CARRY TRADE YATIRIMLARI VE TEMEL BELİRLEYİCİLERİ ARASINDAKİ ROLLİNG WİNDOW NEDENSELLİK İLİŞKİSİ: TÜRKİYE ÖRNEĞİ

Abstract

Düşük faiz oranına sahip ülkeden borç alarak, faiz oranlarının yüksek olduğu ülkelerde ödünç vermek suretiyle getiri elde etmek şeklinde tanımlanan carry trade yatırım stratejisi, son yıllarda oldukça önem kazanmıştır. 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 yatırımlarının temel belirleyicileri olan döviz kuru ve faiz oranı farklılıkları ile olan ilişkinin oluşma sıklığı ve uzunluğunun 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 rolling window test yöntemiyle incelenmiştir. Rolling window test sonuçlarına göre; nominal döviz kuru ve faiz oranı farklılıklarından carry trade işlem hacmine doğru güçlü nedensellik ilişkileri bulunmaktadır.

Keywords

• Carry trade,faiz oranı farklılıkları,döviz kuru,nedensellik

References

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