基于马尔可夫机制转换的汇率市场压力动态分析——以土耳其为例

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2022-06-21 DOI:10.15388/omee.2022.13.78

A. Ilhan, Coşkun Akdeniz, Metin Özdemir

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引用次数: 0

摘要

本研究采用马尔可夫制度转换模型分析了2006年1月至2019年12月期间土耳其外汇市场压力的动态。我们的研究结果表明，外汇市场存在两种制度，其特征是低压力期和高压力期。高压制度在样本期的主导地位表明，土耳其外汇市场普遍存在贬值压力。在此期间，通货膨胀、信贷增长和波动率指数的上升以及短期外债的下降加剧了压力。因此，在资本流动的情况下，政策当局对价格稳定和增长的偏好决定了压力的过程。当这些政策选择有利于信贷驱动的增长时，经常账户赤字会加剧外汇市场的贬值压力。

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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Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey

This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.