Tek Fiyat Teorisi: Türkiye’de Faiz Paritesi Düzensizliği

Öz

Tek fiyat teorisi bir varlığın sadece bir fiyatının olması gerektiğini söylemektedir. Küresel finansal kriz tek fiyat teorisini tekrar tartışmaya açmıştır. Bu çalışmada tek fiyat teorisinde gözlenen sapmalar Türkiye özelinde analiz edilmiştir. Tek fiyat teorisinin faiz ve kur piyasalarındaki karşılığı olan kapsanmış faiz paritesinde görülen sapmalar kriz öncesi ve kriz dönemleri olmak üzere iki ayrı döneme ayrılarak incelenmiştir. İnceleme, takas getiri eğrisi üzerinden kısa ve uzun vadelerde analize tabi tutulmuş, gözlenen düzensizliğin sebepleri yurt dışı (fonlama, likidite, davranışsal ve makro riskleri) ve ülkeye özgü (kredi ve kur riskleri) faktörler üzerinden tartışılmıştır. Sonuçlar, kriz dönemlerinde Türkiye’de görülen parite düzensizliklerini açıklamada yurt dışı faktörlerin yanında, ülkeye özgü faktörlerin önemini ortaya koymuştur

Anahtar Kelimeler

• Takas piyasaları,tek fiyat teorisi,kapsanmış faiz paritesi,finansal kriz

Öz

The law of one price theory states that one asset should have only a single price. The global financial crisis caused to discuss law of one price theory again. In this paper, we analyze deviations from the law of one price (LOP) for Turkey. Deviations from the covered interest rate parity (CIRP), an extension of law of one price in FX and interest rate markets, are investigated for two different phases (pre-crisis and crisis periods). Analysis is conducted on short and long terms over the swap yield curve in order to evaluate potential drivers of deviations, and we focus on global (funding, liquidity, behavioral and macro risks) and local (currency and credit risk) factors. The results underline the importance of local factors (risk reversal and credit risk) in understanding the observed CIRP deviations for Turkey during the crisis periods

Anahtar Kelimeler

• Swap markets,law of one price,covered interest parity,financial crises

Kaynakça

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