DÖVİZ KURLARI ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMININ İNCELENMESİ: TÜRKİYE ÖRNEĞİ

Year 2022, , 182 - 205, 21.12.2022

Önder Büberkökü , Celal Kızıldere , Gamze Sevimli Örgün

https://doi.org/10.54831/vanyyuiibfd.1159073

Abstract

Bu çalışmada Euro, İngiliz sterlini, Japon yeni, Brezilya reali, G.Afrika randı, Meksika pesosu ve G.Kore wonu ile Türk lirası arasındaki getiri ve volatilite yayılımı Cheung-Ng (1996) testi ile incelenmiştir. Analizlerde volatilite serilerindeki yapısal kırılmalar da dikkate alınmıştır. Volatilitenin modellenmesinde FIGARCH modelinden, volatilite serilerindeki yapısal kırılmaların belirlenmesinde ise Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Getiri yayılımına ilişkin bulgular; Japon yeni, İngiliz sterlini, Meksika pesosu ile G.Afrika randından Türk Lirasına doğru tek yönlü bir getiri yayılımının söz konusu olduğunu; Türk lirası ile Brezilya reali, Euro ve G.Kore wonu arasında ise çift yönlü bir getiri yayılımının bulunduğunu göstermektedir. Volatilite yayılımına ilişkin bulgular ise inceleme kapsamındaki tüm para birimlerinin volatilitesinin Türk lirası volatilitesi üzerinde etkili olduğunu, fakat Türk lirası volatilitesinin daha çok kendi iç dinamiklerinden kaynaklandığını göstermektedir. Çalışma bulguları hem uluslararası yatırımcılar hem de politika yapıcılar için önemli sonuçlar içermektedir.

Keywords

Döviz piyasaları, Volatilite yayılımı, Getiri yayılımı

EXAMINING MEAN AND VOLATILITY SPILLOVER IN FOREIGN EXCHANGE MARKETS: THE TURKISH CASE

Abstract

In this study, the mean and volatility spillover effects from the Euro, British pound, Japanese yen, Brazilian real, South African rand, Mexican peso, S. Korean won against US dollar to the Turkish lira against the US dollar are examined using the Cheung-Ng (1996) causality-in variance test. Structural breaks in the volatility series are also taken into account in the analyses. The FIGARCH model is used to model the volatility of the relevant foreign exchange returns, and the Bai and Perron (1998, 2003) test is applied to determine the structural breaks in the volatility series. Results indicate that there is a unidirectional mean spillover effect from Japanese yen, British pound, Mexican peso and South African rand to Turkish lira whereas it is found that there exists a bidirectional mean spillover effect between Turkish lira and Brazilian real, Euro and S.Korean won. As for volatility spillover effect, the results show that though the volatility of all currencies within the scope of the study has an significant effect on the volatility of Turkish lira, the volatility of Turkish lira mostly stems from its own internal dynamics. The study findings have important implications for both international investors and policy makers.

Keywords

Foreign Exchange markets, Volatility spillover, mean spillover

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