Bitcoin as a global risk and the woes of the Turkish Lira

被引：0

作者：

Napari, Ayuba ^{[1
]}

Parlaktuna, Inci ^{[2
]}

机构：

[1] Ibn Haldun Univ, Sch Grad Studies, Istanbul, Turkey

[2] Eskisehir Osmangazi Univ, Fac Econ & Adm Sci, Dept Econ, Eskisehir, Turkey

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2022年

关键词：

Bitcoin; Turkish Lira; global risk; exchange rate; volatility; VOLATILITY; CURRENCY;

D O I：

10.1080/17520843.2022.2159149

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Owing to the high penetration of cryptocurrencies in the Turkish Economy, we sought to determine whether cryptocurrencies as represented by Bitcoin has become a global risk for the Turkish Lira. To accomplish this, we model the Turkish Lira exchange rate returns volatility using threshold GARCH-M with Bitcoin as an exogenous covariate. Bitcoin was found to be a contributor to Turkish forex volatility up until January 2018 when the 'ongoing' currency crisis started. Bitcoin, however, lost its volatility contributory power from January 2018. This result is robust to the inclusion of CBOE-VIX, iShares MSCI Turkey EFT, and the dollar-lira interest rate differential as control variables.

引用

页数：15

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