Exchange Rate Risk and Interest Rate: A Case Study for Turkey
Open Economies ReviewPublished 1 January 2003
Hakan Berument, Aslı Günay
Citations35
SJR quartileQ2
SJR score0.48
SNIP1.16
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Abstract
This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001.
Keywords
Economics, Econometrics and Finance
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