터키 환율 결정요인에 관한 일고찰

A Research on the Determinants of Foreign Exchange in Turkey: The Comparative Adequacy of the Stock Market Model

This paper examines the prediction power of competing prediction models of foreign exchange. It especially covers the case of Turkey in comparison with 11 other OECD member countries such as Canada, Korea, Norway, etc. Data covers the period of the year 2002 to 2018 and is collected on the basis of monthly figures. Given the advantages of monetary approach in predicting foreign exchange, this paper proves the excellence of an alternative model in which the stock market index is included in the construction of determinants. The main findings are: (1) short-term and long-term interest rates are significantly associated with foreign exchange in both the basic and alternative models; (2) money supply (M1 and M3) is also significantly associated with foreign exchange; (3) generally, in the cases of regression or alternative prediction models it is found that the stock market model shows excellence by proving better RMSE (Root Mean Square Error).