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

Year 2018, Volume: 13 Issue: 1, 65 - 86, 15.04.2018

Faruk Mike

https://doi.org/10.17153/oguiibf.332141

Cited By: 4

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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