SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities

摘要

In economies that are open to foreign markets the numerical value of the currencies as a macroeconomic variable is of great importance especially when the mutual dependency among the economies is concerned. When it is considered in terms of political economy, the targeted level of the currencies have vital importance especially in economies that have the characteristics of export-driven growth and in economies that struggle not to disrupt the picture in macroeconomic design. When it is considered that each time series has a structure that is sensitive to its own internal dynamics (sometimes these dynamics are expressed as the time series components), these dynamics provide us with coordinates for estimations and may eliminate the compulsory dependency on the outsourced variables at a serious level. This is exactly what has been done in this study. First of all, the non-linear time series analyses are examined in terms of linearity tests, and the linearity tests are applied for all parties and for different time periods. Then, the SETAR Modelling, which is the title of the study, has been applied in order to explain the non-linear pattern in detail. The SETAR Modelling process and other definitions statistical analyses of this model have been applied in relevant parities for separate time periods. The SETAR model, which is one of the TAR Group modeling, shows a better performance than many other linear and non-linear modeling. In this study, the secondary purpose is to express that the SETAR model performance is superior to the other models by considering the observation values of the parities.