The CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR

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dc.contributor.authorArı, Yakup
dc.date.accessioned2026-01-24T12:20:50Z
dc.date.available2026-01-24T12:20:50Z
dc.date.issued2022
dc.departmentAlanya Alaaddin Keykubat Üniversitesi
dc.description.abstractThis study focuses on the volatility spillover between the stock prices of foreign banks having business in Turkey and the exchange rate. More particularly, it analyzes the connectedness between the USD-TRY exchange rate volatility and the foreign banks’ stock price volatility in their own country’s stock markets. We select ten foreign banks with the biggest total assets and divide them into two panels: eastern and western capitalized banks. The dataset contains weekly data from 2016-01-04 to 2022-01-17. We estimate volatilities utilizing the Conditional Autoregressive Range (CARR) model and then apply the Time-Varying Parameter-Vector Autoregressive (TVP-VAR) based Diebold–Yilmaz Connectedness Index to reveal the transition and connectedness of volatility. The total connectedness indices show that 26.72 and 54.75% of the forecast error variance originate from other assets included in the spillover analysis for eastern and western panels, respectively. We also explore net pairwise co-movements and find that shocks in USD-TRY have dominated on the forecast error variance of bank stocks in the eastern panel, while it is a net volatility receiver in the western panel. © 2022 Sinergia Press. All rights reserved.
dc.identifier.doi10.22394/1993-7601-2022-67-5-26
dc.identifier.endpage26
dc.identifier.issn1993-7601
dc.identifier.scopus2-s2.0-85148428271
dc.identifier.scopusqualityQ3
dc.identifier.startpage5
dc.identifier.urihttps://doi.org/10.22394/1993-7601-2022-67-5-26
dc.identifier.urihttps://hdl.handle.net/20.500.12868/4615
dc.identifier.volume67
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSinergia Press
dc.relation.ispartofApplied Econometrics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_Scopus_20260121
dc.subjectCARR
dc.subjectDiebold–Yilmaz Connectedness Index
dc.subjectdynamic connectedness
dc.subjectTVP-VAR
dc.titleThe CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR
dc.typeArticle

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