Faiz Oranı Paritesi ve Etkin Piyasa Hipotezinin Gelişen Piyasa Ekonomileri İçin Test Edilmesi

Abstract

Bu çalışmada faiz oranı paritesi ve etkin piyasa hipotezinin uzun dönemli geçerlilikleri 14 gelişen piyasa ekonomisi için 2003Q1-2015Q4 çeyreklik dönemler itibariyle test edilmektedir. Güvencesiz versiyonunun ele alındığı faiz oranı paritesi modeli için zaman serisi ve panel veri analizlerine yer verilmektedir. Yarı-güçlü versiyonun ele alındığı etkin piyasa hipotezi için ise zaman serisi analizine yer verilmektedir. Çalışmadan elde edilen bulgular, faiz oranı ve döviz kuru ilişkisini gösteren ve varlık piyasası koşullarını yansıtan faiz paritesi ile piyasa etkinliğinin genel olarak sağlanamadığına yöneliktir. Buna göre küresel finansal piyasalarda yaşanan olumsuzluklar, gelişen piyasa ekonomilerinin makroekonomik politikalarında meydana getirdiği değişiklikler nedeniyle, döviz kurlarının öngörülebilirliğinin azalmasına yol açmaktadır.

Keywords

• Güvenceli Faiz Oranı Paritesi,Güvencesiz Faiz Oranı Paritesi,Etkin Piyasa Hipotezi,Gelişen Piyasa Ekonomileri

Testing the Interest Rate Parity and Efficient Market Hypothesis for Emerging Market Economies

Abstract

In this study, the long-run validity of the interest rate parity and efficient market hypothesis is tested for quarterly periods 2003Q1-2015Q4 for 14 emerging market economics. Time series and panel data analysis were applied for the interest rate parity model which uncovered version was used. And time series analysis were applied for the efficient market hypothesis which semi-strong form was used. Findings from the current study showed us that interest rate parity, that explaining the relationship between interest rate and exchange rate and reflect the asset market conditions, and efficient market hypothesis does not hold for these countries. This leads to reduction in the foreseeability of exchange rates due to the negative effects of global financial markets that changes in macroeconomic policies of emerging market economies.

Keywords

• Covered Interest Rate Parity,Uncovered Interest Rate Parity,Efficient Market Hypothesis,Emerging Markets

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