Abstract:

Currency rates are an important financial indicator for investors,, portfolio managers, risk managers and economic managers. In this regard, the determiners of exchange rates, the forecast and modeling of exchange rates have been studied by many researchers so far. However, the exchange rate of US Dollar ($) / Turkish Lira ($) is not yet identified by the regime conversion method. Research has shown that more models with a single system have more accurate results than one model. In this study, the aim is to study the currency currency gameplay with the Markov regime Conversion method. The study used a series of returns from the daily data of the U.S. Dollar ($) / Turkish Lira ($) currency rate for the period from January 4, 2010 to September 13, 2019. The study results that the currency currency is modeled in 2 different regimes, 1. The highest level of the system, 2. It has shown that the regime is a low-playing regime. In addition, the study found that the duration of regime 1 was shorter than regime 2, that interest rates affected the exchange rate in regime 1, and that oil did not affect the exchange rate in both regimes. According to the results obtained, portfolio managers, investors and risk managers should pay attention to the 1st regime, which is a high-playing regime, while economic governments should set up a rate policy that reduces the gameplay in the high-playing regime.

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