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VOB'da İşlem Gören Döviz Futures Sözleşmelerinin Değeri ile Piyasadaki Likit Döviz Miktarı Arasındaki İlişki

Year 2007, Issue: 29, - 6, 01.06.2007

Doç. Dr. Turhan Korkmaz Öğr. Gör. Ersin Açıkgöz

Abstract

Bu çalışmanın amacı Vadeli İşlem ve Opsiyon Borsası’nda (VOB) işlem gören vadeli döviz sözleşmelerinin değerleri ile piyasadaki likit döviz miktarında meydana gelen değişim arasındaki ters yönlü ilişkiyi kısa dönemde analiz etmektir. Bu amaçla USD bazlı vadeli sözleşmelerin haftalık uzlaşma fiyatları ile piyasadaki döviz miktarındaki değişimlere Engle-Granger eşbütünleşme, VAR (Vector Auto Regression) ve Granger-Nedensellik testleri uygulanmıştır. Uygulanan testler vadeli döviz sözleşmelerinden likit döviz miktarına doğru bir nedenselliğin olduğunu göstermektedir. VAR modelinin seriler arasındaki ters yönlü ilişkiyi desteklediği ve ham serilerin eşbütünleşik oldukları sonucuna varılmıştır. Elde edilen bu sonuçlara göre, piyasadaki likit döviz miktarında meydana gelen değişimin vadeli döviz sözleşmelerinde meydana gelen değişimden izlenebilmektedir. Bu analizlerden elde edilen sonuçlar, döviz üzerinden yatırım yapan ve faaliyetlerini sürdüren reel sektör ve finans sektörü yatırımcılarına kazanç sağlama ve döviz riskinden korunma amaçlarına yönelik fırsatlar sağlayabilir

Keywords

Likit Döviz Miktarı Döviz Kuru Nedensellik VOB

References

  • BARIŞIK, Salih ve Elmas DEMİRCİOĞLU; (2006), “Türkiye’de Döviz Kuru Rejimi, Konvertibilite, İhracat-İthalat İlişkisi (1980-2001)”, ZKÜ Sos- yal Bilimler Dergisi, 2(3), ss. 71-84.
  • BILSON, John F.O.; (1978), “The Monetary Approach to the Exchange Rate: Some Empirical Evidence”, IMF Staff Papers, 25(2), ss: 201-223.
  • CALVO, G.; (1994), “The Management of Capital Flows: Domestic Policy and International Cooperation”, International Monetary and Financial Issues for the 1990, s, 4.
  • CHIANG, Yi-Chein ve Hui-Ju LIN; (2005), “The Use of Foreign Currency Derivatives and Foreign-Dominated Debts to Reduce Exposure to Exchange Rate Fluctuations”, International Journal of Management, 22(4), ss. 598-604.
  • ÇEKEROL, Kamil ve Hüseyin GÜRBÜZ; (2004), “Reel Döviz Kuru Değişim- leri ile Sektörel Dış Ticaret Fiyatları Arasındaki Uzun Dönemli İlişki,” İnternet http://www.econturk.org/turkiyeekonomisi/odtu_kamil.pdf, Erişim Ta- rihi: 03.05.2007. Adresi:
  • DAVIDSON, Russell ve James G. MACKINNON; (1993), Estimation and Inference in Econometrics, Oxford University Press, New York, 874s.
  • DİNÇER, N. Nergiz; (2005), “Döviz Kuru Dalgalanmalarının Asimetrik Etkile- ri: Türkiye Örneği”, DPT, Uzmanlık Tezi. İnternet Adresi: http://ekutup.dpt.gov.tr/para/dincernn/dovizkur.pdf, 14.06.2007. Erişim Tarihi:
  • DORNBUSCH, Rudiger ve Stanley FISCHER; (1998), Makroekonomi, Çev: Salih Ak, Mahir Fisunoğlu, Erhan Yıldırım, Refia Yıldırım, Akademi Yayın Hizmetleri, 681s.
  • DORNBUSCH, Rudiger; (1976), “Expectations and Exchange Rate Dynamics”, Journal of Political Economy, 84(4), ss. 1161-1176.
  • DÜLGER, Fikret ve M.Fatih CİN; (2002), “Türkiye’de Döviz Kuru Dinamikle- rinin Belirlenmesinde Parasalcı Yaklaşım ve Eşbütünleşme Yöntemiyle Sınama”, ODTÜ Gelişim Dergisi, 29(1-2), ss. 47-68.
  • ENDERS, Walters ve C. W. J. GRANGER; (1998), “Unit-Root Tests and Asymmetric Adjustment with An Example Using the Term Structure of Interest Rates,” Journal of Business and Economic Statistics, 16(3), ss. 304-311.
  • FRANKEL, Jeffrey A.; (1979), “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials”, The American Economic Review, 69(4), ss. 610-622.
  • FRENKEL, Jacob A.; (1976), “A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence”, Scandinavian Journal of Economics, 78, ss. 200-224.
  • HAIGH, Michael S. ve Matthew T. HOLT; (2002), “Hedging Foreign Currency, Freight, and Commodity Futures Portfolios-A Note”, The Journal of Futures Markets,.22(12), ss. 1205-1221.
  • HOOPER, P. ve J. MORTON; (1982), “Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination”, Journal of International Money and Finance, 1, ss. 39-56. Investopedia, “Futures Contracts”, http://www.investopedia.com/ terms/f/ futurescontract.asp, Erişim Ta- rihi: 25.04.2007. İnternet Adres:
  • MC KINNON, R.I.; (1973), Money and Capital in Economic Development, Washington D.C. Brookings Institution, 184s.
  • ÖZÇAM, Mustafa; (2004), “Döviz Kuru Politikaları ve Türkiye’de Döviz Kuru Oynaklığının Etkileşimleri”, SPK, Araştırma Raporu. İnternet Adresi: http://www.spk.gov.tr/yayinlar/ArastirmaRaporlari/2004_MustafaOzca m_3.pdf, Erişim Tarihi: 04.06.2007
  • ÖZGEN, Ferhat Başkan ve Bülent GÜLOĞLU; (2004), “Türkiye’de İç Borçla- rın İktisadi Etkilerinin VAR Tekniği İle Analizi,” METU Studies in Development, 31, ss.93-114.
  • TARI, Recep ve Hilal BOZKURT; (2006), “Türkiye’de İstikrarsız Büyümenin VAR Modelleri İle Analizi:1991.1-2004.4”, Ekonometri ve İstatistik, 4, ss. 12-28.
  • TARI, Recep; (2005), Ekonometri, Gözden Geçirilmiş 3. Baskı, Kocaeli Üni- versitesi Yayın No:172, Avcı Ofset, İstanbul, 481s.
  • TCMB, Elektronik Veri Dağıtım Sistemi (EVDS), http://www.tcmb.gov.tr, Erişim Tarihi: 23-27.04.2007.
  • VOB, İnternet Adresi: http://www.vob.org.tr, Erişim Tarihi: 23-27.04.2007.

Year 2007, Issue: 29, - 6, 01.06.2007

Doç. Dr. Turhan Korkmaz Öğr. Gör. Ersin Açıkgöz

Abstract

References

  • BARIŞIK, Salih ve Elmas DEMİRCİOĞLU; (2006), “Türkiye’de Döviz Kuru Rejimi, Konvertibilite, İhracat-İthalat İlişkisi (1980-2001)”, ZKÜ Sos- yal Bilimler Dergisi, 2(3), ss. 71-84.
  • BILSON, John F.O.; (1978), “The Monetary Approach to the Exchange Rate: Some Empirical Evidence”, IMF Staff Papers, 25(2), ss: 201-223.
  • CALVO, G.; (1994), “The Management of Capital Flows: Domestic Policy and International Cooperation”, International Monetary and Financial Issues for the 1990, s, 4.
  • CHIANG, Yi-Chein ve Hui-Ju LIN; (2005), “The Use of Foreign Currency Derivatives and Foreign-Dominated Debts to Reduce Exposure to Exchange Rate Fluctuations”, International Journal of Management, 22(4), ss. 598-604.
  • ÇEKEROL, Kamil ve Hüseyin GÜRBÜZ; (2004), “Reel Döviz Kuru Değişim- leri ile Sektörel Dış Ticaret Fiyatları Arasındaki Uzun Dönemli İlişki,” İnternet http://www.econturk.org/turkiyeekonomisi/odtu_kamil.pdf, Erişim Ta- rihi: 03.05.2007. Adresi:
  • DAVIDSON, Russell ve James G. MACKINNON; (1993), Estimation and Inference in Econometrics, Oxford University Press, New York, 874s.
  • DİNÇER, N. Nergiz; (2005), “Döviz Kuru Dalgalanmalarının Asimetrik Etkile- ri: Türkiye Örneği”, DPT, Uzmanlık Tezi. İnternet Adresi: http://ekutup.dpt.gov.tr/para/dincernn/dovizkur.pdf, 14.06.2007. Erişim Tarihi:
  • DORNBUSCH, Rudiger ve Stanley FISCHER; (1998), Makroekonomi, Çev: Salih Ak, Mahir Fisunoğlu, Erhan Yıldırım, Refia Yıldırım, Akademi Yayın Hizmetleri, 681s.
  • DORNBUSCH, Rudiger; (1976), “Expectations and Exchange Rate Dynamics”, Journal of Political Economy, 84(4), ss. 1161-1176.
  • DÜLGER, Fikret ve M.Fatih CİN; (2002), “Türkiye’de Döviz Kuru Dinamikle- rinin Belirlenmesinde Parasalcı Yaklaşım ve Eşbütünleşme Yöntemiyle Sınama”, ODTÜ Gelişim Dergisi, 29(1-2), ss. 47-68.
  • ENDERS, Walters ve C. W. J. GRANGER; (1998), “Unit-Root Tests and Asymmetric Adjustment with An Example Using the Term Structure of Interest Rates,” Journal of Business and Economic Statistics, 16(3), ss. 304-311.
  • FRANKEL, Jeffrey A.; (1979), “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials”, The American Economic Review, 69(4), ss. 610-622.
  • FRENKEL, Jacob A.; (1976), “A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence”, Scandinavian Journal of Economics, 78, ss. 200-224.
  • HAIGH, Michael S. ve Matthew T. HOLT; (2002), “Hedging Foreign Currency, Freight, and Commodity Futures Portfolios-A Note”, The Journal of Futures Markets,.22(12), ss. 1205-1221.
  • HOOPER, P. ve J. MORTON; (1982), “Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination”, Journal of International Money and Finance, 1, ss. 39-56. Investopedia, “Futures Contracts”, http://www.investopedia.com/ terms/f/ futurescontract.asp, Erişim Ta- rihi: 25.04.2007. İnternet Adres:
  • MC KINNON, R.I.; (1973), Money and Capital in Economic Development, Washington D.C. Brookings Institution, 184s.
  • ÖZÇAM, Mustafa; (2004), “Döviz Kuru Politikaları ve Türkiye’de Döviz Kuru Oynaklığının Etkileşimleri”, SPK, Araştırma Raporu. İnternet Adresi: http://www.spk.gov.tr/yayinlar/ArastirmaRaporlari/2004_MustafaOzca m_3.pdf, Erişim Tarihi: 04.06.2007
  • ÖZGEN, Ferhat Başkan ve Bülent GÜLOĞLU; (2004), “Türkiye’de İç Borçla- rın İktisadi Etkilerinin VAR Tekniği İle Analizi,” METU Studies in Development, 31, ss.93-114.
  • TARI, Recep ve Hilal BOZKURT; (2006), “Türkiye’de İstikrarsız Büyümenin VAR Modelleri İle Analizi:1991.1-2004.4”, Ekonometri ve İstatistik, 4, ss. 12-28.
  • TARI, Recep; (2005), Ekonometri, Gözden Geçirilmiş 3. Baskı, Kocaeli Üni- versitesi Yayın No:172, Avcı Ofset, İstanbul, 481s.
  • TCMB, Elektronik Veri Dağıtım Sistemi (EVDS), http://www.tcmb.gov.tr, Erişim Tarihi: 23-27.04.2007.
  • VOB, İnternet Adresi: http://www.vob.org.tr, Erişim Tarihi: 23-27.04.2007.
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Doç. Dr. Turhan Korkmaz This is me

Öğr. Gör. Ersin Açıkgöz This is me

Publication Date June 1, 2007
Published in Issue Year 2007 Issue: 29

Cite

APA Korkmaz, D. . D. . T., & Açıkgöz, Ö. . G. . E. (2007). VOB’da İşlem Gören Döviz Futures Sözleşmelerinin Değeri ile Piyasadaki Likit Döviz Miktarı Arasındaki İlişki. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(29), 6.

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