Döviz Kurları Arasındaki Oynaklık Etkileşiminin Analizi: CCC-t-MSV Modeli ile Tahmin

Year 2018, Issue: 639, 109 - 132, 01.05.2018

Verda Davasligil Atmaca

Abstract

Küreselleşme ve dünya piyasaları arasında entegrasyon artışı finansal piyasalardaki karşılıklı bağımlılığı ve etkileşimi arttırmıştır. Bu nedenle son yıllarda ekonomik ve finansal zaman serilerinde oynaklığın analizi önem kazanmıştır. Bu doğrultuda çalışmanın temel amacı, Türkiye’nin ithalatında önemli paya sahip ülkelerin para birimlerine ait oynaklığın analiz edilmesidir. Bu amaçla Ruble, Çin Yuanı, Türk Lirası, Avro ve İngiliz Sterlini getiri serileri arasındaki ikili oynaklık etkileşimleri 01.11.2010-20.11.2015 dönemi için iki değişkenli CCC-t-MSV modeli tahmin edilmiştir. Modellerin tahmininde Bayesyen analize dayalı MCMC yöntemi kullanılmıştır. Elde edilen bulgulara göre, döviz kuru getiri serileri büyük oranda kendi piyasalarında meydana gelen şoklardan etkilenmektedir. Yalnızca Avro ve Sterlin piyasaları arasında iki yönlü karşılıklı oynaklık yayılımı bulunmaktadır. Yuan serisi en yüksek oynaklık değişkenliğine sahip seridir. Yuan serisinin ardından yükselen ekonomilerden Rusya ve Türkiye’nin para birimleri olan Ruble ve Liranın, Avro ve Sterline kıyasla daha fazla oynaklık kararsızlığına sahip olduğu sonucuna ulaşılmıştır

Keywords

Oynaklık, Stokastik Oynaklık, Döviz Kurları, Çok Değişkenli SV Modeller.

The Analysis of the Volatility Interaction Between Foreign Exchange Rates: with CCC-t-MSV Model Estimation

Abstract

Globalization and increasing integration between world markets has increased interdependence and interaction in financial markets. For this reason, the analysis of volatility in economic and financial time series has gained importance in recent years. The main aim of this study is to analyze of the volatility of foreign currencies of Turkey’s top five trading partners. Fort this aim, the data set used in this study consists of return series of Chinese Yuan, Turkish Lira, Euro, British Sterling. The sample from 01.11.2010 to 20.11.2015 is used for volatility interaction between the return series via CCC-tMSV models. MCMC method which is based on Bayesian analysis is used for models estimation. According to the findings, the exchange rate return series are largely affected by the shocks that occur in their market. There is only bidirectional volatility interaction between Euro and Sterling markets. The Yuan has the highest variability of volatility among all the series. Following the Yuan series emerging economies Russia and Turkey's currencies, Ruble and Lira, have more variability of volatility than the Euro and Sterling.

Keywords

Volatility, Stochastic Volatility, Foreign Exchange, Multivariate SV Models.

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