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Türkiye Döviz Piyasasında Oynaklık ve Oynaklık Yayılımı Üzerine Bir Uygulama

Year 2022, Volume: 6 Issue: 3, 2707 - 2719, 30.09.2022
https://doi.org/10.29023/alanyaakademik.1088204

Abstract

Amerika Birleşik Devletleri Merkez Bankası Aralık 2016’da faiz artırım döngüsüne başlamış ve finansal piyasalardaki oynaklık hızlıca artmıştır. Coronavirus (COVID19) salgını ve Türkiye’de 2018-2021 döneminde yaşanan kur atakları oynaklık çalışmasının yapılmasına öncülük etmiştir. Çalışmanın amacı Türk Lirası üzerindeki oynaklık ve oynaklık yayılımının EGARCH modeli ile analiz edilmesidir. Asimetrik etki parametresinin (δ), yani kaldıraç etkisinin 15 Aralık 2016 – 28 Şubat 2022 döneminde ABD Doları/Türk Lirası alış Kurunda geçerli olmadığını göstermektedir. GARCH modeli; ABD Doları/Güney Afrika Rand’ı ve ABD Doları/Çin Yuan’ı dışında ABD Doları/Türk Lirası alış kurunun oynaklığı ile diğer para birimleri arasında bir ilişki olduğunu göstermektedir. ABD 10 yıllık tahvil faizleri ve Şikago Opsiyon Borsası Oynaklık Endeksi değişkenleri de Amerikan Doları/Türk Lirası alış kuru oynaklığı üzerinde etkilidir.

Supporting Institution

yok

Project Number

yok

Thanks

Editör ve hakemlere yapacakları katkılardan dolayı teşekkür ederim. Ayrıca derginizde hakem olarak görev almaktayım. Öncelik verilirse mutlu olurum ve teşekkür edrim

References

  • ATIŞ, A.G., ERER, D. ve AKIN, A. (2019). “Döviz Kuru Riski ve Belirleyenleri: Türkiye Örneği”, Ege Stratejik Araştırmalar Dergisi, 10(2), 43-54.
  • ATMACA, V. D. (2018). “Döviz Kurları Arasındaki Oynaklık Etkileşiminin Analizi: CCC-t-MSV Modeli ile Tahmini”, Finans Politik & Ekonomik Yorumlar, 55(639), 9-32.
  • BAILLIE, R. & BOLLERSLEV, T. (1991). “Intra-day and inter-market volatility in foreign exchange rates”, Review of Economic Studies, 58, 565–585.
  • BEER, F. & HEBEİN, F. (2011). “An Assessment of the stock market and exchange rate Dynamics in industrialized and emerging markets”, International Business Econ Research J, 7(8):59–70.
  • BERGANZA, J.C., BROTO, C. (2012). “Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries”, Journal of International Money and Finance, 31, 428–444.
  • BEZGİN, M. S., & KAYA, E. (2022). Döviz Kuru Volatilitesini Öngörmede Melez Bir Model: Yapay Sinir Ağı Tabanlı EGARCH. Finans Politik & Ekonomik Yorumlar, 59(659), 115-133.
  • BOLLERSLEV, T. (1986). “Generalized autoregressive conditional heteroskedasticity”, Journal of econometrics, 31(3), 307-327.
  • CALVO, G., IZQUIERDO, A., TALVİ, E. (2003). “Suden Stops, the Real Exchange Rate, and Fiscal Sustainability: Argentina’s Lessons”, Working Paper No. 9828. NBER.
  • CHKILI, W. (2012). “The dynamic relationship between exchange rates and stock returns in emerging countries: volatility spillover and portfolio management”, Int J Manag Sci Eng Manag 7(4):53–262.
  • CHKILI, W. & NGUYEN, D.K. (2014). “Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries”, Res Int Business Financ 31: 46–56.
  • DEMİRGİL, H. ve KESEKLER, S. (2019). “Döviz Kurlarında Oynaklık Yayılım Etkilerinin Mgarch Yöntemi İle Modellenmesi”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(4), 1167-1180.
  • DEMİRGİL, H., YILDIRIM, S. Ve ÇİÇEK, Z. (2019). “Döviz Kuru Oynaklığında Asimetrik İşaret ve Boyut Yanlılığının Test Edilmesi: Euro/Tl Kur Oynaklığı Üzerine Bir İnceleme”, Süleyman Demirel Üniversitesi Vizyoner Dergisi, 10(25), 485-494.
  • DEVEREUX, M.B. & LANE, P.R. (2003). “Understanding bilateral exchange rate volatility”, Journal of International Economics, 60, 109–132.
  • DİCKEY, D. A. & FULLER, W. A. (1981). “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica. Journal of the Econometric Society, 1057-1072.
  • EMEÇ, H. ve ÖZDEMİR, M.O. (2014). “Türkiye’de Döviz Kuru Oynaklığının Otoregresif Koşullu Değişen Varyans Modelleri ile İncelenmesi”, Finans Politik & Ekonomik Yorumlar, 51(596), 85-99.
  • ENGLE, R. F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”, Econometrica: Journal of the Econometric Society, 987-1007.
  • ENGLE, R. F., ITO, T., & LIN, W. L. (1990). “Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market”, Econometrica, 58(3), 525-42.
  • FIGLEWSKI, S. (2004). “Forecasting Volatility, Financial Markets, Institutions and Instruments”, Stern School of Business, Boston, Blackwell Publishers.
  • GANGULY, S. & BREUER, J.B. (2010). “Nominal exchange rate volatility, relative price volatility, and the real exchange rate”, Journal of International Money and Finance 29, 840–856.
  • GIANNELLIS, N. & PAPADOPOULOS, A.P., 2011. What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries”, Journal of International Money and Finance 30, 39–61.
  • GANBOLD, B., AKRAM, I., & FAHROZI LUBIS, R. (2017). “Exchange rate volatility: A forecasting approach of using the ARCH family along with ARIMA SARIMA and semi-structural-SVAR in Turkey”, 144-182.
  • GÜR, T.H. ve ERTUĞRUL, H.M. (2012). “Döviz Kuru Volatilitesi Modelleri: Türkiye Uygulaması”, İktisat, İşletme ve Finans, 27(310), 53-77.
  • HARVEY, C. R. & HUANG, R. D. (1991). “Volatility in the foreign currency futures market”, The Review of Financial Studies, 4(3), 543-569.
  • HAUSMANN, R., PANİZZA, U. & RİGOBON, R. (2006). “The long-run volatility puzzle of the real exchange rate”, Journal of International Money and Finance 23, 93–124.
  • HOGAN Jr, K. C. & MELVİN, M. T. (1994). “Sources of meteor showers and heat waves in the foreign exchange market”, Journal of International Economics, 37(3-4), 239-247.
  • İŞÇİOĞLU, F. & GÜLAY, E. (2018). “ABD Doları/Türk Lirası Döviz Kurunun Otoregresif Koşullu Değişen Varyans Modelleri İle İncelenmesi: Türkiye Örneği”, Uluslararası İktisadi ve İdari İncelemeler Dergisi, (20), 151-168.
  • JEBRAN, K. & IQBAL, A. (2016). “Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries”, Financial Innovation, 2(1), 1-20.
  • KANAS, A. (2000). “Volatility spillovers between stock returns and exchange rate changes: International evidence”, Journal of Business Finance & Accounting, 27(3‐4), 447-467.
  • KANAS, A. (2002). “Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan”, Applied Economics Letters, 9, 501–503.
  • KANG, S.H. & YOON, S.M. (2013) “Revisited Return and Volatility Spillover Effect in Korea”, Korea World Econ, 14(1):121–145.
  • KAYRAL, İ.E. (2016). “Türkiye’de Döviz Kuru Volatilitelerinin Modellenmesi”, Politik Ekonomik ve Finansal Analiz Dergisi, 1(1), 1-15.
  • KUZU, S. (2019). “Devlet İç Borçlanma Senetleri, Döviz, Petrol Piyasalarının Hisse Senedi Piyasası Üzerine Ortalama Ve Oynaklık Yayılma Etkileri”, Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(17), 443-461.
  • MOZUMDER, N., DE VİTA, G. KYAW, S. & LARKIN, C. (2015). “Volatility Spillover Between Stock Prices and Exchange Rates: New Evidence Across the Recent Financial Crisis Period”, Economic Issues, 20(1), 43–64.
  • NELSON, D. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2), 347 – 370.
  • OBSTFELD, M. & ROGOFF, K. (1998). “Risk and Exchange Rates”, Working Paper No. 6694, NBER.
  • OBSTFELD, M. & ROGOFF, K. (2000). “New directions in open macroeconomics”, Journal of International Economics, 50, 117–153.
  • O’DONNELL, M., & MORALES, L. (2009). “Volatility spillovers between stock returns and foreign exchange rates: Evidence from four Eastern European countries”, Int J Business, 12, 1-20.
  • OKPARA, G.C. & ODIONYE, J. C (2012). “The direction of volatility spillover between stock prices and exchange rate: evidence from Nigeria”, Elixir Finance, 42: 6410–6414. RIME, D. & SUCARRAT, G. (2007). “Exchange rate variability, market activity and heterogeneity”, Working Paper, 07-70.
  • ROSSI, B. (2013). “Exchange Rate Predictability”, Journal of economic literature, 51(4), 1063-1119.
  • SAĞLAM, M. ve BAŞAR, M. (2016). “Döviz kuru oynaklığının öngörülmesi: Türkiye örneği”, KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 18 (31): 23-29.
  • XIONG, Z & HAN, L. (2015). “Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism”, Financial Innovation, 1(1):1–12.
  • YAMAN, M. & KOY, A. (2019). “ABD Doları/Türk Lirası döviz kuru volatilitesinin modellenmesi: 2001-2018 dönemi”, Muhasebe ve Finans İncelemeleri Dergisi, 2(2), 118-129.
  • YANG, S-Y. & DOONG, S-C. (2004). “Price and Volatility Spillovers Between Stock Prices and Exchange Rates: Empirical Evidence from the G–7 Countries”, International Journal of Business and Economics, 3(2), 139–153.

A Case on Volatility and Volatility Spillover in the Turkey’s Foreign Exchange Market

Year 2022, Volume: 6 Issue: 3, 2707 - 2719, 30.09.2022
https://doi.org/10.29023/alanyaakademik.1088204

Abstract

The United States Federal Reserve started the interest rate hike cycle in December 2016 and the volatility in financial markets increased rapidly. The coronavirus (COVID19) epidemic and currency attacks in Turkey during the 2018 - 2021 period led to the volatility study. The purpose of the study is to the analyze the volatility and volatility spillover on the the Turkish by using EGARCH model. The asymmetric effect parameter (δ), ie the leverage effect, is not valid in the US Dollar / Turkish Lira buying Rate between December 15, 2016 - February 28, 2022. The GARCH model proves a significant relationship between the volatility of the US Dollar/Turkish Lira and other currencies, except for the US Dollar/South African Rand and the US Dollar/Chinese Yuan. The US 10-year bond yields and the Chicago Options Exchange (VIX) variables also have an impact on the US Dollar/Turkish Lira buying rate volatility.

Project Number

yok

References

  • ATIŞ, A.G., ERER, D. ve AKIN, A. (2019). “Döviz Kuru Riski ve Belirleyenleri: Türkiye Örneği”, Ege Stratejik Araştırmalar Dergisi, 10(2), 43-54.
  • ATMACA, V. D. (2018). “Döviz Kurları Arasındaki Oynaklık Etkileşiminin Analizi: CCC-t-MSV Modeli ile Tahmini”, Finans Politik & Ekonomik Yorumlar, 55(639), 9-32.
  • BAILLIE, R. & BOLLERSLEV, T. (1991). “Intra-day and inter-market volatility in foreign exchange rates”, Review of Economic Studies, 58, 565–585.
  • BEER, F. & HEBEİN, F. (2011). “An Assessment of the stock market and exchange rate Dynamics in industrialized and emerging markets”, International Business Econ Research J, 7(8):59–70.
  • BERGANZA, J.C., BROTO, C. (2012). “Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries”, Journal of International Money and Finance, 31, 428–444.
  • BEZGİN, M. S., & KAYA, E. (2022). Döviz Kuru Volatilitesini Öngörmede Melez Bir Model: Yapay Sinir Ağı Tabanlı EGARCH. Finans Politik & Ekonomik Yorumlar, 59(659), 115-133.
  • BOLLERSLEV, T. (1986). “Generalized autoregressive conditional heteroskedasticity”, Journal of econometrics, 31(3), 307-327.
  • CALVO, G., IZQUIERDO, A., TALVİ, E. (2003). “Suden Stops, the Real Exchange Rate, and Fiscal Sustainability: Argentina’s Lessons”, Working Paper No. 9828. NBER.
  • CHKILI, W. (2012). “The dynamic relationship between exchange rates and stock returns in emerging countries: volatility spillover and portfolio management”, Int J Manag Sci Eng Manag 7(4):53–262.
  • CHKILI, W. & NGUYEN, D.K. (2014). “Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries”, Res Int Business Financ 31: 46–56.
  • DEMİRGİL, H. ve KESEKLER, S. (2019). “Döviz Kurlarında Oynaklık Yayılım Etkilerinin Mgarch Yöntemi İle Modellenmesi”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(4), 1167-1180.
  • DEMİRGİL, H., YILDIRIM, S. Ve ÇİÇEK, Z. (2019). “Döviz Kuru Oynaklığında Asimetrik İşaret ve Boyut Yanlılığının Test Edilmesi: Euro/Tl Kur Oynaklığı Üzerine Bir İnceleme”, Süleyman Demirel Üniversitesi Vizyoner Dergisi, 10(25), 485-494.
  • DEVEREUX, M.B. & LANE, P.R. (2003). “Understanding bilateral exchange rate volatility”, Journal of International Economics, 60, 109–132.
  • DİCKEY, D. A. & FULLER, W. A. (1981). “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica. Journal of the Econometric Society, 1057-1072.
  • EMEÇ, H. ve ÖZDEMİR, M.O. (2014). “Türkiye’de Döviz Kuru Oynaklığının Otoregresif Koşullu Değişen Varyans Modelleri ile İncelenmesi”, Finans Politik & Ekonomik Yorumlar, 51(596), 85-99.
  • ENGLE, R. F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”, Econometrica: Journal of the Econometric Society, 987-1007.
  • ENGLE, R. F., ITO, T., & LIN, W. L. (1990). “Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market”, Econometrica, 58(3), 525-42.
  • FIGLEWSKI, S. (2004). “Forecasting Volatility, Financial Markets, Institutions and Instruments”, Stern School of Business, Boston, Blackwell Publishers.
  • GANGULY, S. & BREUER, J.B. (2010). “Nominal exchange rate volatility, relative price volatility, and the real exchange rate”, Journal of International Money and Finance 29, 840–856.
  • GIANNELLIS, N. & PAPADOPOULOS, A.P., 2011. What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries”, Journal of International Money and Finance 30, 39–61.
  • GANBOLD, B., AKRAM, I., & FAHROZI LUBIS, R. (2017). “Exchange rate volatility: A forecasting approach of using the ARCH family along with ARIMA SARIMA and semi-structural-SVAR in Turkey”, 144-182.
  • GÜR, T.H. ve ERTUĞRUL, H.M. (2012). “Döviz Kuru Volatilitesi Modelleri: Türkiye Uygulaması”, İktisat, İşletme ve Finans, 27(310), 53-77.
  • HARVEY, C. R. & HUANG, R. D. (1991). “Volatility in the foreign currency futures market”, The Review of Financial Studies, 4(3), 543-569.
  • HAUSMANN, R., PANİZZA, U. & RİGOBON, R. (2006). “The long-run volatility puzzle of the real exchange rate”, Journal of International Money and Finance 23, 93–124.
  • HOGAN Jr, K. C. & MELVİN, M. T. (1994). “Sources of meteor showers and heat waves in the foreign exchange market”, Journal of International Economics, 37(3-4), 239-247.
  • İŞÇİOĞLU, F. & GÜLAY, E. (2018). “ABD Doları/Türk Lirası Döviz Kurunun Otoregresif Koşullu Değişen Varyans Modelleri İle İncelenmesi: Türkiye Örneği”, Uluslararası İktisadi ve İdari İncelemeler Dergisi, (20), 151-168.
  • JEBRAN, K. & IQBAL, A. (2016). “Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries”, Financial Innovation, 2(1), 1-20.
  • KANAS, A. (2000). “Volatility spillovers between stock returns and exchange rate changes: International evidence”, Journal of Business Finance & Accounting, 27(3‐4), 447-467.
  • KANAS, A. (2002). “Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan”, Applied Economics Letters, 9, 501–503.
  • KANG, S.H. & YOON, S.M. (2013) “Revisited Return and Volatility Spillover Effect in Korea”, Korea World Econ, 14(1):121–145.
  • KAYRAL, İ.E. (2016). “Türkiye’de Döviz Kuru Volatilitelerinin Modellenmesi”, Politik Ekonomik ve Finansal Analiz Dergisi, 1(1), 1-15.
  • KUZU, S. (2019). “Devlet İç Borçlanma Senetleri, Döviz, Petrol Piyasalarının Hisse Senedi Piyasası Üzerine Ortalama Ve Oynaklık Yayılma Etkileri”, Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(17), 443-461.
  • MOZUMDER, N., DE VİTA, G. KYAW, S. & LARKIN, C. (2015). “Volatility Spillover Between Stock Prices and Exchange Rates: New Evidence Across the Recent Financial Crisis Period”, Economic Issues, 20(1), 43–64.
  • NELSON, D. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2), 347 – 370.
  • OBSTFELD, M. & ROGOFF, K. (1998). “Risk and Exchange Rates”, Working Paper No. 6694, NBER.
  • OBSTFELD, M. & ROGOFF, K. (2000). “New directions in open macroeconomics”, Journal of International Economics, 50, 117–153.
  • O’DONNELL, M., & MORALES, L. (2009). “Volatility spillovers between stock returns and foreign exchange rates: Evidence from four Eastern European countries”, Int J Business, 12, 1-20.
  • OKPARA, G.C. & ODIONYE, J. C (2012). “The direction of volatility spillover between stock prices and exchange rate: evidence from Nigeria”, Elixir Finance, 42: 6410–6414. RIME, D. & SUCARRAT, G. (2007). “Exchange rate variability, market activity and heterogeneity”, Working Paper, 07-70.
  • ROSSI, B. (2013). “Exchange Rate Predictability”, Journal of economic literature, 51(4), 1063-1119.
  • SAĞLAM, M. ve BAŞAR, M. (2016). “Döviz kuru oynaklığının öngörülmesi: Türkiye örneği”, KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 18 (31): 23-29.
  • XIONG, Z & HAN, L. (2015). “Volatility spillover effect between financial markets: evidence since the reform of the RMB exchange rate mechanism”, Financial Innovation, 1(1):1–12.
  • YAMAN, M. & KOY, A. (2019). “ABD Doları/Türk Lirası döviz kuru volatilitesinin modellenmesi: 2001-2018 dönemi”, Muhasebe ve Finans İncelemeleri Dergisi, 2(2), 118-129.
  • YANG, S-Y. & DOONG, S-C. (2004). “Price and Volatility Spillovers Between Stock Prices and Exchange Rates: Empirical Evidence from the G–7 Countries”, International Journal of Business and Economics, 3(2), 139–153.
There are 43 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Murat Akkaya 0000-0002-7071-8662

Project Number yok
Publication Date September 30, 2022
Acceptance Date August 18, 2022
Published in Issue Year 2022 Volume: 6 Issue: 3

Cite

APA Akkaya, M. (2022). Türkiye Döviz Piyasasında Oynaklık ve Oynaklık Yayılımı Üzerine Bir Uygulama. Alanya Akademik Bakış, 6(3), 2707-2719. https://doi.org/10.29023/alanyaakademik.1088204