Causal relation between carry trade investments and its determinants: The case of Turkey

Year 2019, , 309 - 324, 30.06.2019

Mehmet Temiz

https://doi.org/10.18070/erciyesiibd.535122

Cited By: 3

Abstract

Carry trade which focuses on making profit from interest rate differentials between countries in low exchange rate volatility; constitute a significant portion of short-term capital movements to developing countries such as Turkey. In this context, it is important to determine the direction and degree of the relationship between carry trade investments and its determinants. In this study, causal relationship between carry trade volume realized on US dollar basis in Turkey and its determinants examined for the period 2005:M09-2018:M08. According to frequency domain causality results; there are strong causal relationships from nominal exchange rate, interest rate differences, VIX and BIST-100 index to carry trade volume. According to asymmetric causality results; there are significant causal relationships from interest rate differentials, VIX and S&P-500 index to carry trade volume.

Keywords

Carry Trade, Interest Rate Differentials, Exchange Rate Volatility, Causality

Carry trade yatırımları ve belirleyicileri arasındaki nedensellik ilişkisi: Türkiye örneği

Abstract

Düşük kur oynaklığında, ülkeler arasındaki faiz oranı farklılıklarından kazanç elde etmeye dayanan carry trade yatırımları Türkiye gibi gelişmekte olan ülkelere yönelik kısa vadeli sermaye hareketlerinin önemli kısmını oluşturmaktadır. Bu kapsamda, carry trade yatırımları ve belirleyicileri arasındaki ilişkinin yönü ve derecesinin tespit edilmesi önem arz etmektedir. Bu çalışmada Türkiye için 2005:09 ve 2018:08 döneminde ABD doları bazında gerçekleşen carry trade işlem hacmi ve belirleyicileri arasındaki nedensellik ilişkisi incelenmiştir. Frekans alanı nedensellik sonuçlarına göre; nominal döviz kuru, faiz oranı farklılıkları, VIX ve BIST-100 endeksinden carry trade işlem hacmine doğru güçlü nedensellik ilişkileri mevcuttur. Asimetrik nedensellik sonuçlarına göre de faiz oranı farklılıkları, VIX ve S&P-500 endeksinden carry trade işlem hacmine doğru anlamlı nedensellik ilişkileri bulunmaktadır.

Keywords

Carry Trade, Faiz Oranı Farklılıkları, Döviz Kuru Oynaklığı, Nedensellik

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