KÜRESEL MALİ DALGALANMALAR: GELİŞEN ÜLKELERİN EURO-TAHVİL GETİRİLERİ AÇISINDAN BİR DEĞERLENDİRME

Abstract

Keywords

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KÜRESEL MALİ DALGALANMALAR: GELİŞEN ÜLKELERİN EURO-TAHVİL GETİRİLERİ AÇISINDAN BİR DEĞERLENDİRME

Abstract

Bu çalışmada, küresel mali dalgalanmalar kapsamında, küresel likidite kavramı incelenmekte ve günlük Euro-tahvil verileri kullanılarak küresel mali dalgalanmaların yayılması kapsamındaki bulgular değerlendirilmektedir. Bu amaçla önce Ocak 1999- Mart 2007 arasındaki Brezilya, Meksika, Rusya, Macaristan, Malezya, Güney Afrika ve Türkiye’nin EMBIG Endeksleri ile ABD 10 yıllık hazine tahvili faizlerine dayanan yüksek frekanslı bir veri seti oluşturulmuştur. Verilerin durağanlığı için Augmented Dickey-Fuller (ADF) sınamalarına başvurulmuştur. Daha sonra bu veri seti kullanılarak korelasyon, Granger nedenselliği ve panel probit uygulamaları yapılmış ve ortaya çıkan bulgular değerlendirilmiştir. Uygulamalarda ve değerlendirmelerde küresel mali dalgalanmalarda rol oynayan küresel likidite hareketlerinin gelişen ülkelerin sermaye akışında yayılmaya yol açıp açmadığıyla ilgili olarak ortaya koyulan soruların yanıtlanması amaçlanmıştır. Mali dalgalanmalar (ele alınan ülkeler kapsamında) panel probit yöntemiyle ilk kez bu çalışmada açıklanmaya çalışılmaktadır.

Keywords

• Küresel mali dalgalanmalar, Euro-tahvil getirileri, korelasyon, Granger Nedenselliği, panel probit

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