Gözde Bozkurt Ateş
This study investigates the existence and characteristics of financial contagion between Türkiye and Indonesia,-two emerging economies with similar macroeconomic profiles—through an econometric approach. Using daily USD/TRY and USD/IDR exchange rate return data from January 2, 2008, to April 17, 2025, the research applies Constant Conditional Correlation GARCH (CCC-GARCH) and Dynamic Conditional Correlation GARCH (DCC-GARCH) models to capture volatility dynamics and correlation structures. Logarithmic returns were tested for normality, and volatility clustering was confirmed. The findings reveal a unidirectional and statistically significant short-term influence from Türkiye to Indonesia, indicating asymmetric contagion. Although the conditional correlations are positive and significant, their low levels point to limited financial integration. Furthermore, the dynamic correlation parameters from the DCC model are statistically insignificant, suggesting that correlation remains stable over time rather than reacting sharply to shocks. The results imply a low but persistent interdependence, shaped more by structural economic linkages than by temporary crises. As one of the few empirical studies comparing exchange rate contagion in developing countries, this research contributes to the literature by highlighting contagion asymmetry and evaluating the relative performance of CCC and DCC models in emerging market settings.