Exchange rate risk and interest rate:: A case study for Turkey

被引：11

作者：

Berument, H ^{[1
]}

Günay, A ^{[1
]}

机构：

[1] Bilkent Univ, Dept Econ, TR-06533 Ankara, Turkey

来源：

OPEN ECONOMIES REVIEW | 2003年 / 14卷 / 01期

关键词：

exchange rate risk; interest rate; GARCH; Turkey;

D O I：

10.1023/A:1021243101272

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001.

引用

页码：19 / 27

页数：9

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