesia takes the longest to respond to shocks and Pakistan is the fastest country. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Finance Letters / Maliye Finans Yazıları Dergisi is the property of Maliye Finans Yazilari Yayimcilik Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper aims to investigate (i) whether there is a certain threshold level that changes the effect of the relative real effective exchange rate on demand for tourism and, (ii) whether the volatility of the relative real effective exchange rate has an impact on demand for international tourism considering the non-linear relationship between the ratio of Turkey's real effective exchange rate to the real effective exchange rates of 29 OECD countries and the demand for international tourism in Turkey. Empirical results suggest that the real effective exchange rate has a threshold on demand for international tourism. Further, the relative real effective exchange rate volatility generating uncertainty has a significant and negative effect on demand for international tourism. [ABSTRACT FROM AUTHOR]

Resulting the February 2001 crisis, Turkey switched to floating exchange rate system in the early 2000s. In theory, it is accepted that the floating exchange rate system not only absorbs shocks but also provides freedom in monetary policies for the central bank. In recent decades, however, variations in exchange rates and volatility have been larger than that of predicted by theoretical models, especially in the developing countries. Based on autoregressive-distributed lag (ARDL) bound test method, this article investigates the impact of exchange rate changes and volatility on the level of employment in Turkey by using quarterly data for a sixteen-year period covering 2004:Q1-2020:Q1. AR (1)-TGARCH (1,1) technique was used to measure exchange rate volatility. According to ARDL bound test results, while increases in exchange rate positively affects the level of employment, the exchange rate volatility affects it negatively. In addition, rise in exports provides positive support to the growth in employment level. Lastly, there is an inverse relationship between interest rates and employment level. These results indicate that the development in economic circumstances provides positive support to the investment enthusiasm of economic decision makers and that growing business volumes increase the number of employed people. [ABSTRACT FROM AUTHOR]

The goal of this paper is to show how the exchange rate volatility could be managed during political crises, using as a case study the fragile political relationship between USA and Turkey between 2014-2019. The Turkish Lira has dramatically dropped against the US dollar to a record low level in August 2018. The Turkish president accused the American president of economic war, insisting that his country would survive an economic assault, but neglecting to comfort financial markets (worried about the breakdown of the national currency of a crucial emerging economy). Meanwhile, investors feared that a financial crisis could spread throughout Europe. Fears of contagion remained high, although the central bank of Turkey pledged to provide liquidity for Turkish banks. On this background, this paper tries to find if different specifications of univariate GARCH models can anticipate volatility in the foreign exchange market. Our study uses estimates from a symmetric GARCH model, namely GARCH (1,1) for TRY/USD exchange rate. The data set was obtained from “Investing.com” and covers the period January 2014 – October 2019. This study shows that GARCH (1, 1) can be successfully applied in modelling and forecasting the volatility trend of the currencies and so in exchange rate administration. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Management & Economics Research is the property of Journal of Management & Economics Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Is exchange rate volatility an important determinant of tax revenues? This study seeks, in the light of this question, empirical evidence on the relationship between volatility in exchange rates and tax revenues in the case of Turkey. Monthly data on exchange rate volatility, tax revenues, industrial production index and inflation rate for the period 2006:01-2019:12 are utilized for research purposes. The short-run and longrun dynamics between the variables are analyzed using the Autoregressive Distributed Lag (ARDL) model to shed some light on the macroeconomic determinants of tax revenues, with a new perspective considering exchange rate volatility. The results of the ARDL bounds test show that volatility in the exchange rate has a negative effect on tax revenues in the long-run, but positively in the short-run. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Social Sciences Institute / Sosyal Bilimler Enstitüsü Dergisi is the property of Bingol University / Rectorate and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

By applying the model EGARCH between 2017 and 1970. Political Instability and volatility of economic indicators in Turkey were examined. As indicators of political instability; The local elections, general elections, coalition periods, referendum periods, terror lace, strikes, coups and coup attempts, annual figures and puppet variables related to exports, imports and interest-e were used. According to the findings, political instability was found to have a positive effect on the Exchange Rate and a negative effect on the GDP. [ABSTRACT FROM AUTHOR]

Previous studies that assessed the impact of exchange rate volatility on Turkey's trade flows, assumed that the effects are symmetric. We change that assumption by assessing the possibility of asymmetric effects of the real lira-euro GARCH-based volatility on trade flows of 62 2-digit industries that trade between Turkey and EU. Like previous research when we assumed symmetric effects and estimated a linear model for each industry, we found short-run effects of volatility on 26 Turkish exporting industries to EU and on 40 EU exporting industries to Turkey. These short-run effects lasted into the long run only in 11 Turkish and 19 EU exporting industries. However, when we estimated a nonlinear model, we found short-run asymmetric effects of volatility on 38 Turkish and 49 EU exporting industries. Short-run asymmetric effects translated into long-run asymmetric effects in 19 industries in both groups. [ABSTRACT FROM AUTHOR]

Carry trade is a speculative financial transaction and a leveraged exchange rate position. Thus, a sudden unwinding in carry trade position leads to a sharp depreciates in the high-interest currency and to increase exchange rate volatility. It can cause global imbalances and financial crises and therefore it can ensue as a source of financial fragility and instability. In this study, we examined effects of unwinding of carry trade on financial variables in regimes when interest rate differential and TL/USD exchange rate volatility are high and low, over the period of January 2005-September 2017 in Turkey. From the results of this study, we concluded that a sudden unwinding of carry trade position led to decrease of interest rate and BİST 100 return and increase of inflation rate in regimes when interest rate differential is high and low. So-called unwinding led to depreciate Turkish Lira and decrease of BİST 100 return in regimes when exchange rate volatility is high and low. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The aim of the study is to construct the model of the volatility in exchange rates considering the asymmetric effects determined by Engel and Ng (1993) sign and size bias tests. Accordingly, the volatility of the TL against EURO which is the currency of European countries having the biggest share of Turkey's foreign trade is examined by asymmetric GARCH models. A model using monthly time series data covering the period between 1999M01- 2019M05 is employed. The size and dimension of the residuals of the previous period have a significant effect on the explanation of exchange rate volatility. According to the results obtained from the asymmetric GARCH models (E-GARCH, TGARCH and APGARCH), positive shocks in the EURO/TL exchange rate have stronger effect than the negative shocks of the same magnitude. Finally, it is concluded based on forecasting error statistics that the best model for estimating the EURO/TL exchange rate volatility is TGARCH model. [ABSTRACT FROM AUTHOR]

This article investigates the long run impacts of exchange rate volatilities on export volumes in six developing countries, Turkey, Indonesia, Brazil, Mexico, Poland, and Chile. The exchange rate volatility is estimated by both ARCH/GARCH and moving sample standard deviation-based volatility proxies. Error correction representation of the long run export model reveals that there is not cointegration relationship for Brazil, Indonesia, and Chile while the results support the cointegration relationship for Turkey, Mexico, and Poland. Second, world income is major determinant driving export volumes in Turkey, Mexico, and Poland. Third, there is a significant negative relationship between exchange rate level and export volumes in Turkey and Mexico in line with theory. Finally, the measure of exchange rate volatility carries a significant negative coefficient in the case of Poland but a significant positive coefficient in the case of Turkey. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Management & Economics Research is the property of Journal of Management & Economics Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Uluslararasi Ekonomi ve Yenilik Dergisi is the property of Karadeniz Technical University, Depertmant of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Since advent of the current float, like many other currencies the Turkish lira has followed a volatile path. Several previous studies have assessed the impact of this volatility on Turkish exports and imports using aggregate trade flows of Turkey. Not much significant effects are found. In this paper, we use disaggregated Turkish imports and exports of 61 industries that trade with the rest of the world and find that exchange rate volatility has short-run significant impact on the imports of 39 industries and exports of 23 industries. The short-run effects last into the long run in almost half of the industries. [ABSTRACT FROM AUTHOR]

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkey's export. To this end, the panel cointegration analysis is applied to the data from Turkey's top 20 export industries to major 20 trading partners for the period 1980–2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications. [ABSTRACT FROM AUTHOR]

This study investigates the effect of the exchange rate volatility and the real exchange rate on the bilateral agricultural exports flows of Turkey to 46 countries. A panel data set, which contains 46 cross-sections and 1840 observations, is used for exports of the selected agricultural commodities to countries from 1971 to 2010. Our empirical results based on a gravity equation show that while the exchange rate volatility does not exert a significant effect on the Turkish agricultural commodity exports, the real exchange rate has a statistically significant effect on the agricultural commodity export flows. Regardless of the region chosen, raisins and tobacco exports are very much sensitive to the real exchange rates. It means that any depreciation in the Turkish Lira leads to higher exports for these commodities. We have also some interesting results on other commodities. Exports of dried figs show no sensitivity to the exchange rate or its volatilities, except for the EU countries. For the full sample, exports of citrus, grape and hazelnuts increases as the TL depreciates. The sensitivity of hazelnut to the real exchange rates varies among regions. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Travel & Hospitality Management / Seyahat ve Otel İşletmeciliği Dergisi is the property of SIMEDYA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The impact of real exchange rate volatility on the exports of a country is one of the crucial issues to consider. In this paper, the effect of exchange rate volatility on the exports of Turkey is investigated. Four of the leading industries of Turkey are chosen and examined for the period 2003-2011. Bounds test and ARDL approach are applied to the monthly figures of the variables. According to the empirical findings of the analysis, exchange rate volatility does not have any significant effect on the exports of chemistry, automotive, electric-electronic and iron-steel industries of the country. [ABSTRACT FROM AUTHOR]

This paper attempts to investigate the long-run and short-run relationships between Turkish exports, exchange rate volatility, foreign income, and relative prices by employing quarterly data for the period 1993Q3-2009Q4. Towards this purpose, multivariate cointegration and error correction model (ECM) techniques are used in this study. The long-run estimation results suggest that foreign income and real exchange rate volatility exert positive and statistically significant impacts on Turkish exports, while relative prices affect Turkish exports negatively and significantly. In addition, the results of the ECM model indicate that relative prices have a negative and significant effect, foreign income has an insignificant effect, and nominal exchange rate volatility has a positive and significant effect on Turkish exports. [ABSTRACT FROM AUTHOR]

Summary: Employing a unique panel of 691 private firms that accounted for 26% of total value added in manufacturing in Turkey, the paper explores the impacts of exchange rate volatility on employment growth during the period of 1983–2005. The empirical analysis using a variety of specifications, estimation techniques, and robustness tests suggests that exchange rate volatility has a statistically and economically significant employment growth reducing effect on manufacturing firms. Using point estimates, the results suggest that for an average firm a one standard deviation increase in real exchange rate volatility reduces employment growth in the range of 1.4–2.1 percentage points. [Copyright &y& Elsevier]

Copyright of Gazi University Journal of Economics & Administrative Sciences is the property of Gazi University Faculty of Economics & Administrative Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper evaluates the developments in the Turkish economy in light of the Central Bank of Turkey’s (CBT) policies during a recent period of floating exchange rate system (March 2001–July 2003). It is found that the CBT was effective in containing volatility and reducing the average inflation rate while there was a strong recovery of output. However, there are accumulated risks in the economy. Particularly, the extreme appreciation of the Turkish lira during this period and the record level of real interest rates give the impression that the current state of the economy is fragile. Unless the government accelerates the structural reform process and pursues sound fiscal policies to reduce the public sector borrowing requirement and the debt ratio, an adverse shock to the system may trigger a reversal of fortune. [ABSTRACT FROM AUTHOR]

This paper empirically investigates the impact of real exchange rate volatility on the export flows of Turkey to the United States and its three major trading partners in the European Union for the period 1990:1-2000:12. The standard deviation of the percentage change in the real exchange rate is employed to measure the exchange rate volatility. Cointegration and error-correction models are used to obtain the estimates of the cointegrating relations and the short-run dynamics, respectively. The results obtained in this paper, on the whole, provide evidence that the real exchange rate volatility has a significant negative effect on real exports. [ABSTRACT FROM AUTHOR]