JEOPOLİTİK RİSKLERİN DÖVİZ PİYASALARI ÜZERİNDEKİ ETKİLERİ: PARAMETRİK OLMAYAN KANTİL NEDENSELLİK TESTİ İLE BRICS-T ÜLKELERİ ÜZERİNE AMPİRİK BİR ÇALIŞMA

Year 2020, , 611 - 628, 31.12.2020

Oktay Özkan

https://doi.org/10.31460/mbdd.692021

Cited By: 3

Abstract

Bu çalışmanın amacı jeopolitik risklerin döviz piyasaları üzerindeki etkilerini araştırmaktır. Bu amaç içerisinde BRICS-T ülkelerinin Caldara, Iacoviello ve Markiewitz tarafından geliştirilen Jeopolitik Risk Endeksleri ve Dolar karşısındaki yerel para birimlerinin Temmuz 2005 ile Şubat 2020 yılları arasındaki aylık verileri kullanılarak hem getiri oranlarında hem de oynaklıkta doğrusal olmayan nedenselliği gösteren Balcilar ve diğerleri (2016, 2017) tarafından geliştirilmiş olan parametrik olmayan kantil nedensellik testi ile analizler gerçekleştirilmiştir. Analizler sonucunda jeopolitik risklerin döviz kurlarının hem getiri oranlarını hem de oynaklığını etkilediği ve dolayısıyla döviz piyasaları üzerinde önemli etkilerinin bulunduğu belirlenmiştir. Jeopolitik risklerin yatırımcılar, merkez bankaları, politika yapıcılar ve işletmeler tarafından döviz piyasaları için değerlendirilmesi gereken bir risk faktörü olarak görülmesi gerektiği ulaşılan bir diğer önemli sonuçtur.

Keywords

Jeopolitik Risk, Parametrik Olmayan Kantil Nedensellik Testi, Döviz Piyasası, Getiri Oranı, Oynaklık

EFFECTS OF GEOPOLITICAL RISKS ON FOREIGN EXCHANGE MARKETS: AN EMPIRICAL STUDY ON BRICS-T COUNTRIES WITH NONPARAMETRİC CAUSALITY-IN-QUANTILES TEST

Abstract

The purpose of this study is to investigate the effects of geopolitical risks on foreign exchange markets. For this purpose, the analyses were carried out with the nonparametric causality-in-quantiles test, which demonstrates nonlinear causality in both return rates and volatility, developed by Balcilar et al. (2016, 2017) using monthly data between July 2005 to February 2020 of the Geopolitical Risk Indexes developed by Caldara, Iacoviello and Markiewitz of BRICS-T countries and their US Dollar based local currencies. As a result of the analyses, it was determined that the geopolitical risks affected both the return rate and volatility of the exchange rates, and thus have significant effects on the foreign exchange markets. Another important result achieved is that geopolitical risks should be viewed by investors, central banks, policymakers and businesses as a risk factor that should be evaluated for the foreign exchange markets.

Keywords

Geopolitical Risk, Nonparametric Causality-in-Quantiles Test, Foreign Exchange Market, Return Rate, Volatility

References

• Antonakakis, N., Gupta, R., Kollias, C. ve Papadamou, S. 2017. “Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016”, Finance Research Letters, 23.
• Apergis, N., Bonato, M., Gupta, R. ve Kyei, C. 2017. “Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach”, Defence and Peace Economics, 29(6).
• Arslan, C. K. 2019. “Jeopolitik Riskin Doğrudan Yabancı Yatırımlar Üzerindeki Etkisi”, Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 6(6).
• Avrupa Merkez Bankası Nisan 2017 Ekonomik Bülteni. www.ecb.europa.eu/pub/pdf/ecbu/eb201704.en.pdf (Erişim Tarihi: 07.02.2020).
• Ayhan, D. 2014. “BRICS-T Ülkelerine Yönelik Portföy Yatırımlarının Cari Açık Üzerindeki Etkisi: Dinamik Panel Veri Analizi”, Niğde Üniversitesi İİBF Dergisi, 7(1).
• Balcilar, M., Bonato, M., Demirer, R. ve Gupta, R. 2018a. “Geopolitical Risks and Stock Market Dynamics of the BRICS”, Economic Systems, 42.
• Balcilar, M., Gupta, R., Kyei, C. ve Wohar, M. E. 2016. “Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test”, Open Economies Review, 27(2).
• Balcilar, M., Gupta, R., Pierdzioch, C. ve Wohar, M. 2018b. “Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries”, The European Journal of Finance, 24(4).
• Balcilar, M., Bekiros, S. ve Gupta. R. 2017. “The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method”, Empirical Economics, 53(3).
• Balli, F., Uddin, G. S. ve Shahzad, S. J. J. 2019. “Geopolitical Risk and Tourism Demand in Emerging Economies”, Tourism Economics, 25(6).
• Baur, D. G. ve Smales, L. A. 2018. “Gold and Geopolitical Risk”, SSRN Working Paper, https://dx.doi.org/10.2139/ssrn.3109136. (Erişim Tarihi: 10.01.2020)
• Bhatia, V., Das, D., Tiwari, A. K. ve Shahbaz, M. 2018. “Do Precious Metal Spot Prices İnfluence Each Other? Evidence from a Nonparametric Causality-in-Quantiles Approach”, Resources Policy, 55.
• Bloom, N. 2009. “The Impact of Uncertainty Shocks”, Econometrica, 77(3).
• Bouri, E., Demirer, R., Gupta, R. ve Marfatia, H. A. 2018. “Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note”, Defence and Peace Economics, 30(3).
• Brock, W. A., Dechert, D., Lebaron, B. ve Scheinkman, J. 1996. “A Test for Independence Based on a Correlation Dimension”, Econometric Review, 15.
• Caldara, D. ve Iacoviello, M. 2018. “Measuring Geopolitical Risk”, FRB International Finance Discussion Paper, No: 1222.
• Carney, M. 2016. “Uncertainty, the Economy and Policy”, www.bis.org/review/r160704c.pdf (Erişim Tarihi: 07.02.2020).
• Cunado, J., Gupta, R., Lau, C. K. M. ve Sheng, X. 2019. “Time-Varying Impact of Geopolitical Risks on Oil Prices”, Defence and Peace Economics.
• Demir, E., Esteban, J. M. D. ve Gómez, C. D. G. 2019. “The Impact of Geopolitical Risks on Cash Holdings of Hospitality Companies: Evidence from Emerging Countries”, Journal of Hospitality and Tourism Management, 39.
• Dünya Bankası Küresel Ekonomik Beklentiler. https://datacatalog.worldbank.org/dataset/global-economic-prospects (Erişim Tarihi: 07.02.2020).
• Gallup Survey. www.businesswire.com/news/home/20170613005348/en/ (Erişim Tarihi: 20.02.2020).
• Gkillas, K., Gupta, R. ve Wohar, M. E.. 2018. “Volatility Jumps: The Role of Geopolitical Risks”, Finance Research Letters, 27.
• Gupta, R., Gozgor, G., Kaya, H. ve Demir, E. 2019. “Effects of Geopolitical Risks on Trade Flows: Evidence From The Gravity Model”, Eurasian Economic Review, 9. Investing. www.investing.com (Erişim Tarihi: 19.02.2020).
• Jarque, C. M. ve Bera, A. K.. 1980. “Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals”, Economics Letters, 6(3).
• Jeong, K., Härdle, W. K. ve Song, S. 2012. “A Consistent Nonparametric Test for Causality in Quantile”, Econometric Theory, 28(4).
• Lakdawala, A. ve Singh, S. 2019. “The Effect of Foreign Shocks on the Indian Economy”, http://ssingh.ucdavis.edu/uploads/1/2/3/2/123250431/al_ss_shocks_final_preconference.pdf (Erişim Tarihi: 20.02.2020).
• Li, B., Chang, C. P., Chu, Y. ve Sui, B. 2019. “Oil Prices and Geopolitical Risks: What Implications are Offered Via Multi-Domain Investigations?”, Energy and Environment, 31(3), 492-516.
• Li, X., Balcilar, M., Gupta, R. ve Chang, T. 2016. “The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach”, Emerging Markets Finance and Trade, 52(3).
• Murray, D. 2018. “Geopolitical Risk and Commodities: An Investigation”, http://www.jpmcc-gcard.com/wp-content/uploads/2018/05/GCARD_Summer_2018_EAB_Murray.pdf (Erişim Tarihi: 20.02.2020).
• Nishiyama, Y., Hitomi, K., Kawasaki, Y. ve Jeong, K. 2011. “A Consistent Nonparametric Test for Nonlinear Causality-Specification in Time Series Regression”, Journal of Econometrics, 165(1).
• Pan, W. F. 2019. “Geopolitical Risk and R&D Investment”, SSRN Working Paper, https://dx.doi.org/10.2139/ssrn.3258111. (Erişim Tarihi: 10.01.2020)
• Phillips, P. C. B. ve Perron, P. 1988. “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2).
• Policyuncertainty. www.policyuncertainty.com (Erişim Tarihi 19.02.2020).
• Said, S. E. ve Dickey, D. A. 1984. “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71(3).
• Soybilgen, B., Kaya, H. ve Dedeoglu, D. 2019. “Evaluating the Effect of Geopolitical Risks on the Growth Rates of Emerging Countries”, Economics Bulletin, 39(1).
• Su, C. W., Khan, K., Tao, R. ve Claudia, M. N. 2019. “Does Geopolitical Risk Strengthen or Depress Oil Prices and Financial Liquidity? Evidence from Saudi Arabia”, Energy, 187.
• Uluslararası Para Fonu Ekim 2017 Dünya Ekonomik Görünümü. www.imf.org/en/Publications/WEO/Issues/2017/09/19/world-economic-outlook-october-2017 (Erişim Tarihi: 07.02.2020).