Merkez Bankası Dijital Para Birimleri Belirsizliği ve Finansal Piyasalara Oynaklık Yayılımları

Abstract

Son yıllarda birçok merkez bankası, finansal teknolojilerdeki gelişmeler, nakit kullanımının azalması gibi nedenler ve ödeme sistemlerinde verimliliğin arttırılması, parasal egemenliğin korunması gibi motivasyonlarla dijital para birimlerine ilgi göstermektedir. Bu doğrultuda dünya genelinde merkez bankası dijital para birimlerine yönelik çalışmalar ve pilot uygulamalar hız kazanmış, bu durum ise finansal piyasalarda hem fırsat hem de belirsizlik kaynağı olarak görülmeye başlanmıştır. Bu süreç, yatırımcıların risk algısında dalgalanmalara yol açarak farklı finansal piyasa ve varlıklarda oynaklıkların artmasına neden olabilmektedir. Bu nedenle, özellikle döviz, hisse senedi, tahvil, kripto para ve emtia gibi küresel sistemde birbirine entegre piyasalarda bu belirsizliklerin ne ölçüde kalıcı ya da geçici etkiler doğurduğunun ortaya konulması, finansal istikrar açısından olukça önemlidir. Literatürde merkez bankası dijital para birimlerini ele alan çalışmalarda büyük ölçüde teknolojik altyapı, düzenleyici çerçeve veya makroekonomik etkilere odaklanılmıştır. Merkez bankası dijital para birimlerin etkilerini araştıran çalışmalarda ise çoğunlukla etkinin süresine odaklanılmış ve benzer yöntemler uygulanmıştır. Ayrıca, literatürdeki çalışmaların birçoğunda merkez bankası dijital para birimleri belirsizliğinin finansal piyasalara etkisi sadece belirli finansal varlıkların fiyat ve getirileri üzerinden analiz edilmiş, farklı piyasalara olan oynaklık yaylımları ise görece sınırlı düzeyde kalmıştır. Bununla birlikte, ilgili çalışmalarda genellikle yayılımların kalıcılık boyutu dikkate alınmamıştır. Bu bağlamda çalışmada, literatürdeki bu boşluğun giderilebilmesi için merkez bankası dijital para birimleri belirsizliğinden finansal piyasa ve varlıklara oynaklık yayılımlarının ve yayılımların kalıcılığının belirlenmesi amaçlanmıştır. Bu amaç doğrultusunda, merkez bankası dijital para birimleri belirsizlik endeksinden 20 gelişmiş ve gelişmekte olan ülkenin hisse senedi, döviz ve tahvil piyasasına, kripto paralara, yeşil varlıklara, değerli metal, enerji ve tarımsal emtialara olan oynaklık yayılımları Li ve Enders (2018) Fourier fonksiyonları ile genişletilmiş varyansta nedensellik testi ile analiz edilmiştir. Çalışma sonucunda ulaşılan en önemli bulgu, merkez bankası dijital para birimleri belirsizliğinden birçok finansal piyasa ve varlığa oynaklık yayılımlarının bulunmasıdır. Ulaşılan bir diğer önemli bulgu, özellikle majör, güvenli liman olma özelliği taşıyan para birimleri ve alternatif finansal varlıklara olan yayılımların kalıcı nitelikte olmasıdır. Çalışma ile ayrıca, kripto para piyasalarında işlem gören spekülatif coinlerin merkez bankası dijital para birimleri belirsizliğinden etkilendiği, stable coinlerde ise yayılımların sınırlı kaldığı tespit edilmiştir. Sonuçlar, merkez bankası dijital para birimleri belirsizliğinin finansal piyasalarda uzun vadeli risk algısı değişiklikleri yaratarak finansal istikrar için önemli sonuçlar doğurabileceğini ortaya koymaktadır.

Keywords

• Dijital para birimi
• finansal istikrar
• belirsizlik
• oynaklık
• varyansta nedensellik

Central Bank Digital Currencies Uncertainty and Volatility Spillovers to Financial Markets

Abstract

In recent years, many central banks are interested in digital currencies due to reasons such as developments in financial technologies and decreasing cash usage, and due to motivations such as increasing efficiency in payment systems and preserving monetary sovereignty. Accordingly, studies and pilot implementations of central bank digital currencies accelerates worldwide, and this situation is seen as both an opportunity and a source of uncertainty in financial markets. This process may lead to fluctuations in investors' risk perception and cause volatility in different financial markets and assets. Especially in globally integrated markets such as foreign exchange, stock, bond, cryptocurrency and commodity, it is very important in terms of financial stability to determine to what extent these uncertainties have permanent or temporary effects. In the literature, studies on central bank digital currencies are largely focused on technological infrastructure, regulatory framework or macroeconomic effects. Studies investigating the effects of central bank digital currencies are mostly focused on the duration of the effect and they generally use similar methods. Moreover, in most of the studies in the literature, the effect of central bank digital currency uncertainty on financial markets analyzes the effects only in terms of the prices and returns of certain financial assets, while volatility spillovers to different markets are addressed in a relatively limited manner. In addition, the persistency of spillovers are generally not been taken into account in the related studies. In this context, this study aims to identify the volatility spillovers from central bank digital currency uncertainty to financial markets and assets, and the persistence of the spillovers, in order to fill this gap in the literature. For this purpose, the volatility spillovers from the central bank digital currency uncertainty index to stock, foreign exchange and bond markets of 20 developed and emerging economies, and to cryptocurrencies, green assets, precious metals, energy and agricultural commodities are analyzed using the Li and Enders (2018) variance causality test extended with the Fourier functions. The most important finding of the study is that there are volatility spillovers from central bank digital currency uncertainty to many financial markets and assets. Another important finding is that the spillovers to major, safe-haven currencies and alternative financial assets are persistent. The study also finds that speculative coins traded in cryptocurrency markets are affected by the uncertainty of central bank digital currencies, while the spillovers in stable coins are limited. The results suggest that central bank digital currency uncertainty may cause important consequences for financial stability by creating long-term risk perception changes in financial markets.

Keywords

• Digital currency
• financial stability
• uncertainty
• volatility
• causality in variance

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