ABSTRACT

Owing to the high penetration of cryptocurrencies in the Turkish Economy, we sought to determine whether cryptocurrencies as represented by Bitcoin has become a global risk for the Turkish Lira. To accomplish this, we model the Turkish Lira exchange rate returns volatility using threshold GARCH-M with Bitcoin as an exogenous covariate. Bitcoin was found to be a contributor to Turkish forex volatility up until January 2018 when the ‘ongoing’ currency crisis started. Bitcoin, however, lost its volatility contributory power from January 2018. This result is robust to the inclusion of CBOE-VIX, iShares MSCI Turkey EFT, and the dollar-lira interest rate differential as control variables.

摘要

由于加密货币在土耳其经济中的渗透率很高，我们试图确定以比特币为代表的加密货币是否已成为土耳其里拉的全球风险。为实现这一目标，我们使用阈值 GARCH-M 将比特币作为外生协变量，对土耳其里拉汇率回报波动率进行建模。直到 2018 年 1 月“持续”的货币危机开始时，比特币才被发现是土耳其外汇波动的一个因素。然而，比特币从 2018 年 1 月起失去了对波动率的贡献力。这一结果对于将 CBOE-VIX、iShares MSCI 土耳其 EFT 和美元-里拉利差作为控制变量纳入来说是稳健的。