Exchange Rate Risk and Interest Rate: A Case Study for Turkey

被引：0
|
作者：
Hakan Berument
Asli Günay
机构：
[1] Bilkent University,Department of Economics
来源：
Open Economies Review | 2003年 / 14卷
关键词：
exchange rate risk; interest rate; GARCH; Turkey;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：19 / 27
页数：8
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