Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

IF 1.7 Q3 BUSINESS, FINANCE

Journal of Central Banking Theory and Practice Pub Date : 2022-09-01 DOI:10.2478/jcbtp-2022-0028

Erkan Demirbaş, Nurettin Can

引用次数: 1

Abstract

Abstract This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four different variables are separately used that represent the ROM tool, i.e. the amount of FX reserves of CBRT via ROM, and the share of the FX reserves via ROM in Gross FX Reserves of CBRT. Our findings are convincing to say FX facility and the ratio of utilization for the FX facility to ensure the results are statistically meaningful during this period.

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美联储缩减量化宽松期间储备期权机制对汇率波动的影响

摘要本研究调查了ROM的有效性。我们采用GARCH（1,1）模型来确定ROM是否有助于降低2013-2014年期间美元/TL汇率的波动性。我们构建了四个模型，其中分别使用四个不同的变量来表示ROM工具，即CBRT通过ROM的外汇储备金额，以及通过ROM的汇率储备在CBRT总外汇储备中的份额。我们的研究结果令人信服地表明，外汇贷款和外汇贷款的使用率确保了这一时期的结果具有统计意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Central Banking Theory and Practice BUSINESS, FINANCE-

CiteScore

2.80

自引率

57.10%

发文量

审稿时长

7 weeks

期刊介绍： Journal of Central Banking Theory and Practice is a scientific journal dedicated to publishing quality papers and disseminating original, relevant and applicable economic research. Scientific and professional papers that are published in the Journal of Central Banking Theory and Practice cover theoretical and practical aspects of central banking, monetary policy, including the supervision issues, as well as banking and management in central banks. The purpose of the journal is to educate the general public about the key issues that the central bankers globally face, as well as about contemporary research and achievements in the field of central banking theory and practice.