Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/323112 
Autor:innen: 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Ekonomika [ISSN:] 2424-6166 [Volume:] 101 [Issue:] 1 [Year:] 2022 [Pages:] 142-161
Verlag: 
Vilnius University Press, Vilnius
Zusammenfassung: 
This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over January 2, 2015 to February 12, 2021. It can be identified from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) tests statistics that there is a high degree of evidence of bubble activity which characterizes all five exchange rates both in the full-sample period and in the sub-periods, including the pre-COVID-19 era (January 2, 2015 to November 15, 2019) and the COVID-19 era (November 18, 2019 to February 12, 2021). The empirical results also indicate that positive bubbles are common for each selected exchange rate and the multiple bubbles were intensified during the COVID-19 period, referring that forex markets became relatively more inefficient compared to the pre-COVID-19 period.
Schlagwörter: 
Exchange Rate
Bubble Formation
Forex Market
COVID-19
Right-Tailed Unit Root Test
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
6.13 MB





Publikationen in EconStor sind urheberrechtlich geschützt.