HAZİNENİN DÖVİZ ÖDEMELERİ VE TÜRKİYE'NİN DÖVİZ KURU DİNAMİĞİ

Öz

Bu çalışmada, Türkiye Cumhuriyeti Hazinesinin 2000 ve 2004 yıllarında ABD doları cinsinden ihraç ettiği 30 yıl vadeli borçlanma kağıtlarının kupon ödeme günlerindeki döviz kuru ve döviz kuru oynaklığındaki değişim araştırılmaktadır. 03 Ocak 2000-08 Nisan 2015 dönemine ait günlük USD/TL döviz kurunun kullanıldığı çalışmada, modeller EGARCH (1.1) yöntemi ile tahmin edilmiştir. Çalışmanın bulgularına göre, 2030 ve 2034 vadeli tahvillerin kupon ödemesi döviz kurunun seviyesini ve oynaklığını düşürmektedir. Ancak 2034 vadeli tahvilin döviz kuru üzerindeki azaltıcı etkisi daha fazla çıkmıştır. Bununla birlikte her iki tahvilin kupon ödemesi birlikte değerlendirildiğinde, Türkiye'de Hazinenin kupon ödemelerinin hem döviz kuru seviyesi hemde döviz kuru oynaklığı üzerinde azaltıcı etkide bulunduğu görülmüştür. Çalışmanın sonuçları, Etkin Piyasalar Hipotezinin "döviz kurlarının öngörülemeyeceği, kurların ulaşılabilir tüm bilgileri yansıttığı ve bu nedenle yatırımcıların anormal kazanç elde edemeyeceği" iddiasını çürütmektedir.

Anahtar Kelimeler

• Kaldıraç Etkisi,Döviz Kuru,Oynaklık,EGARCH,Asimetri

FOREIGN EXCHANGE PAYMENTS OF THE TREASURY AND EXCHANGE RATE DYNAMICS OF TURKEY

Abstract

In this study, the effect of coupon payments of 30-year Treasury bonds sold in the years of 2000 and 2004 on the exchange rates changes and exchange rate volatility in the payment date are investigated. Models are estimated with EGARCH (1.1) method in the study which uses daily USD/TL exchange rates between 03 Jan 2000 and 08 Apr 2015 period. Our findings show that coupon payments of the bonds with the maturity dates of 2030 and 2034 decrease the exchange rate level and exchange rate volatility. However, the decreasing effect of the bond with the maturity dates of 2034 on exchange rates is higher. Evaluating coupon payments of both bonds together, it is observed that Treasury coupon payments in Turkey have a decreasing effect on exchange rate level and exchange rate volatility. The study disproves the claims of Effective Market Hypothesis which says “exchange rate cannot be predicted; exchange rates reflect all available information so investors cannot gain abnormal profits.”

Keywords

• Leverage Effect,exchange rate,volatility,egarch,asymmetry

Kaynakça

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