TIME AND FREQUENCY DEPENDENCY OF FOREIGN EXCHANGE RATES AND COUNTRY RISK: EVIDENCE FROM TURKEY

Authors

Derviş Kirikkaleli, European University of Lefke, TurkeyFollow
Mustafa Tevfik Kartal, Borsa İstanbul Strategic Planning, Financial Reporting, and Investor Relations Directorate, TurkeyFollow
Tomiwa Sunday Adebayo, Cyprus International University, TurkeyFollow

Document Type

Article

Abstract

This study examines the time and frequency dependency nexus between foreign exchange (FX) rates and country risk in Turkey. We considered Turkey because it is a negative outlier country in terms of the progress of these indicators. Using quarterly data from 1990/Q1 to 2018/Q4 and the Wavelet Coherence approach, we find that an increase in the country risk causes an increase in the FX rates at different frequencies, especially in the medium and long term and different periods. The results highlight the significance of country risk for the progress of the FX rates. Policy implications are discussed

Recommended Citation

Kirikkaleli, Derviş; Kartal, Mustafa Tevfik; and Adebayo, Tomiwa Sunday (2022) "TIME AND FREQUENCY DEPENDENCY OF FOREIGN EXCHANGE RATES AND COUNTRY RISK: EVIDENCE FROM TURKEY," Bulletin of Monetary Economics and Banking: Vol. 25: No. 1, Article 10.
DOI: https://doi.org/10.21098/bemp.v25i1.1838
Available at: https://bulletin.bmeb-bi.org/bmeb/vol25/iss1/10

First Page

37

Last Page

54

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Turkey

Affiliation

European University of Lefke