Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies

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dc.authorscopusid56127310200
dc.authorscopusid57222605910
dc.authorscopusid57450745200
dc.contributor.authorYıldırım, Durmuş Çağrı
dc.contributor.authorErdoğan, Fatma
dc.contributor.authorTarı, Elif Nur
dc.date.accessioned2022-05-11T14:04:48Z
dc.date.available2022-05-11T14:04:48Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis study aims to investigate real effective exchange rates and real commodity prices volatility transmission among Mexico, Indonesia and Turkey. According to the results, there is a bidirectional causality relationship between precious metals and the real exchange rate. However, this relationship varies over time. Especially in times of crisis such as the Covid-19 pandemic, the transfer of volatility disappears. Precious metals have a safe haven feature against the exchange rate. On the other hand, the reverse is not true. During the Covid period, the bilateral risk transfer between crude oil and exchange rate disappears. The crude oil and exchange rate have safe haven feature during the Covid-19 period. Only for Indonesia, there is risk transfer from oil to exchange rates. © 2022 Elsevier Ltd
dc.identifier.doi10.1016/j.resourpol.2022.102586
dc.identifier.issn0301-4207
dc.identifier.scopus2-s2.0-85124520078
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2022.102586
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4780
dc.identifier.volume76
dc.identifier.wosWOS:000767517400008
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.institutionauthorErdoğan, Fatma
dc.institutionauthorTarı, Elif Nur
dc.language.isoen
dc.publisherElsevier Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectEmerging market economies
dc.subjectReal commodity prices
dc.subjectReal exchange rate
dc.subjectTime-varying volatility spillover
dc.subjectCommerce
dc.subjectCosts
dc.subjectCrude oil
dc.subjectFinancial markets
dc.subjectEmerging market economy
dc.subjectEmerging markets
dc.subjectExchange rates
dc.subjectIndonesia
dc.subjectMarket economies
dc.subjectReal commodity prices
dc.subjectReal exchange rate
dc.subjectTime varying
dc.subjectTime-varying volatility spillover
dc.subjectVolatility spillovers
dc.subjectPrecious metals
dc.titleTime-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies
dc.typeArticle

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