HAZİNENİN DÖVİZ ÖDEMELERİ VE TÜRKİYE'NİN DÖVİZ KURU DİNAMİĞİ

Year 2017, , 1 - 10, 08.05.2017

Halil Tunalı , Ahmet Güney

https://doi.org/10.25204/iktisad.304346

Abstract

Bu çalışmada, Türkiye Cumhuriyeti Hazinesinin 2000 ve
2004 yıllarında ABD doları cinsinden ihraç ettiği 30 yıl vadeli borçlanma
kağıtlarının kupon ödeme günlerindeki döviz kuru ve döviz kuru oynaklığındaki
değişim araştırılmaktadır. 03 Ocak 2000-08 Nisan 2015 dönemine ait günlük
USD/TL döviz kurunun kullanıldığı çalışmada, modeller EGARCH (1.1) yöntemi ile
tahmin edilmiştir. Çalışmanın bulgularına göre, 2030 ve 2034 vadeli tahvillerin
kupon ödemesi döviz kurunun seviyesini ve oynaklığını düşürmektedir. Ancak 2034
vadeli tahvilin döviz kuru üzerindeki azaltıcı etkisi daha fazla çıkmıştır. Bununla
birlikte her iki tahvilin kupon ödemesi birlikte değerlendirildiğinde,
Türkiye'de Hazinenin kupon ödemelerinin hem döviz kuru seviyesi hemde döviz
kuru oynaklığı üzerinde azaltıcı etkide bulunduğu görülmüştür. Çalışmanın
sonuçları, Etkin Piyasalar Hipotezinin "döviz kurlarının öngörülemeyeceği,
kurların ulaşılabilir tüm bilgileri yansıttığı ve bu nedenle yatırımcıların
anormal kazanç elde edemeyeceği" iddiasını çürütmektedir.

Keywords

Kaldıraç Etkisi, Döviz Kuru, Oynaklık, EGARCH, Asimetri

FOREIGN EXCHANGE PAYMENTS OF THE TREASURY AND EXCHANGE RATE DYNAMICS OF TURKEY

Abstract

In
this study, the effect of coupon payments of 30-year Treasury bonds sold in the
years of 2000 and 2004 on the exchange rates changes and exchange rate
volatility in the payment date are investigated. Models are estimated with
EGARCH (1.1) method in the study which uses daily USD/TL exchange rates between
03 Jan 2000 and 08 Apr 2015 period. Our findings show that coupon payments of
the bonds with the maturity dates of 2030 and 2034 decrease the exchange rate
level and exchange rate volatility. However, the decreasing effect of the bond
with the maturity dates of 2034 on exchange rates is higher. Evaluating coupon
payments of both bonds together, it is observed that Treasury coupon payments
in Turkey have a decreasing effect on exchange rate level and exchange rate
volatility. The study disproves the claims of Effective Market Hypothesis which
says “exchange rate cannot be predicted; exchange rates reflect all available information
so investors cannot gain abnormal profits.”

Keywords

Leverage Effect, exchange rate, volatility, egarch, asymmetry

References

• Ahmad, R., Rhee, S. G., Wong, Y. M. (2012), "Foreign Exchange Market Efficiency Under Recent Crises: Asia-Pasific Focus", Journal of International Money and Finance, Vol:31, pp.574-1592.
• Andrianto, Y. ve Mirza, A. R. (2016), “A Testing of Efficient Markets Hypothesis in Indonesia Stock Market”, Proedia-Social and Behavioral Sciences, Vol.219, pp.99-103.
• Aroskar, R, Sarkar, S.K, Swanson, P.E., (2004), "European Foreign Echange Market Efficiency: Evidence Based on Crisis And Noncrisis Periods", International Review Of Financial Analysis, Vol.13, pp.333-347.
• Baillie, R. T., Robert E. L., Patrick C. M. (1983), "Testing Rational Expectations and Efficiency In The Foreign Exchange Market", Econometrica, Vol. 51, No. 3, pp. 553-563.
• Barkoulas, J., Christopher, F. B., Atreya, C., (2003), “Forward Premiums and Market Efficiency: Panel Unit-Root Evidence From The Term Structure of Forward Premiums”, Journal of Macroeconomics, Vol. 25, No. 1, pp. 109-122.
• Berument, H. Coskun, M. N. and Sahin, A. (2007), "Day of The Week Effect on Foreign Exchange Market Volatility: Evidence from Turkey", Research in International Business and Finance, Vol. 21, pp. 87-97.
• Bilson, J. F.O. (1980), “The ‘Speculative Efficiency’ Hypothesis”, NBER Working Paper Series, No. 474.
• Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometric, Vol. 31, pp. 307-327.
• Burt, J., Kaen, F. R., Booth, G. G. (1979), “Foreign Exchange Market Efficiency Under Flexible Exchange Rates: Reply”, The Journal of Finance, Vol.34, No.3, pp.791-793.
• Christodoulakis, N. M. and Sarantis C. K. (1997), “Efficiency Testing Revisited: A Foreign Exchange Market with Bayesian Learning”, Journal of International Money and Finance, 16(3):367-385.
• Dutt, D. S. (1994), "The Foreign Exchange Market Efficiency Hypothesis Revisiting the Puzzle", Economics Letters, Vol. 45, pp. 459-465.
• Enders, W. (2015), Applied Econometric Time Series, John Wiley&Sons Ltd, Fourth Edition, Hoboken.
• Engle, R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of The Variance of United Kingdom Inflation", Econometrica, Vol. 50, No. 4, pp. 987-1008.
• Fama, E. (1984), “Forward and Spot Exchange Rates”, Journal of Monetary Economics, Vol. 19, pp. 319-338.
• Fama, E. F., (1970), "Efficient Capital Markets: A Review of Theory and Empirical Work", The Journal of Finance, Vol.25, No.2, pp.383-417.
• Gewekwe, J. F. and Feige, E. L. (1979), "Some Joint Tests of The Efficiency of Markets for Foreign Exchange", Review of Economics and Statistics, Vol. 61, No.3, pp. 334-341.
• Giannellis, N. and Athanasios P. P. (2009), "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Bases Approach", Economic Modelling, Vol.26, pp.155-166.
• Hansen, L. P. ve Robert J. H. (1980), "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis", The Journal of Political Economy, 88(5):829-853.
• Harris, R. ve Sollis, R. (2003), Applied Time Series Modelling and Forecasting, John Wiley&Sons Ltd., West Sussex, England.
• Katusiime, L., Shamsuddin, A., Agbola, F. W. (2015), “Foreign Exchange Market Efficiency and Profitability of Trading Rules: Evidence from a Developing Country”, International Review of Economics and Finance, Vol.35, pp.315-332.
• Kitamura, Y. (2017), “Simple Measures of Market Efficiency: A Study in Foreign Exchange Markets”, Japan and The World Economy, Vol.41, pp.1-16.
• Kristoufek, L. and Vosvrda, M. (2013), “Measuring Capital Market Efficiency: Global and Local Correlations Structure”, Physica A, Vol.392, pp.184-193.
• Lai, K. S. and Lai M. (1991), "A Cointegration Test for Market Efficiency", The Journal of Futures Markets, Vol. 11, No. 5, pp. 567-575.
• Lee, H. and Khatanbaatar, S. (2012), "Efficiency Tests in Foreign Exchange Market", International Journal of Economics and Financial Issues, 2(2):216-224.
• Liu, P. C. and Maddala, G. S. (1992), “Rationality of Survey Data and Tests for Market Efficiency in The Foreign Exchange Markets”, Journal of International Money and Finance, 11(4):366-381.
• Longworth, D. (1981), "Testing the Efficiency of The Canadian-US. Exchange Market Under the Assumption of No Risk Premium", The Journal of Finance, Vol. 36, No.1, pp. 43-49.
• Mazıbaş, M. (2005), “İMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri ile bir Uygulama”, VII. Ekonometri ve İstatistik Sempozyumu, www.ekonometridernegi.org/bildiriler/o16s3.pdf (20.09.2015).
• McLeod, A. I. and Li, W. K. (1983), "Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations", Journal of Time Series Analysis, 4(4):269-273.
• Milliyet, (2005), "En iyi borçlanmayı Türk Hazinesi yaptı", http://www.milliyet.com.tr/en-iyi-borclanmayi-turk-hazinesi-yapti/ekonomi/haberdetayarsiv/21.01.2005/102822/default.htm (30.10.2015).
• Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, Vol. 59, No. 2, pp. 347-370.
• Oh, G., Seunghwan, K., Cheoljun, E. (2007), "Market Efficiency in Foreign Exchange Markets", Pshsica A, Vol. 382, pp. 209-2012.
• Phillips, P. C. B and McFarland, J. W. (1996), "Robust Tests of Forward Exchange Market Efficiency with Emprical Evidence from the 1920s", Journal of Applied Econometrics, Vol:11, pp:1-22.
• Rahman, Md. S., Simon, H. M. and Hossain, Md. M. (2016), “An Empirical Analysis of Weak Form Market Efficiency: Evidence from Chittagong Stock Exchange of Banladesh”, Journal of Statistics Applications & Probability, 5(3):535-542.
• Rose, A. K. and Selody, J. G. (1984), “Exchange Market Efficiency: A Seni-Strong Test Using Multiple Markets and Daily Data”, The Review of Economics and Statistics, 66(4):669-672.
• Salisu, A. A., Oloko, T. F., and Oyewole O. J. (2016), “Testing for Martingale Difference Hypothesis with Structural Breaks: Evidence from Asia-Pasific Foreign Exchange Markets”, Borsa İstanbul Review, Vol.16, No.4, pp.210-218.
• Sen, S., Singh, B. M. and Mazumder S. (2017), “Efficient Market Hypothesis: A Study on Indian Capital Market”, Research Bulletin, Vol.42, No.4.
• Static, N., Jovancai, A. and Kapor, P. (2016), “The Efficiency of The Stock Market in Serbia”, Journal of Policy Modeling, Vol.38, pp. 156-165.
• Yalçın, K. (2010), "Market Rationality: Efficient Market Hypothesis Versus Market Anomalies", European Journal of Economic and Political Studies, Vol.2, pp. 23-38.