Geleneksel olmayan para politikası uygulamaları döneminde Dolar-TL’nin volatilite dinamiklerinin incelenmesi: Asimetrik stokastik volatilite modeline dayalı analizler

Year 2020, Volume: 13 Issue: 1, 1 - 17, 30.06.2020

Önder Büberkökü

Abstract

Bu çalışmada geleneksel
olmayan para politikası uygulamalarının 
söz konusu  olduğu dönemde Dolar-TL
volatilitesinin temel dinamikleri incelenmiştir. Çalışmada student t dağılımı
varsayımı altında asimetrik stokastik volatilite (ASV) modelinden  yararlanılmış ve bu modelin  parametrelerinin tahmininde Bayesyen  yaklaşımına dayalı  MCMC (Markov Chain Monte Carlo, MCMC)
algoritması kullanılmıştır. Çalışma 2 Ocak 2002 ile 29 Eylül 2017 dönemini
kapsamakta ve günlük verilerden oluşmaktadır. Çalışma bulguları geleneksel
olmayan para politikası  uygulamalarının
söz konusu  olduğu döneminde hem Dolar-TL
volatilitesindeki değişkenliğin hem de Dolar-TL kaynaklı finansal riskin
geleneksel para politikası uygulamalarının söz konusu olduğu  göre  döneme  göre  azaldığını 
göstermektedir.

Keywords

Asimetrik stokastik volatilite modeli, Döviz kuru volatilitesi, Geleneksel olmayan para politikası

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