Abstract:

In terms of determining corporate or individual investment decisions, it is important to plan and define economic activities, in particular to monitor and predict the development of interest, inflation and currency indicators, and to predict the results of the shocks that occur in them. In the study, in the framework of the analysis of the impact of infection in finance, using the ARMA-EGARCH modeling, in Turkey; in the March 1999-December 2018 period, with monthly data, the mutual infection of the shocks occurring in the interest rate (three-month deposit interest rate and night interest rate), inflation (TÜFE) and currency (TL/Dolar currency and real effective currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency currency. The study also examines the interest rates of information in the market, the durability and asymmetricity characteristics of inflation and exchange rate conditional variations. The findings are that the variables have statistically meaningful effects on each other’s conditional variables, and therefore they are intermitted with each other.

Abstract:

It is important to monitor and estimate the interest rates, exchange rates and inflation indicators and foresee the consequences of the shocks occurring among these variables in order to determine the economic plans and policy formation for institutional as well as individual investment decisions. This paper analyses the cross-volatility spillover effects of the shocks occurring in the variables among interest rate (three-month deposit interest rate and overnight interest rate), inflation (CPI) and exchange rate (TL / USD exchange rate and real effective exchange rate) in the context of financial contagion. The ARMA-EGARCH methodology is implemented to the monthly data in the period of March 1999 to December 2018 in order to analyze the effects of the shocks in interest rates, inflation and exchange rates to each others’ their conditional variabilities. This study also examines the persistence and asymmetric characteristics of the new information on conditional variability of the variables. The empirical results show that all variables have statistically significant effects on each other's conditional variability, and thus there is an evidence of the existence of volatility spillover among these variables.

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