Author/Authors :
gök, ibrahim yaşar süleyman demirel üniversitesi - iktisadi ve idari bilimler fakültesi - bankacılık ve finans bölümü, Turkey , göçmen yağcilar, gamze süleyman demirel üniversitesi - iktisadi ve idari bilimler fakültesi - bankacılık ve finans bölümü, Turkey
Title Of Article :
The Response of USD/TL Exchange Rate to Macroeconomic Surprises
Abstract :
In this study, it is aimed to investigate the effects of the macroeconomic news surprises, which is the difference between the actual data and the expectations of the macroeconomic news, on the USD/TL exchange rate. In this context, effects of the surprises for 18 US and 10 Turkish macroeconomic news on the daily exchange rate level and volatility are examined in the period of 01.02.2009-06.30.2016 by applying EGARCH (1,1) model. While the Turkish macroeconomic news surprises do not have significant effects on the exchange rate level, the surprises of the Turkish one-week repo rate and producer price index (PPI) have significant impacts on the conditional volatility. For the US macroeconomic news, while higher than expected factory orders and non-farm payrolls significantly appreciate the US dollar, the surprises of Institute of Supply Management (ISM) manufacturing purchasing managers index (PMI) and unemployment rate significantly affect the conditional volatility. These findings indicate that the US news surprises have a more prominent effect than Turkish news surprises on the exchange rate level. Also, it is concluded that the US ISM manufacturing PMI, US unemployment rate, and Turkish one-weekly repo rate surprises increase the uncertainty in the market, the surprises of Turkish PPI have a calming effect on the market.
NaturalLanguageKeyword :
Macroeconomic News Surprises , US Dollar , TL , Exchange Rate Level , Exchange Rate Volatility , EGARCH
JournalTitle :
Journal Of Economics and Administrative Sciences
