scholarly journals Estimation of value at risk in currency exchange rate portfolio using asymmetric GJR-GARCH Copula

2017 ◽  
Author(s):  
Mohamad Husein Nurrahmat ◽  
Lienda Noviyanti ◽  
Achmad Bachrudin
Keyword(s):  
At Risk ◽  
Exchange Rate ◽  
Value At Risk ◽  
Currency Exchange ◽  
Currency Exchange Rate

Determining Influencing Factors of Currency Exchange Rate for Decision Making in Global Economy Using MARS Method

2018 ◽  
pp. 261-273 ◽  
Author(s):  
Hasan Dinçer ◽  
Ümit Hacıoğlu ◽  
Serhat Yüksel
Keyword(s):  
Economic Growth ◽  
Decision Making ◽  
Exchange Rate ◽  
Current Account ◽  
Global Economy ◽  
Current Account Deficit ◽  
Currency Exchange ◽  
Currency Exchange Rate ◽  
Us Dollar ◽  
Turkish Lira

The aim of this study is to identify the determinants of US Dollar/Turkish Lira currency exchange rate for strategic decision making in the global economy. Within this scope, quarterly data for the period between 1988:1 and 2016:2 was used in this study. In addition to this aspect, 10 explanatory variables were considered in order to determine the leading indicators of US Dollar/Turkish Lira currency exchange rate. Moreover, Multivariate Adaptive Regression Splines (MARS) method was used so as to achieve this objective. According to the results of this analysis, it was defined that two different variables affect this exchange rate in Turkey. First of all, it was identified that there is a negative relationship between current account balance and the value of US Dollar/Turkish Lira currency exchange rate. This result shows that in case of current account deficit problem, Turkish Lira experiences depreciation. Furthermore, it was also concluded that when there is an economic growth in Turkey, Turkish Lira increases in comparison with US Dollar. While taking into the consideration of these results, it could be generalized that emerging economies such as Turkey have to decrease current account deficit and investors should focus on higher economic growth in order to prevent the depreciation of the money in the strategic investment decision.

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