USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi

Yıl 2017, Cilt: 19 Sayı: 3, 868 - 891, 29.12.2017

İbrahim Yaşar Gök Gamze Göçmen Yağcılar

Öz

Bu çalışmada, makroekonomik haberlerin gerçek değerleri ile
beklenen değerleri arasındaki fark olarak ifade edilen haber sürprizlerinin,
USD/TL döviz kuru üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu
bağlamda, ABD’den 18 ve Türkiye’den 10 makroekonomik habere dair sürprizlerin,
02.01.2009-30.06.2016 dönemindeki günlük kurun seviye ve volatilitesi
üzerindeki etkileri EGARCH (1,1) modelinin uygulanması ile araştırılmıştır. Buna
göre, Türkiye makroekonomik haber sürprizleri,
kurun seviyesi üzerinde anlamlı etkilere sahip değilken, koşullu volatilite
üzerinde Türkiye 1 hafta vadeli repo faiz oranı sürprizleri ile üretici fiyat
endeksi (ÜFE) sürprizleri anlamlı etkilere sahiptirler. ABD makroekonomik
haberlerinden ise beklenenden daha fazla fabrika siparişleri ve tarım dışı
istihdam ABD dolarının değerini anlamlı bir şekilde artırırken, koşullu
volatiliteyi ise Tedarik Yönetimi Enstitüsü (Institute for Supply Management, ISM)
imalat satın alma yöneticileri endeksi (purchasing managers index, PMI) ile
işsizlik oranı sürprizleri anlamlı bir şekilde etkilemektedir. Bu bulgular, ABD
haber sürprizlerinin Türkiye haber sürprizlerinden daha belirgin bir şekilde
kurun seviyesi üzerinde etkide bulunduğuna işaret etmektedir. Ayrıca, ABD ISM
imalat PMI, ABD işsizlik oranı ve Türkiye 1 hafta vadeli repo faiz oranı
sürprizlerinin piyasadaki belirsizliği artırdığı, Türkiye ÜFE sürprizlerinin
ise piyasayı sakinleştirici bir etkisinin bulunduğu sonucuna varılmıştır. 

Anahtar Kelimeler

Makroekonomik Haber Sürprizleri, ABD Doları/TL, Döviz Kuru Seviyesi, Döviz Kuru Volatilitesi, EGARCH

Kaynakça

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