DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY?
Most of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP). After intensive financial liberalization processes and mostly preferred free exchange rate regimes, a new area of research starts to involve the investi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2012-01-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | http://www.econjournals.com/index.php/ijefi/article/view/276/pdf |
| _version_ | 1828022269097541632 |
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| author | Ozcan Karahan Olcay Çolak |
| author_facet | Ozcan Karahan Olcay Çolak |
| author_sort | Ozcan Karahan |
| collection | DOAJ |
| description | Most of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP). After intensive financial liberalization processes and mostly preferred free exchange rate regimes, a new area of research starts to involve the investigation whether UIP holds for developing economies differently. Accordingly, we tested the UIP for Turkey’s monthly interest rate and exchange rate data between 2002 and 2011. We run conventional regressions in the form of Ordinary Least Squares (OLS) and used a simple Generalized Autoregressive Conditional Heteroskedasticity (GARCH) analysis. The empirical results of both methods do not support the validity of UIP for Turkey. Thus, together with most of the earlier empirical studies focusing on developed countries and detecting the invalidity of UIP, we can argue that the experience of Turkey and developed economies are not different. |
| first_indexed | 2024-04-10T12:06:37Z |
| format | Article |
| id | doaj.art-1ff08768b06d4b5586eed287b5ef8e28 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T12:06:37Z |
| publishDate | 2012-01-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-1ff08768b06d4b5586eed287b5ef8e282023-02-15T16:16:12ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382012-01-0124386394DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY?Ozcan KarahanOlcay ÇolakMost of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP). After intensive financial liberalization processes and mostly preferred free exchange rate regimes, a new area of research starts to involve the investigation whether UIP holds for developing economies differently. Accordingly, we tested the UIP for Turkey’s monthly interest rate and exchange rate data between 2002 and 2011. We run conventional regressions in the form of Ordinary Least Squares (OLS) and used a simple Generalized Autoregressive Conditional Heteroskedasticity (GARCH) analysis. The empirical results of both methods do not support the validity of UIP for Turkey. Thus, together with most of the earlier empirical studies focusing on developed countries and detecting the invalidity of UIP, we can argue that the experience of Turkey and developed economies are not different.http://www.econjournals.com/index.php/ijefi/article/view/276/pdfUncovered Interest Rate ParityOLSGARCH |
| spellingShingle | Ozcan Karahan Olcay Çolak DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? International Journal of Economics and Financial Issues Uncovered Interest Rate Parity OLS GARCH |
| title | DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? |
| title_full | DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? |
| title_fullStr | DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? |
| title_full_unstemmed | DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? |
| title_short | DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY? |
| title_sort | does uncovered interest rate parity hold in turkey |
| topic | Uncovered Interest Rate Parity OLS GARCH |
| url | http://www.econjournals.com/index.php/ijefi/article/view/276/pdf |
| work_keys_str_mv | AT ozcankarahan doesuncoveredinterestrateparityholdinturkey AT olcaycolak doesuncoveredinterestrateparityholdinturkey |