Title: On asymmetry effects of exchange rate volatility in Turkey

Authors: Alper Aslan, Ferit Kula

Addresses: Faculty of Economics and Administrative Sciences, Department of Economics, Nevsehir University, Nevsehir 50300, Turkey. ' Faculty of Economics and Administrative Sciences, Department of Economics, Erciyes University, Kayseri 38039, Turkey

Abstract: In this paper, we examine the issue of volatility for both official and black market exchange rates of the Turkish lira using the monthly exchange rate against the US dollar for the period 1969-1998. The main findings are: 1) conditional shocks have a positive effect on exchange rate volatility; 2) shocks having asymmetric effects on official exchange rate volatility are more effective than that obtained from black market; 3) while an increase in official exchange rate volatility leads to a depreciation of the Turkish lira vis-a-vis the US dollar, an appreciation is observed for black market.

Keywords: black market; exchange rate volatility; EGARCH; emerging economies; Turkey; official exchange rates; asymmetry.

DOI: 10.1504/IJEPEE.2010.033786

International Journal of Economic Policy in Emerging Economies, 2010 Vol.3 No.2, pp.183 - 193

Published online: 30 Jun 2010 *

Full-text access for editors Access for subscribers Purchase this article Comment on this article