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Defining the Significant Factors of Currency Exchange Rate Risk by Considering Text Mining and Fuzzy AHP

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Data Science and Multiple Criteria Decision Making Approaches in Finance

Part of the book series: Multiple Criteria Decision Making ((MCDM))

Abstract

This study aims to determine the factors affecting the exchange rate risk of companies. In this context, firstly, articles in the ScienceDirect database that contain exchange rate risk in their titles, abstracts, and keywords are provided. Single, double, and triple words were identified in 152 different studies that were published after 2018, which met the relevant criteria. As a result of the analysis of these words, 4 different criteria that could affect the exchange rate risk were determined. The relevant criteria were then weighted with fuzzy AHP. The findings indicate that the macroeconomic performance of countries is the most important determinant of exchange rate risk. In addition, wrong risk management practices of companies play also an important role for this risk. Thus, it is recommended that the government should design necessary regulations for the companies not to take too much currency exchange risk.

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Author information

Authors and Affiliations

  1. Kavacık South Campus, Istanbul Medipol University, Istanbul, Turkey

    Gökhan Silahtaroğlu

  2. School of Business, Istanbul Medipol University, Istanbul, Turkey

    Hasan Dinçer

  3. Business and Management, Istanbul Medipol University, Istanbul, Turkey

    Serhat Yüksel

Authors
  1. Gökhan Silahtaroğlu
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  2. Hasan Dinçer
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  3. Serhat Yüksel
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Appendices

Appendix 1

Key Terms and Definitions

AHP::

Analytical Hierarchy Process

ANP::

Analytical Network Process

ARCH::

Autoregressive Conditional Heteroskedasticity

ARIMA::

Autoregressive Integrated Moving Average

DEMATEL::

Decision-Making Trial and Evaluation Laboratory

GARCH::

Generalized Autoregressive Conditional Heteroskedasticity

Appendix 2

Table 7.6 List of top single words in abstracts
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Table 7.7 List of top double words in abstracts
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Table 7.8 List of top triple words in abstracts
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Table 7.9 Fuzzy pair-wise comparison matrix for DM1
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Table 7.10 Fuzzy pair-wise comparison matrix for DM2
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Table 7.11 Fuzzy pair-wise comparison matrix for DM3
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Table 7.12 Fuzzy pair-wise comparison matrix for DM4
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Silahtaroğlu, G., Dinçer, H., Yüksel, S. (2021). Defining the Significant Factors of Currency Exchange Rate Risk by Considering Text Mining and Fuzzy AHP. In: Data Science and Multiple Criteria Decision Making Approaches in Finance. Multiple Criteria Decision Making. Springer, Cham. https://doi.org/10.1007/978-3-030-74176-1_7

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