Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey
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| Format: | Artículo científico |
| Language: | en |
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Vilniaus Universitetas
2022
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| _version_ | 1866813307587919872 |
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| author | Ali İlhan |
| author_facet | Ali İlhan |
| contents | Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey Ali İlhan Coşkun Akdeniz Metin Özdemir Economía y Finanzas Turkey Capital flows exchange rate Markov regime switching exchange market pressure 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. 2022 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692372942011 https://www.redalyc.org/journal/6923/692372942011/ https://www.redalyc.org/journal/6923/692372942011/html/ https://www.redalyc.org/journal/6923/692372942011/692372942011.epub https://www.redalyc.org/journal/6923/692372942011/movil https://doi.org/10.15388/omee.2022.13.78 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.13 |
| format | Artículo científico |
| id | redalyc_692372942011 |
| language | en |
| publishDate | 2022 |
| publisher | Vilniaus Universitetas |
| spellingShingle | Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey Ali İlhan Economía y Finanzas Turkey Capital flows exchange rate Markov regime switching exchange market pressure Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey Ali İlhan Coşkun Akdeniz Metin Özdemir Economía y Finanzas Turkey Capital flows exchange rate Markov regime switching exchange market pressure 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. 2022 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692372942011 https://www.redalyc.org/journal/6923/692372942011/ https://www.redalyc.org/journal/6923/692372942011/html/ https://www.redalyc.org/journal/6923/692372942011/692372942011.epub https://www.redalyc.org/journal/6923/692372942011/movil https://doi.org/10.15388/omee.2022.13.78 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.13 |
| title | Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey |
| topic | Economía y Finanzas Turkey Capital flows exchange rate Markov regime switching exchange market pressure |
| url | https://www.redalyc.org/articulo.oa?id=692372942011 https://www.redalyc.org/journal/6923/692372942011/ https://www.redalyc.org/journal/6923/692372942011/html/ https://www.redalyc.org/journal/6923/692372942011/692372942011.epub https://www.redalyc.org/journal/6923/692372942011/movil https://doi.org/10.15388/omee.2022.13.78 |