美元/土耳其里拉与土耳其外资银行的carr -波动性连通性:TVP-VAR证据

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2022-01-01 DOI:10.22394/1993-7601-2022-67-5-26

Yakup Arı

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引用次数: 1

摘要

本文主要研究在土耳其开展业务的外资银行股价与汇率之间的波动溢出效应。更具体地说，本文分析了美元兑土耳其里拉汇率波动与外国银行在本国股票市场的股价波动之间的联系。本文选取总资产规模最大的10家外资银行，将其分为东资银行和西资银行两组。数据集包含2016-01-04 ~ 2022-01-17的每周数据。我们利用条件自回归极差(CARR)模型估计波动率，然后应用基于时变参数-向量自回归(TVP-VAR)的Diebold-Yilmaz连通性指数来揭示波动率的过渡和连通性。总连通性指数表明，东部面板和西部面板的预测误差方差分别有26.72%和54.75%来自于溢出分析中包含的其他资产。我们还探讨了净两两变动，发现美元兑日元的冲击在东部面板中主导了银行股的预测误差方差，而在西部面板中则是净波动接受者。

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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The CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR

This study focuses on the volatility spillover between the stock prices of foreign banks having business in Turkey and the exchange rate. More particularly, it analyzes the connectedness between the USD-TRY exchange rate volatility and the foreign banks’ stock price volatility in their own country’s stock markets. We select ten foreign banks with the biggest total assets and divide them into two panels: eastern and western capitalized banks. The dataset contains weekly data from 2016-01-04 to 2022-01-17. We estimate volatilities utilizing the Conditional Autoregressive Range (CARR) model and then apply the Time-Varying Parameter- Vector Autoregressive (TVP-VAR) based Diebold–Yilmaz Connectedness Index to reveal the transition and connectedness of volatility. The total connectedness indices show that 26.72 and 54.75% of the forecast error variance originate from other assets included in the spillover analysis for eastern and western panels, respectively. We also explore net pairwise comovements and find that shocks in USD-TRY have dominated on the forecast error variance of bank stocks in the eastern panel, while it is a net volatility receiver in the western panel.

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.