<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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.</p>
</abstract>

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.

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

Department of Accountancy, Finance, and Economics

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of...

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

Pubblicato online: 23 set 2022

Pagine: 155 - 178

Ricevuto: 25 lug 2021

Accettato: 11 nov 2021

DOI: https://doi.org/10.2478/jcbtp-2022-0028

Parole chiave
Reserve Options Mechanism, Exchange Rate Volatility, Turkish Lira, Tapering, GARCH

© 2022 Erkan Demirbas et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

Pubblicato online: 23 set 2022

Pagine: 155 - 178

Ricevuto: 25 lug 2021

Accettato: 11 nov 2021

DOI: https://doi.org/10.2478/jcbtp-2022-0028

Parole chiaveReserve Options Mechanism, Exchange Rate Volatility, Turkish Lira, Tapering, GARCH

© 2022 Erkan Demirbas et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Parole chiave
Reserve Options Mechanism, Exchange Rate Volatility, Turkish Lira, Tapering, GARCH