On Determinants of Exchange Market Pressure in Turkey: The Role of Model Uncertainty

Gülden POYRAZ; Ahmet İNCEKARA

doi:https://doi.org/10.26650/JECS2020-0110

Makale detayları

On Determinants of Exchange Market Pressure in Turkey: The Role of Model Uncertainty

Yazarlar:

Gülden POYRAZ | Ahmet İNCEKARA

Yayıncı:

Istanbul University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economy Culture and Society 2021 Issue 63, pp.199-211

Belge Tipi:

Makale

Yayın Tarihi:

6/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000499651

Sıklık:

İki Yıllık

eISSN:

2645-8772

DOI:

https://doi.org/10.26650/JECS2020-0110

Özet:

 

Macroeconomic and financial indicators have a significant impact on the exchange market pressure (EMP) in Turkey. Despite the huge amount of literature on the subject, there is no study focusing on Turkey that takes into account the role of model uncertainty on exchange market pressure. The role of model uncertainty should be taken into consideration, given the  lack  of  a  unique  theoretical  framework  on  the  exchange  markets  pressure  and  a  set  of  numerous  explanatory  variables.  The  Bayesian  model   averaging   (BMA)   technique   is   capable   of   determining   as   to   whether any explanatory variable should be included in the analysis, i.e. the models with high posterior probability. To this end, the determinants of  the  exchange  market  pressure  index  (EMPI)  in  Turkey  for  the  period  of  2010M1-2020M3  are  identified  using  the  Bayesian  model  averaging  which  takes  into  account  the  role  of  model  uncertainty.  Model  results  indicate that the slope of the yield curve, domestic credit growth, the long term  yield  differentials,  and  short-term  portfolio  flows  play  a  significant  role as determinants of the exchange rate pressures of Turkey.

Makale detayları

On Determinants of Exchange Market Pressure in Turkey: The Role of Model Uncertainty

Yazarlar: Gülden POYRAZ | Ahmet İNCEKARA

Yayıncı: Istanbul University

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Journal of Economy Culture and Society 2021 Issue 63, pp.199-211

Belge Tipi: Makale

Yayın Tarihi: 6/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000499651

Sıklık: İki Yıllık

eISSN: 2645-8772

DOI: https://doi.org/10.26650/JECS2020-0110

Sayı

Yazarlar:

Gülden POYRAZ | Ahmet İNCEKARA

Yayıncı:

Istanbul University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economy Culture and Society 2021 Issue 63, pp.199-211

Belge Tipi:

Makale

Yayın Tarihi:

6/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000499651

Sıklık:

İki Yıllık

eISSN:

2645-8772

DOI:

https://doi.org/10.26650/JECS2020-0110