Affiliation:
1. Department of Economics Durham University Durham DH1 3LB United Kingdom
2. Department of Economics Koç University İstanbul 34450 Turkey
3. Betam Bahçeşehir University İstanbul 34353 Turkey
Abstract
AbstractWith the global rise in populism over the last decade, there has been an increase in political commentaries (PC) by leaders that criticize their central banks and argue for lower interest rates. We analyse the effects of PCs on exchange rates, bond yields, and the risk premium for six countries that are subject to political pressures. Utilizing a specification with time‐varying parameters, we show that PCs affect the level and the volatility of exchange rates, bond yields and the risk premium in Turkey. The response increases over time. In other countries, there is a significant impact on exchange rate volatility.
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
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