Abstract:

Purpose: The purpose of this study is to examine the existence of symmetric and asymmetric causality relationship between foreign exchange market instruments. Design/Methodology: In the study, USD/TRY, EUR/TRY, GBP/TRY, CHF/TRY and JPY/TRY rates in foreign exchange market instruments were analyzed. In the analysis, January 1999-March 2021 period monthly sales/closing price data of the foreign exchanges included in the research were used. Toda-Yamamoto's (1995) causality test was used to determine the symmetric relationship and Hatemi-J's (2012) asymmetric causality test was used to determine the asymmetric relationship between foreign exchange market instruments. Findings: According to the results of the causality analysis of Toda-Yamamoto (1995), there is a two-way symmetric causality relationship between the GBP/TRY, CHF/TRY and USD/TRY; according to the Hatemi-J (2012) asymmetric causality test result, the existence of an asymmetric causality relationship from USD/TRY positive shocks to GBP/TRY positive shocks to CHF/TRY and JPY/TRY negative shocks, from USD/TRY negative shocks to CHF/TRY negative shocks has been reached. Limitations: Considering only USD/TRY, EUR/TRY, GBP/TRY, CHF/TRY and JPY/TRY rates for the population are the limitations of the research. Originality/Value: In the literature, USD/TRY and EUR/TRY rates have been analyzed in general, and the asymmetric causality relationship between these rates has not been evaluated.

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