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.
References
- AMES, Matthew; Guillaume BAGNAROSA ve Gareth W. PETERS; (2017), “Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences”. Journal of International Money and Finance, 73, ss. 162-187.AYDIN, Faruk ve Vuslat US; (2007), “Carry Trade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, 2(3), ss. 175-185.BAI, Jushan ve Pierre PERRON; (2003a), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, 18, ss. 1-22.BAI, Jushan ve Pierre PERRON; (2003b), “Critical Values for Multiple Structural Change Tests”, Econometrics Journal, 6, ss. 72-78BHANSALI, Vineer; (2007), “Volatility and the Carry Trade”, Journal of Fixed Income, 17(3), ss. 72-84.BLEANEY, Michael ve Douglas LAXTON; (2003), “Real Interest Rates and Real Exchange Rates: Evidence From Indexed Bonds”. The Manchester School, 71(1), ss. 65-77.BREITUNG, Jörg ve Bertrand Candelon; (2006),, “Testing For Short And Long-Run Causality: A Frequency-Domain Approach” Journal of Econometrics, 132, ss. 363-378.CLARIDA, Richard; Josh DAVIS ve Niels PEDERSEN; (2009) “Currency Carry Trade Regimes: Beyond The Fama Regression”, Journal of Int. Money and Finance, 28(8), ss. 1375-1389.CZECH, Katarzyna ve Adam WASHKOVSKI; (2012), “Financial Determinants of Carry Trade Activity”, Oeconomia, 11(4), ss. 15-22.DICKEY, David A. ve Wayne. A Fuller; (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, ss. 1057-1072.FERREIRA, Luiz A.; (2009), “Is it risk? An Automated Approach to Explain The Ex-Ante UIP Deviations of Brazil”, Cuadernos de Economia, 46, ss. 51-66.FLOOD, Robert P. ve Andrew K. ROSE; (2002), “Uncovered Interest Parity In Crisis”, IMF Staff Papers, 49(2), ss. 252-266.FUNG, Hung-Gay; Yiuman TSE ve Lin ZHAO; (2013), “Are Stock Markets In Asia Related To Carry Trade?”, Pacific-Basin Finance Journal, 25, ss. 200-216.GACENER ATIŞ, Aydanur ve Deniz ERER; (2016), “Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi” Türkiye Ekonomi Kurumu Uluslararası Ekonomi Konferansı, 20-22 Ekim, Bodrum, ss. 488-501.HATEMI-J, Abdulnasser ve Eduardu ROCA; (2014a), “BRICs And PIGS In The Presence Of Uncle Sam and Big Brothers: Who Drive Who? Evidence Based On Asymmetric Causality Tests”. Griffith Business School Discussion Papers Finance, ISSSN:1836-8123.HATEMI-J, Abdulnasser ve Eduardu ROCA; (2014b), “Estimating The Optimal Hedge Ratio In The Presence Of Potential Unknown Structural Breaks”. Applied Economics, 46(8), ss. 790-795.HOFFMANN, Andreas; (2012), “Determinants of Carry Trades In Central and Eastern Europe”, App. Fin. Economics, 22(18), ss. 1479-1490.JIN, Dacheng; (2018), “Carry trade and its relationship with the Stock Market: Evidence from New Zealand” PhD Thesis, Auckland University of Technology, Faculty of Business, Economics and Law.JUREK, Jakup W.; (2014), “Crash-Neutral Currency Carry Trades”. Journal of Financial Economics, 2014/113(3), ss. 325-347.KIM, Suk-Joong; (2015), “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”, International Review of Financial Analysis, 40, ss. 64-75.KIRIKOS, Dimitris G.; (2002), “Discrete Policy Interventions And Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited”, International Journal of Finance and Economics, ss. 327-338.MACKINNON, James G.; (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11, ss. 601-618.MOOSA, Imad ve Pashaar HALTEH; (2012), “The Profitability of Carry Trade Relative to a Forecasting-Based Strategy”, Journal of International Economics, 65, ss. 605-621.MUTAFOGLU, Takvor H.; (2011), “A Note on Carry Trade and the Related Financial Variables”, International Journal of Economics and Finance, 3(3), ss. 91-96.NISHIGAKI, Hideki; (2007) ”Relationship between the Yen Carry Trade and the Related Financial Variables”, Economics Bulletin, 13(2) ss. 1-7.ÖNER BADURLAR, İlkay; (2009), “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1) ss. 53-74.PHILLIPS, Peter C.B. ve, Pierre PERRON; (1988) “Testing For A Unit Root In Time Series Regression”. Biometrika, 75(2), ss. 335-346.SAKARYA, Burçhan ve Ferhun ATEŞ; (2016), “Carry Trade (Ara Kazanç) Strateji ve Belirleyicileri Üzerine Bir Çalışma”, Second International Conference on Applied Economics and Finance, 5-6 Aralık, Girne,Girne Amerikan Üniversitesi, ss. 25-34.TAYLOR, Mark P.; (1995), “The Economics of Exchange Rates,” Journal of Economic Literature, 33, ss. 13-47.TSE, Yiuman ve Lin ZHAO; (2012), “The Relationship Between Currency Carry Trades and US Stocks”, The Journal of Futures Markets, 32, ss. 252-271.
Abstract
References
- AMES, Matthew; Guillaume BAGNAROSA ve Gareth W. PETERS; (2017), “Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences”. Journal of International Money and Finance, 73, ss. 162-187.AYDIN, Faruk ve Vuslat US; (2007), “Carry Trade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, 2(3), ss. 175-185.BAI, Jushan ve Pierre PERRON; (2003a), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, 18, ss. 1-22.BAI, Jushan ve Pierre PERRON; (2003b), “Critical Values for Multiple Structural Change Tests”, Econometrics Journal, 6, ss. 72-78BHANSALI, Vineer; (2007), “Volatility and the Carry Trade”, Journal of Fixed Income, 17(3), ss. 72-84.BLEANEY, Michael ve Douglas LAXTON; (2003), “Real Interest Rates and Real Exchange Rates: Evidence From Indexed Bonds”. The Manchester School, 71(1), ss. 65-77.BREITUNG, Jörg ve Bertrand Candelon; (2006),, “Testing For Short And Long-Run Causality: A Frequency-Domain Approach” Journal of Econometrics, 132, ss. 363-378.CLARIDA, Richard; Josh DAVIS ve Niels PEDERSEN; (2009) “Currency Carry Trade Regimes: Beyond The Fama Regression”, Journal of Int. Money and Finance, 28(8), ss. 1375-1389.CZECH, Katarzyna ve Adam WASHKOVSKI; (2012), “Financial Determinants of Carry Trade Activity”, Oeconomia, 11(4), ss. 15-22.DICKEY, David A. ve Wayne. A Fuller; (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, ss. 1057-1072.FERREIRA, Luiz A.; (2009), “Is it risk? An Automated Approach to Explain The Ex-Ante UIP Deviations of Brazil”, Cuadernos de Economia, 46, ss. 51-66.FLOOD, Robert P. ve Andrew K. ROSE; (2002), “Uncovered Interest Parity In Crisis”, IMF Staff Papers, 49(2), ss. 252-266.FUNG, Hung-Gay; Yiuman TSE ve Lin ZHAO; (2013), “Are Stock Markets In Asia Related To Carry Trade?”, Pacific-Basin Finance Journal, 25, ss. 200-216.GACENER ATIŞ, Aydanur ve Deniz ERER; (2016), “Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi” Türkiye Ekonomi Kurumu Uluslararası Ekonomi Konferansı, 20-22 Ekim, Bodrum, ss. 488-501.HATEMI-J, Abdulnasser ve Eduardu ROCA; (2014a), “BRICs And PIGS In The Presence Of Uncle Sam and Big Brothers: Who Drive Who? Evidence Based On Asymmetric Causality Tests”. Griffith Business School Discussion Papers Finance, ISSSN:1836-8123.HATEMI-J, Abdulnasser ve Eduardu ROCA; (2014b), “Estimating The Optimal Hedge Ratio In The Presence Of Potential Unknown Structural Breaks”. Applied Economics, 46(8), ss. 790-795.HOFFMANN, Andreas; (2012), “Determinants of Carry Trades In Central and Eastern Europe”, App. Fin. Economics, 22(18), ss. 1479-1490.JIN, Dacheng; (2018), “Carry trade and its relationship with the Stock Market: Evidence from New Zealand” PhD Thesis, Auckland University of Technology, Faculty of Business, Economics and Law.JUREK, Jakup W.; (2014), “Crash-Neutral Currency Carry Trades”. Journal of Financial Economics, 2014/113(3), ss. 325-347.KIM, Suk-Joong; (2015), “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”, International Review of Financial Analysis, 40, ss. 64-75.KIRIKOS, Dimitris G.; (2002), “Discrete Policy Interventions And Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited”, International Journal of Finance and Economics, ss. 327-338.MACKINNON, James G.; (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11, ss. 601-618.MOOSA, Imad ve Pashaar HALTEH; (2012), “The Profitability of Carry Trade Relative to a Forecasting-Based Strategy”, Journal of International Economics, 65, ss. 605-621.MUTAFOGLU, Takvor H.; (2011), “A Note on Carry Trade and the Related Financial Variables”, International Journal of Economics and Finance, 3(3), ss. 91-96.NISHIGAKI, Hideki; (2007) ”Relationship between the Yen Carry Trade and the Related Financial Variables”, Economics Bulletin, 13(2) ss. 1-7.ÖNER BADURLAR, İlkay; (2009), “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1) ss. 53-74.PHILLIPS, Peter C.B. ve, Pierre PERRON; (1988) “Testing For A Unit Root In Time Series Regression”. Biometrika, 75(2), ss. 335-346.SAKARYA, Burçhan ve Ferhun ATEŞ; (2016), “Carry Trade (Ara Kazanç) Strateji ve Belirleyicileri Üzerine Bir Çalışma”, Second International Conference on Applied Economics and Finance, 5-6 Aralık, Girne,Girne Amerikan Üniversitesi, ss. 25-34.TAYLOR, Mark P.; (1995), “The Economics of Exchange Rates,” Journal of Economic Literature, 33, ss. 13-47.TSE, Yiuman ve Lin ZHAO; (2012), “The Relationship Between Currency Carry Trades and US Stocks”, The Journal of Futures Markets, 32, ss. 252-271.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | June 30, 2019 |
| Acceptance Date | March 14, 2019 |
| Published in Issue | Year 2019 Issue: 53 |
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