Bitcoin as a global risk and the woes of the Turkish Lira
Yükleniyor...
Dosyalar
Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Taylor & Francis Group
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Owing to the high penetration of cryptocurrencies in the Turkish Economy, we sought to determine whether cryptocurrencies as represented by Bitcoin has become a global risk for the Turkish Lira. To accomplish this, we model the Turkish Lira exchange rate returns volatility using threshold GARCH-M with Bitcoin as an exogenous covariate. Bitcoin was found to be a contributor to Turkish forex volatility up until January 2018 when the ‘ongoing’ currency crisis started. Bitcoin, however, lost its volatility contributory power from January 2018. This result is robust to the inclusion of CBOE-VIX, iShares MSCI Turkey EFT, and the dollar-lira interest rate differential as control variables.
Açıklama
[ArticleInPress]
Anahtar Kelimeler
Bitcoin, Turkish Lira, Global Risk, Exchange Rate, Volatility
Kaynak
Macroeconomics and Finance in Emerging Market Economies
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
Sayı
Künye
Napari, A. ve Parlaktuna, İ. (2022). Bitcoin as a global risk and the woes of the Turkish Lira. Macroeconomics and Finance in Emerging Market Economies, 1-15. https://doi.org/10.1080/17520843.2022.2159149
