Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period

Erkan Demirbas, Nurettin Can

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.

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Year of publication:	2022
Authors:	Demirbas, Erkan ; Can, Nurettin
Published in:	Journal of central banking theory and practice. - Warsaw : De Gruyter Open, ISSN 2336-9205, ZDB-ID 2675850-7. - Vol. 11.2022, 3, p. 155-178
Subject:	eserve Options Mechanism \| Exchange Rate Volatility \| Turkish Lira \| Tapering \| GARCH \| Wechselkurs \| Exchange rate \| Volatilität \| Volatility \| Türkei \| Turkey \| Geldpolitik \| Monetary policy \| ARCH-Modell \| ARCH model \| Währungsreserven \| Foreign exchange reserves

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.2478/jcbtp-2022-0028 [DOI] hdl:10419/299056 [Handle]
Classification:	E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; E40 - Money and Interest Rates. General ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013407510