Abstract:

In this study, real effective exchange rate risk was determined and the effects of macroeconomic variables that cause so-called risk were analyzed for the period of 2000Q1-2018Q2 in Turkey. For this purpose, EGARCH and OLS models were used. The empirical findings of the study suggested that the effects of the shocks in real effective exchange rate continued approximately 40 days and negative shocks affected real effective exchange rate volatility more than positive shocks. Besides, a positive relationship between exposure and portfolio investments, current account deficit and central bank reserves, while there was a negative relationship between exposure and foreign direct investments.