Analysis of the spread of volatility between the exchange rate and commercial loan interest revenues affecting the expectations of market stakeholders: The example of Türkiye

In the study, the volatility spread between the returns of exchange rates and the returns of commercial interest rates is analyzed based on the weekly values of the selected exchange rates and commercial loan interests that affect the market expectations for the market stakeholders. In addition to the classical unit root tests, the RALS ADF and RALS LM unit root tests, which were developed with residuals considering the non-normality of the series, were applied to the series in question. Then, the volatility spillover was analyzed with the CCC-GARCH model, which is the Fixed Conditional Correlation Model, which is one of the multiple volatility models. In the first part of the study, econometric concepts related to time series are given. In the second part, explanations about the tests and methods discussed are given. In the third chapter, the concept of volatility and the models used in volatility research are mentioned, and in the last chapter, the results obtained by applying the application are shown. The study data consists of 1033 observations. Data for the period 04.01.2002 - 22.10.2021 were obtained weekly via TCMB Electronic Data Distribution System (EVDS).