Effects Of Volatility Shocks On The Dynamic Linkages Between Exchange Rate, Interest Rate And The Stock Market: The Case Of Turkey
Effects Of Volatility Shocks On The Dynamic Linkages Between Exchange Rate, Interest Rate And The Stock Market: The Case Of Turkey
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DOI：
10.1016/j.econmod.2014.09.005
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发表时间：
2014-12
影响因子：
4.7
通讯作者：
A. Şensoy;Cihat Sobaci
中科院分区：
文献类型：
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作者：
A. Şensoy;Cihat Sobaci
本研究分析了2003年1月至2013年9月土耳其汇率(兑美元)、利率和股票市场(均以当地货币计算)之间的动态关系。特别是，本文试图回答这些重要变量之间的相关性在高波动时期是否突然变化，如果是这样的话，这种变化是暂时的还是永久的？在这种情况下，我们首先使用VAR(P)-FIAPARCH(1，d，1)-CDCC(1，1)方法估计这些变量之间的动态相关性。然后，我们通过一种新的惩罚对比函数的方法对波动率变化日期进行内生检测，并研究了动态相关性与高波动率周期之间的关系。结果表明，波动率冲击导致了动态相关性的突变，但这种影响只是短期的，并不在连续的高波动率区间内持续。因此，政策制定者和投资者无需担心长期传染效应。
This study analyzes the dynamic relationship between exchange rate (against US dollar), interest rate and the stock market (both in local currency) of Turkey from January 2003 to September 2013. In particular, the paper tries to answer if the correlations between these important variables change abruptly in high volatile periods and if they do, is this change temporary or permanent? In that manner, we first estimate the dynamic correlations between these variables using the VAR(p)–FIAPARCH(1,d,1)–cDCC(1,1) approach. Then, we endogenously detect the volatility shift dates by a novel method of penalized contrast functions and investigate the relation between the dynamic correlations and the high volatile periods. Results reveal that volatility shocks create abrupt changes in the dynamic correlations, however this effect is only short term and do not sustain between consecutive high volatility regimes. Thus, policymakers and investors do not need to be concerned about long run contagion effects.