ANALYSIS OF THE RETURN OPPORTUNITY IN CARRY-TRADE TRANSACTIONS

Öz

Purpose: This study examines whether the financial markets of the Czech Republic, Russia, Poland, and South Korea offer profitable investment opportunities in terms of carry-trade transactions using a recently developed methodological approach from the literature. Method: In the study, we use the standard Engle–Granger (1987) and Gregory–Hansen (1996) cointegration tests, which can take into account unknown structural breaks, to analyse the long-term relationships between the variables. In addition to the CUSUM (cumulative sum of recursive residuals) and CUSUM SQ (cumulative sum of the squares of recursive residuals) tests, Quandt–Andrews and Bai–Perron (1998, 2003)s tructural break tests are used to detect structural breaks; the sequential F statistic is applied to determine the number of structural breaks. We apply FMOLS (fully modified ordinary least squares) and CCR (canonical cointegrating regression) estimators to estimate the parameters in the long run. Findings: The results show that the Czech and Polish economies do not allow profitable carry-trade transactions, whereas the Russian and South Korean economies offer very low profitability carry-trade transactions. The main reason for this result is that the excess nominal interest rate opportunities these countries offer are fully or highly compensated by reverse movements in the currencies of these countries at the end of the investment period. Originality: First, although the subject attracts considerable attention in the international literature, there are few studies of this subject in the national literature. Second, in this study, instead of examining a single country’s economy, we jointly examine four emerging market economies as well as consider possible structural breaks. Finally, we apply a recently developed methodological approach from the literature in the analyses.

Anahtar Kelimeler

• Carry-Trade Transactions
• Profitability
• Emerging Markets

CARRY-TRADE İŞLEMLERİNİN GETİRİ POTANSİYELİNİN ANALİZİ

Öz

Amaç: Bu çalışmada Çekya, Rusya, Polonya ve Güney Kore finansal piyasalarının carry-trade işlemleri açısından karlı yatırım fırsatları sunup sunmadıkları literatürdeki güncel metodolojik bir yaklaşım dikkate alınarak incelenmiştir. Yöntem: Çalışmada değişkenler arasındaki uzun dönemli ilişki analizinde standart Engle-Granger (1987) koentegrasyon testi ile yapısal kırılmaları dikkate alabilen Gregory ve Hansen (1996) koentegrasyon testlerinden yararlanılmıştır. Yapısal kırılmaların tespitinde CUSUM (cumulative sum of recursive residuals) CUSUM SQ (cumulative sum of squares of recursive residuals) testsleri ile Quandt-Andrews ve Bai ve Perrorn (1998, 2003) testleri kullanılmıştır. Yapısal kırılma sayılarının tespitinde Sequential F istatistiğinden yararlanılmıştır. Uzun dönem parametreleri ise FMOLS (Fully modified ordinary least squares, FMOLS) ve CCR (Canonical Cointegrating Regression, CCR) yöntemleri ile tahmin edilmiştir. Bulgular: Çalışma bulguları, Çekya ve Polonya ekonomilerinin karlı carry-trade işlemlerine imkan vermediğine; Rusya ve G.Kore ekonomilerinin ise carry-trade işlemlerine imkan vermekle birlikte, oldukça düşük kazanç olanakları sunduklarına işaret etmektedir. Bu sonucun elde edilmesinin temel nedeninin bu ülkelerin sunduğu ek nominal faiz oranı imkanının yatırım dönemi sonunda bu ülkelerin para birimlerinde meydana gelen ters yönlü hareketler ile tamamen veyayüksek oranda dengelenmesi olduğu anlaşılmaktadır. Özgünlük: Öncelikle, konunun uluslararası yazında oldukça ilgi görmesine rağmen, ulusal yazında bu konuda henüz oldukça sınırlı sayıda çalışma olduğu görülmektedir. İkincisi olarak bu çalışmada tek bir ülke ekonomisinin incelenmesi yerine 4 farklı gelişen piyasa ekonomisi birlikte incelenmiş ve analizlerde olası yapısal kırılmalar da dikkate alınmıştır. Son olarak da bu çalışmada carry-trade işlemleri analiz edilirken literatürde yer alan güncel bir metodolojik yaklaşım benimsenmiştir.

Anahtar Kelimeler

• carry-trade işlemleri
• Karlılık
• Gelişe pyasa ekonomileri

Kaynakça

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