汇率的时间和频率依赖性与国家风险：来自土耳其的证据

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2022-06-20 DOI:10.21098/bemp.v25i1.1838

Derviş Kırıkkaleli, M. Kartal, T. Adebayo

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引用次数: 3

摘要

本研究考察了土耳其外汇汇率与国家风险之间的时间和频率依赖关系。我们之所以考虑土耳其，是因为就这些指标的进展而言，它是一个负面的异常国家。使用1990/Q1至2018/Q4的季度数据和小波一致性方法，我们发现国家风险的增加会导致不同频率的外汇利率增加，尤其是在中长期和不同时期。研究结果强调了国家风险对外汇汇率进展的重要性。讨论了政策影响。

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

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.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks