Araştırma Makalesi
BibTex RIS Kaynak Göster

Effects of Capital Flows on Carry Trade Activities: The Case of Turkey

Yıl 2019, Cilt: 27 Sayı: 42, 51 - 66, 31.10.2019
https://doi.org/10.17233/sosyoekonomi.2019.04.03

Öz

Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative change in capital flow affects carry trade activities negatively, which in turn distorts particually the exchange rate and the financial stability of a country. In order to examine the effects of capital flows on carry trade in Turkey for different states of its economy (e.g. contraction or expansion) between January 2005 and April 2018, Markov Switching Vector Autoregressive Model (MSVAR) is employed. According to the findings, an increase in capital flows in the previous period enhances carry trade activity in the current period when expansion regime is in effect. However, for the contraction regime, no evidence is found toward a significant relationship between carry trade and capital flows. Moreover, it is seen that exchange rate uncertainty is considered as an important risk factor by investors in contraction periods when risk aversion levels of investors are high.

Kaynakça

  • Aydın, F. ve Us, V. 2007. “Carry Tade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, 2(3), 175-185.
  • Bacchetta, P. and van Wincoop, E. (2007). “Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle”, Working Paper, University of Lausanne.
  • Badurlar, İ.Ö. 2009. “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1).
  • Bildirici, M.E.; Alp, E.A.; Ersin, Ö.Ö. ve Bozoklu, Ü. (2010). İktisatta Kullanılan Doğrusal Olmayan Zaman Serisi Yöntemleri. Türkmen Kitabevi, İstanbul.
  • Bilson, John F.O. (1981). “Speculative Efficiency Hypothesis”. The Journal of Business 54(3), 435-451.
  • Brunnermeier, M.K., Nagel, S. and Pedersen, L.H. (2008). “Carry Trade and Currency Crashes”. NBER Macroeconomics Annual, Chapter 5, pp 313-347.
  • Burnside, C. (2012). Carry Trades and Risk , In: James, Jessica, Marsh, Ian W., Sarno, Lucio (Eds). Handbook of Exchange Rates. John Willey & Sons, Hoboken.
  • Cai, J., Cheung, Y.L. Lee, R aymond S.K. and Melvin, M. (2001). “Once-in-a-Generation yen Volatility in 1998: Fundamentals, Intervation and Order Flow”, Journal of International Money and Finance 20, 327-347.
  • Christiansen, C.; Ranaldo, A. and Söderling, P. (2011). “The Time Varying Systematic Risk of Carry Trade Strategies”. Journal of Financial and Quantitative Analysis 46(4), 1107-1125.
  • Clarida, R. vd. 2009. “Currency Carry Trade Regimes: Beynd the Fama Regression”, Journal of International Money and Finance, 28(8), 1375-1389.
  • Darvas, Z. (2009). “Leveraged Carry Trade Portfolios”, Journal of Banking & Finance 33, 944-957.
  • Fama, E. F. (1984). “Forward and Spot Exchange Rates”. Journal of Monetary Economics 14 (3), pp. 319-338.
  • Gagnon, J. E. and Chaboud, A. P. (2007). “What Can the Data Tell Us About Carry Trades in Japanese Yen?”. Board of Governors of Federal Reserve System International Finance Discussion Papers Numer 899.
  • Galati, G.; Heath, A. and McGuire, P. (2007). “Evidence of Carry tRde Activity”. BIS Quarterly Review.
  • Gubler, M. (2014). “Carry Trade Activities: A Multivariate Threshold Model Analysis”. SNB Working Papers 6/2014.
  • Hamilton, J. 1994. Time Series Analysiss. Princeton University Press.
  • Hamilton, J. D. (1989), “A New Approach to the Economic Analysis of Nonstatio‐ nary Time Series and the Business Cycle” , Econometrica, 57, 357‐84.
  • Hansen, L.P. and Hodrick, R.J. (1980). “Forward Exchange Rates s Optimal Predictors of Future Spot Rates: An Econometric Analysis”. Journal of Political Economy 88(5), 829-853.
  • Hattori, M. and Shin, H.S. (2007). “The Broad Yen Carry Trade”, IMES Discussion Paper Series E-19, Bank of Japan
  • Jorda, O. Ve Taylor, A. M. (2012). “The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself”, Journal of International Economics, 88(1), 74-90.
  • Jylha, P.; Lyytinen, J.P. and Suominen, M. (2008). “Arbitrage Capital and Currency Carry Trade Returns”, Working Paper, Helsinki School of Economics.
  • Karame, F. and Olmedo, A. (2010). “Asymmetric Properties of Impulse Response Functions in Markov Switching Structural Vector AutoRegressions”. Document de Recherche, Centr D’Etudes Des Politiques De L’Universite D’Evry.
  • Kim, S. (2015). “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”. International Review of Financial Analysis 40, 64-75.
  • Koy, A. (2017). “Regime Dynamics of Stock Markets in the Fragile Five”, International Journal of Economic Perspective (2), 950-958.
  • Krolzig, H.M. (1997), Markov Switching Vector Autoregressions. Modelling, Statistical Inference and Application to Business Cycle Analysis, Berlin: Springer.
  • Liu, M.H.; Margaritis, D. and Tourani-Rad, A. 2012. “Risk Appettite, Carry Trade and Exchange Rates”. Global Finance Journal 23, p. 48-63.
  • Lustig, H. and Verdelhan, A. (2007). “The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk”. American Economic Review 97 (1), 89-117.
  • Lustig, H.; Roussanov, N. and Verdelhan, A. (2011). “Common Risk Factors in Currency Markets”, Review of Financial Studies 24(11), 3731-3777.
  • Menkhoff, L.; Sarno, L.; Schmelling, M. and Schrimpf, A. (2012). “Carry Trades and Global Foreign Exchange Volatility”, The Journal of Finance 67(2), 681-718.
  • Nelson, C. vd. 2001. “Markov regime Switching and Unit Root Test”, Journal of Business and Economic Statistics, 19, 4, 404-415.
  • Sarno, L., Valente, G., Leon, H. (2006). Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of The Forward Bias Puzzle. Review of Finance 10, 443-482.
  • Tsay, R. 2005. Analysis of Financial Time Series. John Wiley Sons Inc. Publication, Canada.

Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği

Yıl 2019, Cilt: 27 Sayı: 42, 51 - 66, 31.10.2019
https://doi.org/10.17233/sosyoekonomi.2019.04.03

Öz

Ara kazanç ticareti, bir ülkeye faiz oranı farkına bağlı olarak giren sermaye akımlarıdır. Bu akımlardaki olumsuz gelişmeler, ara kazanç ticaretinin ani bir şekilde tersine dönmesine neden olmakta; bu ise başta döviz kurları olmak üzere finansal istikrarı olumsuz yönde etkilemektedir. Bu doğrultuda, çalışmada, Türkiye’de Ocak 2005-Nisan 2018 döneminde gerçekleşen sermaye akımlarının ara kazanç ticareti faaliyeti üzerindeki etkileri, Markov Rejim Değişimi Vektör Otoregresif Model (MSVAR) yöntemi kullanılarak ekonominin genişleme ve daralma gibi farklı ekonomik konjonktürleri için belirlenmiş ve ekonomik rejimler arasındaki fark ortaya konulmuştur. Çalışmanın bulgularına göre, ekonomi genişleme döneminde iken, bir önceki dönem sermaye akımlarında meydana gelen artışın cari dönemde ara kazanç ticareti faaliyetini artırdığı; ekonomi daralma döneminde iken, sermaye akımlarının ara kazanç ticareti faaliyeti üzerinde anlamlı bir etkisinin olmadığı bulgusuna ulaşılmıştır. Ayrıca, yatırımcıların riskten kaçınma düzeylerinin yüksek olduğu ekonomik daralma dönemlerinde, döviz kuru belirsizliğinin önemli bir risk unsuru olarak algılandığı sonucuna ulaşılmıştır.

Kaynakça

  • Aydın, F. ve Us, V. 2007. “Carry Tade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, 2(3), 175-185.
  • Bacchetta, P. and van Wincoop, E. (2007). “Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle”, Working Paper, University of Lausanne.
  • Badurlar, İ.Ö. 2009. “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1).
  • Bildirici, M.E.; Alp, E.A.; Ersin, Ö.Ö. ve Bozoklu, Ü. (2010). İktisatta Kullanılan Doğrusal Olmayan Zaman Serisi Yöntemleri. Türkmen Kitabevi, İstanbul.
  • Bilson, John F.O. (1981). “Speculative Efficiency Hypothesis”. The Journal of Business 54(3), 435-451.
  • Brunnermeier, M.K., Nagel, S. and Pedersen, L.H. (2008). “Carry Trade and Currency Crashes”. NBER Macroeconomics Annual, Chapter 5, pp 313-347.
  • Burnside, C. (2012). Carry Trades and Risk , In: James, Jessica, Marsh, Ian W., Sarno, Lucio (Eds). Handbook of Exchange Rates. John Willey & Sons, Hoboken.
  • Cai, J., Cheung, Y.L. Lee, R aymond S.K. and Melvin, M. (2001). “Once-in-a-Generation yen Volatility in 1998: Fundamentals, Intervation and Order Flow”, Journal of International Money and Finance 20, 327-347.
  • Christiansen, C.; Ranaldo, A. and Söderling, P. (2011). “The Time Varying Systematic Risk of Carry Trade Strategies”. Journal of Financial and Quantitative Analysis 46(4), 1107-1125.
  • Clarida, R. vd. 2009. “Currency Carry Trade Regimes: Beynd the Fama Regression”, Journal of International Money and Finance, 28(8), 1375-1389.
  • Darvas, Z. (2009). “Leveraged Carry Trade Portfolios”, Journal of Banking & Finance 33, 944-957.
  • Fama, E. F. (1984). “Forward and Spot Exchange Rates”. Journal of Monetary Economics 14 (3), pp. 319-338.
  • Gagnon, J. E. and Chaboud, A. P. (2007). “What Can the Data Tell Us About Carry Trades in Japanese Yen?”. Board of Governors of Federal Reserve System International Finance Discussion Papers Numer 899.
  • Galati, G.; Heath, A. and McGuire, P. (2007). “Evidence of Carry tRde Activity”. BIS Quarterly Review.
  • Gubler, M. (2014). “Carry Trade Activities: A Multivariate Threshold Model Analysis”. SNB Working Papers 6/2014.
  • Hamilton, J. 1994. Time Series Analysiss. Princeton University Press.
  • Hamilton, J. D. (1989), “A New Approach to the Economic Analysis of Nonstatio‐ nary Time Series and the Business Cycle” , Econometrica, 57, 357‐84.
  • Hansen, L.P. and Hodrick, R.J. (1980). “Forward Exchange Rates s Optimal Predictors of Future Spot Rates: An Econometric Analysis”. Journal of Political Economy 88(5), 829-853.
  • Hattori, M. and Shin, H.S. (2007). “The Broad Yen Carry Trade”, IMES Discussion Paper Series E-19, Bank of Japan
  • Jorda, O. Ve Taylor, A. M. (2012). “The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself”, Journal of International Economics, 88(1), 74-90.
  • Jylha, P.; Lyytinen, J.P. and Suominen, M. (2008). “Arbitrage Capital and Currency Carry Trade Returns”, Working Paper, Helsinki School of Economics.
  • Karame, F. and Olmedo, A. (2010). “Asymmetric Properties of Impulse Response Functions in Markov Switching Structural Vector AutoRegressions”. Document de Recherche, Centr D’Etudes Des Politiques De L’Universite D’Evry.
  • Kim, S. (2015). “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”. International Review of Financial Analysis 40, 64-75.
  • Koy, A. (2017). “Regime Dynamics of Stock Markets in the Fragile Five”, International Journal of Economic Perspective (2), 950-958.
  • Krolzig, H.M. (1997), Markov Switching Vector Autoregressions. Modelling, Statistical Inference and Application to Business Cycle Analysis, Berlin: Springer.
  • Liu, M.H.; Margaritis, D. and Tourani-Rad, A. 2012. “Risk Appettite, Carry Trade and Exchange Rates”. Global Finance Journal 23, p. 48-63.
  • Lustig, H. and Verdelhan, A. (2007). “The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk”. American Economic Review 97 (1), 89-117.
  • Lustig, H.; Roussanov, N. and Verdelhan, A. (2011). “Common Risk Factors in Currency Markets”, Review of Financial Studies 24(11), 3731-3777.
  • Menkhoff, L.; Sarno, L.; Schmelling, M. and Schrimpf, A. (2012). “Carry Trades and Global Foreign Exchange Volatility”, The Journal of Finance 67(2), 681-718.
  • Nelson, C. vd. 2001. “Markov regime Switching and Unit Root Test”, Journal of Business and Economic Statistics, 19, 4, 404-415.
  • Sarno, L., Valente, G., Leon, H. (2006). Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of The Forward Bias Puzzle. Review of Finance 10, 443-482.
  • Tsay, R. 2005. Analysis of Financial Time Series. John Wiley Sons Inc. Publication, Canada.
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Aydanur Gacener-atış 0000-0002-4165-9683

Deniz Erer 0000-0001-9977-9592

Yayımlanma Tarihi 31 Ekim 2019
Gönderilme Tarihi 26 Ocak 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 27 Sayı: 42

Kaynak Göster

APA Gacener-atış, A., & Erer, D. (2019). Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi, 27(42), 51-66. https://doi.org/10.17233/sosyoekonomi.2019.04.03
AMA Gacener-atış A, Erer D. Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi. Ekim 2019;27(42):51-66. doi:10.17233/sosyoekonomi.2019.04.03
Chicago Gacener-atış, Aydanur, ve Deniz Erer. “Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği”. Sosyoekonomi 27, sy. 42 (Ekim 2019): 51-66. https://doi.org/10.17233/sosyoekonomi.2019.04.03.
EndNote Gacener-atış A, Erer D (01 Ekim 2019) Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi 27 42 51–66.
IEEE A. Gacener-atış ve D. Erer, “Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği”, Sosyoekonomi, c. 27, sy. 42, ss. 51–66, 2019, doi: 10.17233/sosyoekonomi.2019.04.03.
ISNAD Gacener-atış, Aydanur - Erer, Deniz. “Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği”. Sosyoekonomi 27/42 (Ekim 2019), 51-66. https://doi.org/10.17233/sosyoekonomi.2019.04.03.
JAMA Gacener-atış A, Erer D. Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi. 2019;27:51–66.
MLA Gacener-atış, Aydanur ve Deniz Erer. “Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği”. Sosyoekonomi, c. 27, sy. 42, 2019, ss. 51-66, doi:10.17233/sosyoekonomi.2019.04.03.
Vancouver Gacener-atış A, Erer D. Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi. 2019;27(42):51-66.