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2008 Küresel Krizinin Bireysel Emeklilik Fonları Oynaklığı Üzerindeki Etkisi: Türkiye Örneği

Year 2018, Volume: 26 Issue: 35, 139 - 152, 31.01.2018

Orkun Çelik Elif Erer Deniz Erer

https://doi.org/10.17233/sosyoekonomi.310266

Abstract

Bu çalışmanın amacı, 2008 yılında ortaya çıkan küresel krizin, Türkiye’deki bireysel emeklilik sistemi üzerindeki etkisini incelemektir. Çalışmanın dönem aralığı 05.01.2014-18.11.2016 (Haftalık) dönemini kapsamaktadır. ARMA(9,8)-EGARCH(1,1) modeli kullanılarak analiz edilmiştir. Elde edilen sonuçlara göre, küresel krizin bireysel emeklilik fonları oynaklığını arttırdığı görülmüştür. Bu durum, küresel krizin bireysel emeklilik fonlarını olumsuz etkilediğini ifade etmektedir.

Keywords

Küresel Kriz Tasarruf Bireysel Emeklilik

References

  • Antolín, P. & F. Stewart (2009), Private Pensions and Policy Responses to the Financial and Economic Crisis, OECD Working Papers on Insurance and Private Pensions , No. 36, OECD publishing, doi:10.1787/22438687.
  • Bayar, Y. & M. Kılıç (2014), “Küresel Finansal Krizin Türkiye’de Bireysel Emeklilik Sistemine Etkileri”, İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 3(2), 246-264.
  • Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variance: Value. Leverage and Interest Rate Effects”, Journal of Financial Economics, 10, 407-432.
  • Çoban, O. & A. Çoban (2016), “Historical Development of Individual Pension System: A Theoretical Analysis”, Journal of Emerging Issues in Economics, Finance and Banking (JEIEFB) An Online International Research Journal (ISSN: 2306-367X), 5(2), 1992-2008.
  • Gökçen, U. & A. Yalçın, (2015), “The Case Against Active Pension Funds: Evidence from thr Turkish Private Pension System”, Emerging Markets, 23.46-67.
  • Kay, S. (2009), “Political Risk and Pension Privatization : The Case of Argentina (1994-2008)”, International Social Security Review, 62(3), 1-21.
  • Kesgingöz, H. (2016), “Türkiye’de Yaşanan 2008 Ekonomik Krizinin Yoksulluk ve Emeklilik Kararları Üzerine Etkisi”, Sosyal Güvenlik Dergisi, 6(1), 126-158.
  • Kirchgassner, G. & J. Wolters (2007), Introduction To Modern Time Series Analysis, Berlin, Heidelberg: Springer Verlag Berlin Heidelberg.
  • Musalem, A. R. & R. Pasquini (2012), “Private Pension Systems Cross-Country Investment Performance”, Social Protection and Labor Discussion Paper, No: 1214.
  • Natali, D. (2011), “Pensions After the Financial and Economic Crisis: A Comparative Analysis of Recent Reforms in Europe”, ETUI Working Paper 2011.07, <https://www.etui.org/content/download/5206/51958/.../11+WP+2011+07+WEB.pdf>, 01.02.2017.
  • Nelson, D. (1991), “Conditional Heteroskedasticity in Asset Returns: A NewApproach”. Econometrica, 59 (2), 347-370.
  • Sancak, E. & N. Demirci (2012), “Ulusal Tasarruflar ve Türkiye’de Sürdürülebilir Büyüme İçin Tasarrufların Önemi”, Ekonomik ve Sosyal Araştırmalar Dergisi, 8(2), 159-198.
  • Schwert, G. (1989), “Why Does Stock Market Volatility Change Over Time?”, Journal of Finance, 44, 1115-1153.
  • Selim, S. & O. Çelik (2014), “Bireysel Emeklilik Fonlarını Belirleyen Faktörler: OECD Örneği”, Selçuk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Sosyal ve Ekonomik Araştırmalar Dergisi, ISSN: 2148 – 3043, 14(28), 188-208.
  • Su, C. (2010), “Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The Empirical Case Of China”, University of Gothenburgs,School of Business, Economics and Law, https://gupea.ub.gu.se/bitstream/2077/22593/1/gupea_2077_22593_1.pdf, 02.02.2017.
  • Whitehouse, E. (2009), “Pensions During the Crisis: Impact on Retirement Income Systems and Policy Responses”, <http://www.actuaries.org/EVENTS/Congresses/Cape_Town/Papers/Pensions,%20Benefits%20and%20Social%20Security%20(PBSS)/240_final%20paper_Whitehouse.pdf>, 01.02.2017.

The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey

Year 2018, Volume: 26 Issue: 35, 139 - 152, 31.01.2018

Orkun Çelik Elif Erer Deniz Erer

https://doi.org/10.17233/sosyoekonomi.310266

Abstract

The aim of study is to analysis the effect of global crisis on private pension system in Turkey. This is covered 05.01.2014-18.11.2016 (Weekly) period and is employed by ARMA(9,8)- EGARCH(1,1) model. It is infered from the results that global financial crisis increased the volatility of private pension funds. This situation states that global financial crisis affected negatively private pension funds.

Keywords

Global Crisis Saving Private Pension

References

  • Antolín, P. & F. Stewart (2009), Private Pensions and Policy Responses to the Financial and Economic Crisis, OECD Working Papers on Insurance and Private Pensions , No. 36, OECD publishing, doi:10.1787/22438687.
  • Bayar, Y. & M. Kılıç (2014), “Küresel Finansal Krizin Türkiye’de Bireysel Emeklilik Sistemine Etkileri”, İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 3(2), 246-264.
  • Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variance: Value. Leverage and Interest Rate Effects”, Journal of Financial Economics, 10, 407-432.
  • Çoban, O. & A. Çoban (2016), “Historical Development of Individual Pension System: A Theoretical Analysis”, Journal of Emerging Issues in Economics, Finance and Banking (JEIEFB) An Online International Research Journal (ISSN: 2306-367X), 5(2), 1992-2008.
  • Gökçen, U. & A. Yalçın, (2015), “The Case Against Active Pension Funds: Evidence from thr Turkish Private Pension System”, Emerging Markets, 23.46-67.
  • Kay, S. (2009), “Political Risk and Pension Privatization : The Case of Argentina (1994-2008)”, International Social Security Review, 62(3), 1-21.
  • Kesgingöz, H. (2016), “Türkiye’de Yaşanan 2008 Ekonomik Krizinin Yoksulluk ve Emeklilik Kararları Üzerine Etkisi”, Sosyal Güvenlik Dergisi, 6(1), 126-158.
  • Kirchgassner, G. & J. Wolters (2007), Introduction To Modern Time Series Analysis, Berlin, Heidelberg: Springer Verlag Berlin Heidelberg.
  • Musalem, A. R. & R. Pasquini (2012), “Private Pension Systems Cross-Country Investment Performance”, Social Protection and Labor Discussion Paper, No: 1214.
  • Natali, D. (2011), “Pensions After the Financial and Economic Crisis: A Comparative Analysis of Recent Reforms in Europe”, ETUI Working Paper 2011.07, <https://www.etui.org/content/download/5206/51958/.../11+WP+2011+07+WEB.pdf>, 01.02.2017.
  • Nelson, D. (1991), “Conditional Heteroskedasticity in Asset Returns: A NewApproach”. Econometrica, 59 (2), 347-370.
  • Sancak, E. & N. Demirci (2012), “Ulusal Tasarruflar ve Türkiye’de Sürdürülebilir Büyüme İçin Tasarrufların Önemi”, Ekonomik ve Sosyal Araştırmalar Dergisi, 8(2), 159-198.
  • Schwert, G. (1989), “Why Does Stock Market Volatility Change Over Time?”, Journal of Finance, 44, 1115-1153.
  • Selim, S. & O. Çelik (2014), “Bireysel Emeklilik Fonlarını Belirleyen Faktörler: OECD Örneği”, Selçuk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Sosyal ve Ekonomik Araştırmalar Dergisi, ISSN: 2148 – 3043, 14(28), 188-208.
  • Su, C. (2010), “Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The Empirical Case Of China”, University of Gothenburgs,School of Business, Economics and Law, https://gupea.ub.gu.se/bitstream/2077/22593/1/gupea_2077_22593_1.pdf, 02.02.2017.
  • Whitehouse, E. (2009), “Pensions During the Crisis: Impact on Retirement Income Systems and Policy Responses”, <http://www.actuaries.org/EVENTS/Congresses/Cape_Town/Papers/Pensions,%20Benefits%20and%20Social%20Security%20(PBSS)/240_final%20paper_Whitehouse.pdf>, 01.02.2017.
There are 16 citations in total.

Details

Journal Section Articles
Authors

Orkun Çelik

Elif Erer

Deniz Erer

Publication Date January 31, 2018
Submission Date May 3, 2017
Published in Issue Year 2018 Volume: 26 Issue: 35

Cite

APA Çelik, O., Erer, E., & Erer, D. (2018). The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey. Sosyoekonomi, 26(35), 139-152. https://doi.org/10.17233/sosyoekonomi.310266
AMA Çelik O, Erer E, Erer D. The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey. Sosyoekonomi. January 2018;26(35):139-152. doi:10.17233/sosyoekonomi.310266
Chicago Çelik, Orkun, Elif Erer, and Deniz Erer. “The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey”. Sosyoekonomi 26, no. 35 (January 2018): 139-52. https://doi.org/10.17233/sosyoekonomi.310266.
EndNote Çelik O, Erer E, Erer D (January 1, 2018) The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey. Sosyoekonomi 26 35 139–152.
IEEE O. Çelik, E. Erer, and D. Erer, “The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey”, Sosyoekonomi, vol. 26, no. 35, pp. 139–152, 2018, doi: 10.17233/sosyoekonomi.310266.
ISNAD Çelik, Orkun et al. “The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey”. Sosyoekonomi 26/35 (January 2018), 139-152. https://doi.org/10.17233/sosyoekonomi.310266.
JAMA Çelik O, Erer E, Erer D. The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey. Sosyoekonomi. 2018;26:139–152.
MLA Çelik, Orkun et al. “The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey”. Sosyoekonomi, vol. 26, no. 35, 2018, pp. 139-52, doi:10.17233/sosyoekonomi.310266.
Vancouver Çelik O, Erer E, Erer D. The Effect of 2008 Global Crisis on Volatility of Private Pension Funds: A Case of Turkey. Sosyoekonomi. 2018;26(35):139-52.
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