Araştırma Makalesi
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USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi

Yıl 2017, Cilt: 19 Sayı: 3, 868 - 891, 29.12.2017

Öz

Bu çalışmada, makroekonomik haberlerin gerçek değerleri ile
beklenen değerleri arasındaki fark olarak ifade edilen haber sürprizlerinin,
USD/TL döviz kuru üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu
bağlamda, ABD’den 18 ve Türkiye’den 10 makroekonomik habere dair sürprizlerin,
02.01.2009-30.06.2016 dönemindeki günlük kurun seviye ve volatilitesi
üzerindeki etkileri EGARCH (1,1) modelinin uygulanması ile araştırılmıştır. Buna
göre, Türkiye makroekonomik haber sürprizleri,
kurun seviyesi üzerinde anlamlı etkilere sahip değilken, koşullu volatilite
üzerinde Türkiye 1 hafta vadeli repo faiz oranı sürprizleri ile üretici fiyat
endeksi (ÜFE) sürprizleri anlamlı etkilere sahiptirler. ABD makroekonomik
haberlerinden ise beklenenden daha fazla fabrika siparişleri ve tarım dışı
istihdam ABD dolarının değerini anlamlı bir şekilde artırırken, koşullu
volatiliteyi ise Tedarik Yönetimi Enstitüsü (Institute for Supply Management, ISM)
imalat satın alma yöneticileri endeksi (purchasing managers index, PMI) ile
işsizlik oranı sürprizleri anlamlı bir şekilde etkilemektedir. Bu bulgular, ABD
haber sürprizlerinin Türkiye haber sürprizlerinden daha belirgin bir şekilde
kurun seviyesi üzerinde etkide bulunduğuna işaret etmektedir. Ayrıca, ABD ISM
imalat PMI, ABD işsizlik oranı ve Türkiye 1 hafta vadeli repo faiz oranı
sürprizlerinin piyasadaki belirsizliği artırdığı, Türkiye ÜFE sürprizlerinin
ise piyasayı sakinleştirici bir etkisinin bulunduğu sonucuna varılmıştır. 

Kaynakça

  • Almeida, A., Goodhart, C., & Payne, R. (1998). The effets of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis, 33(3), 383-408.
  • Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265.
  • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real time price discovery in foreign exchange. The American Economic Review, 93(1), 38-62.
  • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73(2), 251-277.
  • Büttner, D., Hayo, B., & Neuenkirch, M. (2012). The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary and Poland. Empirica, 39(1), 19-44.
  • Cai, J., Cheung, Y. L., Lee, R. S. K., & Melvin, M. (2001). ‘Once-in-a-generation’ yen volatility in 1998: Fundamentals, intervention and order flow. Journal of International Money and Finance, 20(3), 327-347.
  • Chaboud, A. P., Chernenko, S. V., Howorka, E., Iyer, R. S. K., Liu, D., & Wright, J. H. (2004). The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. FRB International Finance Discussion Papers, No. 823.
  • Chang, Y., & Taylor, S. J. (2003). Information arrivals and intraday exchange rate volatility. Journal of International Financial Markets, Institutions and Money, 13(2), 85-112,
  • Chatrath, A., Miao, H., Ramchander, S., & Villupuram, S. (2014). Currency jumps, cojumps and the role of macro news. Journal of International Money and Finance, 40, 42-62.
  • Chen, Y.-L., & Gau, Y.- F. (2010). News announcements and price discovery in foreign exchange spot and futures markets. Journal of Banking & Finance, 34(7), 1628-1636.
  • Dominguez, K. M. E., & Panthaki, F. (2006). What defines ‘news’ in foreign exchange markets?. Journal of International Money and Finance, 25(1), 168-198.
  • Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. The Journal of Finance, 48(4), 1161-1191.
  • Ederington, L. H., & Lee, J. H. (1995). The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis, 30(1), 117-134.
  • Ederington, L., & Lee, J. H. (2001). Intraday volatility in interest-rate and foreign-exchange markets: ARCH, announcement and seasonality effects. The Journal of Futures Markets, 21(6), 517-552.
  • Ehrmann, M., & Fratzscher, M. (2005). Exchange rates and fundamentals: New evidence from real-time data. Journal of International Money and Finance, 24(2), 317-341.
  • Evans, M. D. D., & Lyons, R. K. (2005). Do currency markets absorb news quickly?. Journal of International Money and Finance, 24(2), 197-217.
  • Evans, K., & Speight, A. (2010a). International macroeconomic announcements and intraday euro exchange rate volatility. Journal of the Japanese and International Economies, 24(4), 552-568.
  • Evans, K. P., & Speight, A. E. H. (2010b). Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility. Research in International Business and Finance, 24(1), 82-101.
  • Fiser, R., & Horvath, R. (2010). Central bank communication and exchange rate volatility: A GARCH analysis. Macroeconomics and Finance in Emerging Market Economies, 3(1), 25-31.
  • Frömmel, M., Mende, A., & Menkhoff, L. (2008). Order flows, news and exchange rate volatility. Journal of International Money and Finance, 27(6), 994-1012.
  • Gau, Y. F., & Hau, M. (2004). Public information, private information, inventory control and volatility of intraday Ntd/Usd exchange rates. Applied Economic Letters, 11(4), 263-266.
  • Galati, G., & Ho, C. (2003). Macroeconomic news and Euro/Dollar exchange rate. Economic Notes 32(3), 371-398.
  • Goyal, A., & Arora, S. (2012). The Indian exchange rate and central bank action: An EGARCH analysis. Journal of Asian Economics, 23(1), 60-72.
  • Hashimoto, Y., & Ito, T. (2010). Effects of Japanese macroeconomic statistic announcements on the Dollar/Yen exchange rate: High-resolution picture. Journal of the Japanese and International Economics, 24(3), 334-354.
  • Johnson, G., & Schneeweis, T. (1994). Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news. Computational Economics, 7(4), 309-329.
  • Kim, S. J. (1998). Do Australian and the US macroeconomic news announcements affect the Usd/Aud exchange rate? Some evidence from E-GARCH estimations. Journal of Multinational Financial Management, 8(2-3), 233-248.
  • Kim, S. J., McKenzie, M. D., & Faff, R. W. (2004). Macroeconomic news announcements and the role of expectatitions: Evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, 14(3), 217-232.
  • Laakkonen, H. (2007a). The impact of macroeconomic news on exchange rate volatility. Finish Economic Papers, 20(1), 23-40. Laakkonen, H. (2007b). Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method. Bank of Finland Research Discussion Papers, No. 23.
  • Laakkonen, H., & Lanne, M. (2009). Asymmetric news effects on exchange rate volatility: Good vs. bad news in good vs. bad times. Studies in Nonlinear Dynamics & Econometrics, 14(1), 1-38.
  • Laakkonen, H., & Lanne, M. (2013). The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. International Journal of Finance and Economics, 18(4), 339-351.
  • Liu, L.G., & Pauwels, L.L. (2012). Do external political pressures affect the Renminbi exchange rate?. Journal of International Money and Finance, 31(6), 1800-1818.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
  • Pearce, D. K., & Solakoglu, N. (2007). Macroeconomic news and exchange rates. Journal of International Financial Markets, Institutions and Money, 17(4), 307-325.
  • Vortelinos, D. I. (2015). The effect of macro news on volatility and jumps. Annals of Economics and Finance, 16(2), 425-447.
Yıl 2017, Cilt: 19 Sayı: 3, 868 - 891, 29.12.2017

Öz

Kaynakça

  • Almeida, A., Goodhart, C., & Payne, R. (1998). The effets of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis, 33(3), 383-408.
  • Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265.
  • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real time price discovery in foreign exchange. The American Economic Review, 93(1), 38-62.
  • Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics, 73(2), 251-277.
  • Büttner, D., Hayo, B., & Neuenkirch, M. (2012). The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary and Poland. Empirica, 39(1), 19-44.
  • Cai, J., Cheung, Y. L., Lee, R. S. K., & Melvin, M. (2001). ‘Once-in-a-generation’ yen volatility in 1998: Fundamentals, intervention and order flow. Journal of International Money and Finance, 20(3), 327-347.
  • Chaboud, A. P., Chernenko, S. V., Howorka, E., Iyer, R. S. K., Liu, D., & Wright, J. H. (2004). The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. FRB International Finance Discussion Papers, No. 823.
  • Chang, Y., & Taylor, S. J. (2003). Information arrivals and intraday exchange rate volatility. Journal of International Financial Markets, Institutions and Money, 13(2), 85-112,
  • Chatrath, A., Miao, H., Ramchander, S., & Villupuram, S. (2014). Currency jumps, cojumps and the role of macro news. Journal of International Money and Finance, 40, 42-62.
  • Chen, Y.-L., & Gau, Y.- F. (2010). News announcements and price discovery in foreign exchange spot and futures markets. Journal of Banking & Finance, 34(7), 1628-1636.
  • Dominguez, K. M. E., & Panthaki, F. (2006). What defines ‘news’ in foreign exchange markets?. Journal of International Money and Finance, 25(1), 168-198.
  • Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. The Journal of Finance, 48(4), 1161-1191.
  • Ederington, L. H., & Lee, J. H. (1995). The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis, 30(1), 117-134.
  • Ederington, L., & Lee, J. H. (2001). Intraday volatility in interest-rate and foreign-exchange markets: ARCH, announcement and seasonality effects. The Journal of Futures Markets, 21(6), 517-552.
  • Ehrmann, M., & Fratzscher, M. (2005). Exchange rates and fundamentals: New evidence from real-time data. Journal of International Money and Finance, 24(2), 317-341.
  • Evans, M. D. D., & Lyons, R. K. (2005). Do currency markets absorb news quickly?. Journal of International Money and Finance, 24(2), 197-217.
  • Evans, K., & Speight, A. (2010a). International macroeconomic announcements and intraday euro exchange rate volatility. Journal of the Japanese and International Economies, 24(4), 552-568.
  • Evans, K. P., & Speight, A. E. H. (2010b). Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility. Research in International Business and Finance, 24(1), 82-101.
  • Fiser, R., & Horvath, R. (2010). Central bank communication and exchange rate volatility: A GARCH analysis. Macroeconomics and Finance in Emerging Market Economies, 3(1), 25-31.
  • Frömmel, M., Mende, A., & Menkhoff, L. (2008). Order flows, news and exchange rate volatility. Journal of International Money and Finance, 27(6), 994-1012.
  • Gau, Y. F., & Hau, M. (2004). Public information, private information, inventory control and volatility of intraday Ntd/Usd exchange rates. Applied Economic Letters, 11(4), 263-266.
  • Galati, G., & Ho, C. (2003). Macroeconomic news and Euro/Dollar exchange rate. Economic Notes 32(3), 371-398.
  • Goyal, A., & Arora, S. (2012). The Indian exchange rate and central bank action: An EGARCH analysis. Journal of Asian Economics, 23(1), 60-72.
  • Hashimoto, Y., & Ito, T. (2010). Effects of Japanese macroeconomic statistic announcements on the Dollar/Yen exchange rate: High-resolution picture. Journal of the Japanese and International Economics, 24(3), 334-354.
  • Johnson, G., & Schneeweis, T. (1994). Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news. Computational Economics, 7(4), 309-329.
  • Kim, S. J. (1998). Do Australian and the US macroeconomic news announcements affect the Usd/Aud exchange rate? Some evidence from E-GARCH estimations. Journal of Multinational Financial Management, 8(2-3), 233-248.
  • Kim, S. J., McKenzie, M. D., & Faff, R. W. (2004). Macroeconomic news announcements and the role of expectatitions: Evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, 14(3), 217-232.
  • Laakkonen, H. (2007a). The impact of macroeconomic news on exchange rate volatility. Finish Economic Papers, 20(1), 23-40. Laakkonen, H. (2007b). Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method. Bank of Finland Research Discussion Papers, No. 23.
  • Laakkonen, H., & Lanne, M. (2009). Asymmetric news effects on exchange rate volatility: Good vs. bad news in good vs. bad times. Studies in Nonlinear Dynamics & Econometrics, 14(1), 1-38.
  • Laakkonen, H., & Lanne, M. (2013). The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. International Journal of Finance and Economics, 18(4), 339-351.
  • Liu, L.G., & Pauwels, L.L. (2012). Do external political pressures affect the Renminbi exchange rate?. Journal of International Money and Finance, 31(6), 1800-1818.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
  • Pearce, D. K., & Solakoglu, N. (2007). Macroeconomic news and exchange rates. Journal of International Financial Markets, Institutions and Money, 17(4), 307-325.
  • Vortelinos, D. I. (2015). The effect of macro news on volatility and jumps. Annals of Economics and Finance, 16(2), 425-447.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

İbrahim Yaşar Gök Bu kişi benim

Gamze Göçmen Yağcılar Bu kişi benim

Yayımlanma Tarihi 29 Aralık 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 19 Sayı: 3

Kaynak Göster

APA Gök, İ. Y., & Göçmen Yağcılar, G. (2017). USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi. Gazi Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 19(3), 868-891.
AMA Gök İY, Göçmen Yağcılar G. USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. Aralık 2017;19(3):868-891.
Chicago Gök, İbrahim Yaşar, ve Gamze Göçmen Yağcılar. “USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi”. Gazi Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 19, sy. 3 (Aralık 2017): 868-91.
EndNote Gök İY, Göçmen Yağcılar G (01 Aralık 2017) USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 19 3 868–891.
IEEE İ. Y. Gök ve G. Göçmen Yağcılar, “USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, c. 19, sy. 3, ss. 868–891, 2017.
ISNAD Gök, İbrahim Yaşar - Göçmen Yağcılar, Gamze. “USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi”. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 19/3 (Aralık 2017), 868-891.
JAMA Gök İY, Göçmen Yağcılar G. USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;19:868–891.
MLA Gök, İbrahim Yaşar ve Gamze Göçmen Yağcılar. “USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi”. Gazi Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, c. 19, sy. 3, 2017, ss. 868-91.
Vancouver Gök İY, Göçmen Yağcılar G. USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2017;19(3):868-91.