Master'sOpen Access

Türkiye'de COVID-19 pandemi krizinde döviz kuru volatilitesi

2022
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Advisor: Doç. Dr. Ata Özkaya

Abstract (EN)

Understanding the reasons for the exchange rate movements, which are very popular in Turkey in recent days, is important in terms of ending this volatility that disrupts the welfare and social peace of the country in many areas. GARCH (1,1), one of the most widely used models in the literature, was used to find out which macroeconomic dynamics volatility originates from. The results obtained are that CDS premiums and VIX parameters affect exchange rate volatility during the COVID-19 pandemic period in between 2019 March and 2021 October. Moreover, it has been found that the volatility of the past period has a permanent and considerable effects on the volatility of today. In this case, policy makers are expected to prevent volatility by establishing a defense mechanism based on external dynamics rather than internal dynamics in cases of global crisis such as a pandemic.

Author

Dr. Ömer Faruk Altun

How to Cite

Ömer Faruk Altun (Master Thesis). Türkiye'de COVID-19 pandemi krizinde döviz kuru volatilitesi, 2022, Galatasaray University.

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