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

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

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