Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey

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dc.authoridİLHAN, Ali/0000-0001-6201-5353
dc.authoridAkdeniz, Coşkun/0000-0002-3973-754X
dc.authorscopusid57224442289
dc.authorscopusid57200762540
dc.authorscopusid57212762262
dc.authorwosidAkdeniz, Coşkun/AAQ-8119-2020
dc.authorwosidİLHAN, Ali/ACJ-0180-2022
dc.contributor.authorİlhan, Ali
dc.contributor.authorAkdeniz, Coşkun
dc.contributor.authorÖzdemir, Metin
dc.date.accessioned2023-04-20T08:02:28Z
dc.date.available2023-04-20T08:02:28Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.
dc.identifier.doi10.15388/omee.2022.13.78
dc.identifier.endpage259
dc.identifier.issn2029-4581
dc.identifier.issn2345-0037
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85133845309
dc.identifier.scopusqualityQ4
dc.identifier.startpage238
dc.identifier.urihttps://doi.org/10.15388/omee.2022.13.78
dc.identifier.urihttps://hdl.handle.net/20.500.11776/10948
dc.identifier.volume13
dc.identifier.wosWOS:000817934200011
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorİlhan, Ali
dc.institutionauthorAkdeniz, Coşkun
dc.language.isoen
dc.publisherVilnius Univ
dc.relation.ispartofOrganizations and Markets In Emerging Economies
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCapital Flows
dc.subjectExchange Rate
dc.subjectExchange Market Pressure
dc.subjectMacroeconomic Fundamentals
dc.subjectManaged Floating Exchange Rate Regime
dc.subjectMarkov Regime Switching
dc.subjectTurkey
dc.subjectMonetary-Policy
dc.subjectEmerging Markets
dc.subjectCurrency Crises
dc.subjectEconomies
dc.subjectRates
dc.subjectIntervention
dc.subjectDeterminants
dc.subjectModel
dc.titleAnalyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey
dc.typeArticle

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