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The role of inflation and interest rates on exchange rate volatility in Turkey
University West, School of Business, Economics and IT.
2025 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Turkey has experienced high exchange rate volatility in the last 20 years, and this study investigates the following research question: What is the effect of inflation and interest rate on exchange rate volatility in Turkey? The study used quarterly data from 2004-2023, which includes 80 observations, where a GARCH model was applied to calculate the volatility. Diagnostic tests in the form of tests for autocorrelation and heteroscedasticity were carried out, followed by unit root tests on the variables as well as a test for co-integration. Ordinary Least Squares (OLS) was applied for the regression analysis, along with a Vector-autoregressive model to test for Granger-causality. The OLS results showed that inflation and interest rate both have a positive significant effect on exchange rate volatility, while it was proved that both inflation and interest rate Granger-cause exchange rate volatility unidirectional

Place, publisher, year, edition, pages
2025. , p. 34
Keywords [en]
Exchange rate volatility, inflation, interest rate, OLS, Granger-causality.
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-23615Local ID: EXF800OAI: oai:DiVA.org:hv-23615DiVA, id: diva2:1976064
Subject / course
Nationalekonomi
Educational program
Magister i finans
Supervisors
Examiners
Available from: 2025-06-25 Created: 2025-06-24 Last updated: 2025-09-30Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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