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
Kaynakça
- Afonso, G., A. Kovner, ve A. Schoar, 2011, Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis, Journal of Finance 66, pp.1109-1139.
- Baba, N. ve F. Backer, 2009a, From Turmoil to Crisis: Dislocations in the FX Swap Market Before and Aafter the Failure of Lehman Brothers, Journal of International Money and Finance, pp.1350-1374.
- Baba, N. ve F. Backer, 2009b, Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08, Journal of Banking & Finance, Volume 33, Issue 11, pp.1953-1962.
- Baker, M., Wurgler, J., Yuan, Y., 2011, Global, Local, and Contagious Investor Sentiment. Journal of Financial Economics.
- Bai, J., ve P. Collin-Dufresne, 2011, The CDS-Bond Basis During the Financial Crisis of 2007-2009, SSRN Working Paper, http://2013.ckgsb.edu.cn/Userfiles/doc/JennieBai_28Feb2012.pdf, 07.08.2016.
- Bansal, R., ve A. Yaron, 2005, Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzle, Journal of Finance 59, pp.1481-1509.
- Brunnermeier, M., S. Nagel, ve L. Pedersen, 2008, Carry Trades and Currency Crashes, NBER Working Paper Series, https://www.journals.uchicago.edu/doi/full/ 10.1086/593088, 24.09.2016.
- Campbell, J. Y., ve J. H. Cochrane, 1999, By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Journal of Political Economy 107, pp.205-251.
- Coffey, N., W. Hrung, ve A. Sarkar, 2009, Capital Constraints, Counterparty Risk and Deviations From Covered Interest Rate Parity, The Federal Reserve Bank of New York Staff Reports, https://www.newyorkfed.org/medialibrary/ media/research/staff_reports/sr393.pdf, 14.08.2016..
- Constantinides, G. M., 1986, Capital Market Equilibrium with Transaction Costs, Journal of Political Economy 96, pp.842-862.
- De Long, J. B., A. Shleifer, L. H. Summers, ve R. J. Waldmann, 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy 98, pp.703-738.
- Diebold, F. X., Rudebusch G.D., Aruoba S.B., 2006, The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach, Journal of Econometrics 131, pp.309-338.
- Duffie, D., 2010, Asset Price Dynamics with Slow-Moving Capital, Journal of Finance 65, pp.1238- 1268.
- Fletcher, D., ve L. W. Taylor, 1996, Swap Covered Interest Parity in Long-Date Capital Market, Review of Economics and Statistics 78, pp.530-538.
- Fontaine, J. S., ve R. Garcia, 2009, Bond Liquidity Premia, Bank of Canada Working Paper, https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdf, 02.10.2016
- Garleanu, N., ve L. H. Pedersen, 2010, Margin-Based Asset Pricing and Deviations From the Law of One Price, University of California Working Paper, http://faculty.haas.berkeley.edu/garleanu/ MLoOP.pdf, 07.08.2016..
- Griffoli, T. M., ve A. Ranaldo, 2011, Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity, The Swiss National Bank Working Paper, https://www.ecb.europa.eu/ events/pdf/ conferences/exliqmmf/session3_Ranaldo_paper.pdf?772ff2fb6026211557246d5f2ddecc6c, 14.08.2016.
- Gromb, D., ve D. Vayanos, 2010, Limits of Arbitrage: The State of the Theory, The Paul Woolley Centre Working Paper, https://papers.ssrn.com/sol3/papers.cfm?abstract_ id=1567243, 14.08.2016
- Lee, C., A. Shleifer, ve R. H. Thaler, 1991, Investor Sentiment and the Closed-End Fund Puzzle, Journal of Finance 46, pp.75-109.
- Longstaff, F. A., J. Pan, L. H. Pedersen, ve K. J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3 (2), pp.75-103.
- Ludvigson, S. C., ve S. Ng, 2009, Macro Factors in Bond Risk Premia, Review of Financial Studies 22, pp.5027-5067.
- Lustig, H., N. Roussanov, ve A. Verdelhan, 2011, Common Risk Factors in Currency Markets, Review of Financial Studies 24, pp.3731-3777.
- Skinner, F., ve Mason, A., 2011, Covered Interest Rate Parity in Emerging Markets, International Review of Financial Analysis 20, pp.355-363.
- Shleifer, A. ve Vishny, R., 1997. The limits of arbitrage. Journal of Finance 52, 35-55.
- Wurgler, J., ve E. Zhuravskaya, 2002, Does Arbitrage Flatten Demand Curves for Stocks?, The Journal of Business 75, pp.583-608
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
- Afonso, G., A. Kovner, ve A. Schoar, 2011, Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis, Journal of Finance 66, pp.1109-1139.
- Baba, N. ve F. Backer, 2009a, From Turmoil to Crisis: Dislocations in the FX Swap Market Before and Aafter the Failure of Lehman Brothers, Journal of International Money and Finance, pp.1350-1374.
- Baba, N. ve F. Backer, 2009b, Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007-08, Journal of Banking & Finance, Volume 33, Issue 11, pp.1953-1962.
- Baker, M., Wurgler, J., Yuan, Y., 2011, Global, Local, and Contagious Investor Sentiment. Journal of Financial Economics.
- Bai, J., ve P. Collin-Dufresne, 2011, The CDS-Bond Basis During the Financial Crisis of 2007-2009, SSRN Working Paper, http://2013.ckgsb.edu.cn/Userfiles/doc/JennieBai_28Feb2012.pdf, 07.08.2016.
- Bansal, R., ve A. Yaron, 2005, Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzle, Journal of Finance 59, pp.1481-1509.
- Brunnermeier, M., S. Nagel, ve L. Pedersen, 2008, Carry Trades and Currency Crashes, NBER Working Paper Series, https://www.journals.uchicago.edu/doi/full/ 10.1086/593088, 24.09.2016.
- Campbell, J. Y., ve J. H. Cochrane, 1999, By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior, Journal of Political Economy 107, pp.205-251.
- Coffey, N., W. Hrung, ve A. Sarkar, 2009, Capital Constraints, Counterparty Risk and Deviations From Covered Interest Rate Parity, The Federal Reserve Bank of New York Staff Reports, https://www.newyorkfed.org/medialibrary/ media/research/staff_reports/sr393.pdf, 14.08.2016..
- Constantinides, G. M., 1986, Capital Market Equilibrium with Transaction Costs, Journal of Political Economy 96, pp.842-862.
- De Long, J. B., A. Shleifer, L. H. Summers, ve R. J. Waldmann, 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy 98, pp.703-738.
- Diebold, F. X., Rudebusch G.D., Aruoba S.B., 2006, The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach, Journal of Econometrics 131, pp.309-338.
- Duffie, D., 2010, Asset Price Dynamics with Slow-Moving Capital, Journal of Finance 65, pp.1238- 1268.
- Fletcher, D., ve L. W. Taylor, 1996, Swap Covered Interest Parity in Long-Date Capital Market, Review of Economics and Statistics 78, pp.530-538.
- Fontaine, J. S., ve R. Garcia, 2009, Bond Liquidity Premia, Bank of Canada Working Paper, https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdf, 02.10.2016
- Garleanu, N., ve L. H. Pedersen, 2010, Margin-Based Asset Pricing and Deviations From the Law of One Price, University of California Working Paper, http://faculty.haas.berkeley.edu/garleanu/ MLoOP.pdf, 07.08.2016..
- Griffoli, T. M., ve A. Ranaldo, 2011, Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity, The Swiss National Bank Working Paper, https://www.ecb.europa.eu/ events/pdf/ conferences/exliqmmf/session3_Ranaldo_paper.pdf?772ff2fb6026211557246d5f2ddecc6c, 14.08.2016.
- Gromb, D., ve D. Vayanos, 2010, Limits of Arbitrage: The State of the Theory, The Paul Woolley Centre Working Paper, https://papers.ssrn.com/sol3/papers.cfm?abstract_ id=1567243, 14.08.2016
- Lee, C., A. Shleifer, ve R. H. Thaler, 1991, Investor Sentiment and the Closed-End Fund Puzzle, Journal of Finance 46, pp.75-109.
- Longstaff, F. A., J. Pan, L. H. Pedersen, ve K. J. Singleton, 2011, How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3 (2), pp.75-103.
- Ludvigson, S. C., ve S. Ng, 2009, Macro Factors in Bond Risk Premia, Review of Financial Studies 22, pp.5027-5067.
- Lustig, H., N. Roussanov, ve A. Verdelhan, 2011, Common Risk Factors in Currency Markets, Review of Financial Studies 24, pp.3731-3777.
- Skinner, F., ve Mason, A., 2011, Covered Interest Rate Parity in Emerging Markets, International Review of Financial Analysis 20, pp.355-363.
- Shleifer, A. ve Vishny, R., 1997. The limits of arbitrage. Journal of Finance 52, 35-55.
- Wurgler, J., ve E. Zhuravskaya, 2002, Does Arbitrage Flatten Demand Curves for Stocks?, The Journal of Business 75, pp.583-608
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Research Article |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Ağustos 2018 |
| Yayımlandığı Sayı | Yıl 2018 Sayı: 642 |