Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period-Reference-Cited by-同舟云学术

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

Published:2022-09-01 Issue:3 Volume:11 Page:155-178
ISSN:2336-9205
Container-title:Journal of Central Banking Theory and Practice
language:en
Short-container-title:

Author:

Demirbas Erkan¹,Can Nurettin²

Affiliation:

1. Department of Accountancy, Finance, and Economics , University of Lincoln , UK

2. Department of Economics , Vistula University , Warsaw , Poland and Nile University of Nigeria

Abstract

Abstract This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four different variables are separately used that represent the ROM tool, i.e. the amount of FX reserves of CBRT via ROM, and the share of the FX reserves via ROM in Gross FX Reserves of CBRT. Our findings are convincing to say FX facility and the ratio of utilization for the FX facility to ensure the results are statistically meaningful during this period.

Publisher

Walter de Gruyter GmbH

Subject

Strategy and Management,Economics and Econometrics,Finance,General Economics, Econometrics and Finance

Link

https://www.sciendo.com/pdf/10.2478/jcbtp-2022-0028

Reference45 articles.

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3. 3. Altuntaş, M.,2018, “Bağımsız Para Politikasi Çerçevesinde Rezerv Opsiyon Mekanizması ve Katsayısının Analizi” T.C. Trakya Üniversitesi Sosyal Bilimler Enstitüsü, Kamu İktisadi Anabilim Dalı, Basılmamış Doktora Tezi. http://dspace.trakya.edu.tr/xmlui/bitstream/handle/1/2814/0149287.pdf?sequence=1&isAllowed=y. Accessed on 25.06.2019

4. 4. Aslaner, O., Çıplak, U., Kara, H., and Küçüksaraç, D., (2015). “Reserve Options Mechanism: Does It Work As An Automatic Stabilizer?” Central Bank Review, 15(1): 1-18.

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