文章基本信息

标题：Does Currency Substitution Affect Exchange Rate Uncertainty? The Case of Turkey
作者：Cem SAAT..O.LU Cihan BULUT H. Levent KORAP
期刊名称：Journal of Qafqaz Universty
印刷版ISSN：1302-6763
出版年度：2007
卷号：20
出版社：Qafqaz University
摘要：In this paper, we investigate whether currency substitution can affect exchange rate uncertainty for the Turkish economy. Considering the whole time period 1987M01‐2006M12 as well as sub‐periods 1987M01‐ 1999M12 and 2001M03‐2006M12 for sensitivity analysis, our estimation results employing contemporaneous exponential GARCH (EGARCH) methodology of Nelson (1991) indicate that currency substitution leads to exchange rate uncertainty. Besides, conditional variance reacts more to past positive shocks than to negative innovations of equal size.
关键词：exchange rate, dollarization, currency substitution, inflation, exponential GARCH models, conditional variance, leverage effect, Turkish economy