The Chaotic Features Of The TRY/USD Exchange Rate: Recurrence Plot And Non-Linear Analysis

Abstract

T The exchange rate is a vital financial variable at the international, national, macro, and micro levels. The exchange rate market is the biggest market globally with a wide range of players. An accurate analysis of a time series needs to explore its behavior. Being influenced by many economic, political, social, and natural events the exchange rate is highly capable to display chaotic behavior. In this paper, we investigated the dynamics of the Turkish Lira to United States Dollar (TRY/USD) time series from 1-January 2005 to 31-December- 2021 by employing well-known nonlinear methods of chaotic data analysis. We also utilized the Recurrence Plot to analysis the non-linear behavior of the TRY/USD exchange rate. The results indicate that the TRY/USD exchange rate is chaotic. As the exchange rate behavior is crucial for making accurate policies for a country and decreasing investment risk for traders, in modeling and forecasting the TRY/USD exchange rate, the chaotic behavior should be considered.