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Time And Frequency Dependency Of Foreign Exchange Rates And Country Risk: Evidence From Turkey

Dervis Kirikkaleli - ; Mustafa Tevfik Kartal - ; Tomiwa Sunday Adebayo - ;

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


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Majalah)1
PenerbitJakarta: Bank Indonesia 2022
EdisiVolume 25, Number 1, 2022
SubjekCountry risk
Foreign exchang rates
ISBN/ISSN2460-9196
KlasifikasiNONE
Deskripsi Fisik134 p.
Info Detail SpesifikBulletin Of Monetary Economics And Banking
Other Version/RelatedTidak tersedia versi lain
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