Araştırma Makalesi
BibTex RIS Kaynak Göster

ANALYSIS OF THE RETURN OPPORTUNITY IN CARRY-TRADE TRANSACTIONS

Yıl 2021, Cilt: 20 Sayı: 42, 1060 - 1085, 19.12.2021
https://doi.org/10.46928/iticusbe.769107

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.

Kaynakça

  • Adewuyi, A.O., & Ogebe, J.O. (2019). The Validity of Uncovered Interest Parity: Evidence from African Members and Non-Member of the Organisation of Petroleum Exporting Countries (OPEC). Economic Modelling, 82, 229-249.
  • Alexius, A. (2001). Uncovered Interest Parity Revesited. Review of International Economics, 9 (3), 505-517.
  • Andrew, D. (1993). Test for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61(4), 821-856.
  • Atış, A., G., & Erer, D. (2016). Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi, Uluslar arası Ekonomi Konferansı , Türkiye Ekonomi Kurumu, UEK-TEK, 2016 https://books.google.com.tr/ books?id=9s1SD wAA QBAJ&pg=PA500&lpg=PA500&dq=Carry+Trade:+.
  • Aydın, F., & Us, V. (2007). Carry Trade: Gelişmeler ve Riskler. TİSK Akademi Dergisi, 2 (3), 175-185.
  • Badurlar, İ.Ö. (2009). Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001–2007. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1), 53-74.
  • Bai, J., & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66, 47-78.
  • Bai, J., & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18, 1-22.
  • Bhatti, R. H. (2012). On Return and Risk in Carry Trades: A Case of the Pak Rupee. Internatıonal Journal of Economics And Finance Studies, 4 (2), 201-214.
  • Bhatti, R. H. (2014). The Existence of Uncovered Interest Parity in The CIS Countries. Economic Modelling, 40, 227-241.
  • Burnside, C. (2014). The Carry Trade in Industrialized and Emerging Markets. Journal Economia Chilena, 17(2),48-78.
  • Cairns, J., Ho, C. & McCauley, R.N. (2007). Exchange Rates and Global Volatility: Implications for Asia-Pacific Currencies. BIS Quarterly Review, March, 41–52.
  • Carioni-i Silvestre, J.L, Kim, D., & Perron, P. (2009). GLS-Based Unit Root Tests With Multiple Structural Breaks Under The Both The Null And The Alternative Hypothesis. Econometric Theory, 25, 1754-1792.
  • Chaboud, A.P. ve Wright, J.H. (2005). Uncovered Interest Parity: It Works but not For Long. Journal of International Economics, 66, 349-362.
  • Christiansen, C., Ranaldo, A., & Söederlind, P. (2011). The Time-Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysi,s 46 (4), 1107–1125.
  • Colavecchio, R. (2008). Tracking the Yen Carry Trade: Evidence from a Regime Switching Approach https://ssrn.com/abstract= 1365968 or http://dx.doi. org/10.2 139/ ssrn.1365968.
  • Dickey, D. & Fuller, W. (1979). Distribution of the Estimators for Autoregressive Time Series with Unit Root. Journal of the American Statistical Association, 74, 427–431.
  • Eichenbaum, M., Burnside , C., & Rebelo, S. (2007). The Returns to Currency Speculation in Emerging Markets. American Economic Review, American Economic Association, 97(2), 333-338.
  • Engle, R., F., & Granger, C.W.J. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica,55, 251-276.
  • Erdoğan, L., Ceylan, R. ve Tiryaki, A. (2018). Türkiye’de Uzun Dönem Ekonomik Büyümenin Belirleyicilerinin ARDL, FMOLS, DOLS ve CCR Yöntemleriyle Tahmini. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36 (4), 39-58.
  • Fung, H-G., Tse, Y., & Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade?. Pacific-Basin Finance Journal 25, 200–216.
  • Fung, W., Hsieh, D., A., & Tsatsaronis, K. (2000). Do Hedge Funds Disrupt Emerging Markets?. Brooking-Wharton Papers on Financial Services, 377-401. https://muse.jhu.edu/article/26619/pdf.
  • Goodfriend, M. (2014). Monetary Policy as a Carry Trade. Monetary and Economic Studies, 32, 1-21.
  • Gregory, A.W., & Hansen, B.E. (1996). Residual-based Tests For Cointegration in Models with Regime Shifts. Journal of Econometrics, 70, 99-126.
  • Güler, A. (2019). Carry Trade Yatırımlarının Kazanç ve Risk Unsurlarına Duyarlılığı: Türkiye için ARDL Sınır Testi Uygulaması. Yönetim ve Ekonomi Araştırmaları Dergisi, 17 (1), 201-221.
  • Gyntelberg, J., & Remolona, E. M. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December, 73–82.
  • Hutchison, M., & Sushko, V. (2013). Impact of Macro-economic Surprises on Carry Trade Activity. Journal of Banking & Finance, 37(4), 1133–1147.
  • İlhan, B. (2019). Carry Trade 2000'li Yıllarda Türkiye İçin Mümkün Mü?. Akademik Hassasiyetler, 6 (11), 189-204. Jiang, Y. (2016). Carry Trade in Emerging Markets: Return and Macroeconomic Risks. https://ssrn.com/abstract=3001580 or http://dx. doi.org/10.2139/ssrn. 3001580.
  • Kızıl, B. C., & Ceylan, R. (2018). Sağlık Harcamalarının Ekonomik Büyüme Üzerine Etkisi: Türkiye Örneği. Journal of Yasar University, 13 (50), 197-209.
  • La Marca, M. (2007). Carry Trade and Financial Fragility. In H. Flassbeck and M. La Marca (eds). Coping with Globalized Finance: Recent Challenges and Long Term Perspectives. UNCTAD/GDS/2007/2, United Nations, Geneva and New York. https://unctad.org/en/Docs/gds20072_en.pdf.
  • Moosa, I. A. (2008). Risk and Return in Carry Trade. Journal of Financial Transformation, 22, 8 - 13.
  • Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica, 60, 119–143.
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panel. Advances in Econometrics, 15, 93-130.
  • Phillips, P. C. B., & Hansen, B. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. The Review of Economic Studies, 57, 99-125.
  • Phillips, P.C.B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335–346.
  • Plantin, G., & Shin, H.S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics. CEPR Discussion Papers 8224, C.E.P.R. Discussion Papers. https:// www.imf.org/external/np/seminars/eng/2011/res2/pdf/gp.pdf. Quandt, R. (1960). Test for Hypothesis that a Linear Regression System Obeys two Separate Regimes. Journal of the Americans Statistical Association, 55 (290), 324-330.
  • Romero-Avila, D. (2008). Questioning The Emprical Basis of the Enviromental Kuznets Curve for CO2: New Evidence From a Panel Stationarity Test Robust to Multiple Breaks and Cross Dependence. Ecological Economics, 64, 559-574.
  • Sakarya, B., & Ateş, F. (2016). Carry Trade (Ara Kazanç) Stratejı ve Belirleyicileri Üzerine Bir Çalışma. 2nd Internatıonal Conference on Applied Economics and Finance (ICOAEF 2016), 5- 6 December, 2016 Girne American University North Cyprus.https://www.researchgate.net/profile /Mehmet_ Sisman2/publication/336468502.
  • Stock, J. H. (1987). Asymptotic Properties of a Least Squares Estimator of Cointegration Vectors. Econometrica, 55(5), 1035-1056.
  • Tang, K-B. (2011). The Precise Form of Uncovered Interest Parity: A Heterogeneous Panel Application in ASEAN-5 Countries. Economic Modelling, 28, 568-573.
  • Temiz, M. (2019). Carry Trade Yatırımları ve Belirleyicileri Arasındaki Nedensellik İlişkisi: Türkiye Örneği. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 53, 309-324.
  • Zivot, E., & Andrews, D.W.K. (1992). Further Evidence on the Great Crash, the Oil Price Shocks, and Unit Root Hypothesis. Journal of Business and Economic Statistics, 10, 251-270.

CARRY-TRADE İŞLEMLERİNİN GETİRİ POTANSİYELİNİN ANALİZİ

Yıl 2021, Cilt: 20 Sayı: 42, 1060 - 1085, 19.12.2021
https://doi.org/10.46928/iticusbe.769107

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.

Kaynakça

  • Adewuyi, A.O., & Ogebe, J.O. (2019). The Validity of Uncovered Interest Parity: Evidence from African Members and Non-Member of the Organisation of Petroleum Exporting Countries (OPEC). Economic Modelling, 82, 229-249.
  • Alexius, A. (2001). Uncovered Interest Parity Revesited. Review of International Economics, 9 (3), 505-517.
  • Andrew, D. (1993). Test for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61(4), 821-856.
  • Atış, A., G., & Erer, D. (2016). Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi, Uluslar arası Ekonomi Konferansı , Türkiye Ekonomi Kurumu, UEK-TEK, 2016 https://books.google.com.tr/ books?id=9s1SD wAA QBAJ&pg=PA500&lpg=PA500&dq=Carry+Trade:+.
  • Aydın, F., & Us, V. (2007). Carry Trade: Gelişmeler ve Riskler. TİSK Akademi Dergisi, 2 (3), 175-185.
  • Badurlar, İ.Ö. (2009). Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001–2007. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1), 53-74.
  • Bai, J., & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66, 47-78.
  • Bai, J., & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18, 1-22.
  • Bhatti, R. H. (2012). On Return and Risk in Carry Trades: A Case of the Pak Rupee. Internatıonal Journal of Economics And Finance Studies, 4 (2), 201-214.
  • Bhatti, R. H. (2014). The Existence of Uncovered Interest Parity in The CIS Countries. Economic Modelling, 40, 227-241.
  • Burnside, C. (2014). The Carry Trade in Industrialized and Emerging Markets. Journal Economia Chilena, 17(2),48-78.
  • Cairns, J., Ho, C. & McCauley, R.N. (2007). Exchange Rates and Global Volatility: Implications for Asia-Pacific Currencies. BIS Quarterly Review, March, 41–52.
  • Carioni-i Silvestre, J.L, Kim, D., & Perron, P. (2009). GLS-Based Unit Root Tests With Multiple Structural Breaks Under The Both The Null And The Alternative Hypothesis. Econometric Theory, 25, 1754-1792.
  • Chaboud, A.P. ve Wright, J.H. (2005). Uncovered Interest Parity: It Works but not For Long. Journal of International Economics, 66, 349-362.
  • Christiansen, C., Ranaldo, A., & Söederlind, P. (2011). The Time-Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysi,s 46 (4), 1107–1125.
  • Colavecchio, R. (2008). Tracking the Yen Carry Trade: Evidence from a Regime Switching Approach https://ssrn.com/abstract= 1365968 or http://dx.doi. org/10.2 139/ ssrn.1365968.
  • Dickey, D. & Fuller, W. (1979). Distribution of the Estimators for Autoregressive Time Series with Unit Root. Journal of the American Statistical Association, 74, 427–431.
  • Eichenbaum, M., Burnside , C., & Rebelo, S. (2007). The Returns to Currency Speculation in Emerging Markets. American Economic Review, American Economic Association, 97(2), 333-338.
  • Engle, R., F., & Granger, C.W.J. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica,55, 251-276.
  • Erdoğan, L., Ceylan, R. ve Tiryaki, A. (2018). Türkiye’de Uzun Dönem Ekonomik Büyümenin Belirleyicilerinin ARDL, FMOLS, DOLS ve CCR Yöntemleriyle Tahmini. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36 (4), 39-58.
  • Fung, H-G., Tse, Y., & Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade?. Pacific-Basin Finance Journal 25, 200–216.
  • Fung, W., Hsieh, D., A., & Tsatsaronis, K. (2000). Do Hedge Funds Disrupt Emerging Markets?. Brooking-Wharton Papers on Financial Services, 377-401. https://muse.jhu.edu/article/26619/pdf.
  • Goodfriend, M. (2014). Monetary Policy as a Carry Trade. Monetary and Economic Studies, 32, 1-21.
  • Gregory, A.W., & Hansen, B.E. (1996). Residual-based Tests For Cointegration in Models with Regime Shifts. Journal of Econometrics, 70, 99-126.
  • Güler, A. (2019). Carry Trade Yatırımlarının Kazanç ve Risk Unsurlarına Duyarlılığı: Türkiye için ARDL Sınır Testi Uygulaması. Yönetim ve Ekonomi Araştırmaları Dergisi, 17 (1), 201-221.
  • Gyntelberg, J., & Remolona, E. M. (2007). Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December, 73–82.
  • Hutchison, M., & Sushko, V. (2013). Impact of Macro-economic Surprises on Carry Trade Activity. Journal of Banking & Finance, 37(4), 1133–1147.
  • İlhan, B. (2019). Carry Trade 2000'li Yıllarda Türkiye İçin Mümkün Mü?. Akademik Hassasiyetler, 6 (11), 189-204. Jiang, Y. (2016). Carry Trade in Emerging Markets: Return and Macroeconomic Risks. https://ssrn.com/abstract=3001580 or http://dx. doi.org/10.2139/ssrn. 3001580.
  • Kızıl, B. C., & Ceylan, R. (2018). Sağlık Harcamalarının Ekonomik Büyüme Üzerine Etkisi: Türkiye Örneği. Journal of Yasar University, 13 (50), 197-209.
  • La Marca, M. (2007). Carry Trade and Financial Fragility. In H. Flassbeck and M. La Marca (eds). Coping with Globalized Finance: Recent Challenges and Long Term Perspectives. UNCTAD/GDS/2007/2, United Nations, Geneva and New York. https://unctad.org/en/Docs/gds20072_en.pdf.
  • Moosa, I. A. (2008). Risk and Return in Carry Trade. Journal of Financial Transformation, 22, 8 - 13.
  • Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica, 60, 119–143.
  • Pedroni, P. (2000). Fully Modified OLS for Heterogeneous Cointegrated Panel. Advances in Econometrics, 15, 93-130.
  • Phillips, P. C. B., & Hansen, B. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. The Review of Economic Studies, 57, 99-125.
  • Phillips, P.C.B. & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335–346.
  • Plantin, G., & Shin, H.S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics. CEPR Discussion Papers 8224, C.E.P.R. Discussion Papers. https:// www.imf.org/external/np/seminars/eng/2011/res2/pdf/gp.pdf. Quandt, R. (1960). Test for Hypothesis that a Linear Regression System Obeys two Separate Regimes. Journal of the Americans Statistical Association, 55 (290), 324-330.
  • Romero-Avila, D. (2008). Questioning The Emprical Basis of the Enviromental Kuznets Curve for CO2: New Evidence From a Panel Stationarity Test Robust to Multiple Breaks and Cross Dependence. Ecological Economics, 64, 559-574.
  • Sakarya, B., & Ateş, F. (2016). Carry Trade (Ara Kazanç) Stratejı ve Belirleyicileri Üzerine Bir Çalışma. 2nd Internatıonal Conference on Applied Economics and Finance (ICOAEF 2016), 5- 6 December, 2016 Girne American University North Cyprus.https://www.researchgate.net/profile /Mehmet_ Sisman2/publication/336468502.
  • Stock, J. H. (1987). Asymptotic Properties of a Least Squares Estimator of Cointegration Vectors. Econometrica, 55(5), 1035-1056.
  • Tang, K-B. (2011). The Precise Form of Uncovered Interest Parity: A Heterogeneous Panel Application in ASEAN-5 Countries. Economic Modelling, 28, 568-573.
  • Temiz, M. (2019). Carry Trade Yatırımları ve Belirleyicileri Arasındaki Nedensellik İlişkisi: Türkiye Örneği. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 53, 309-324.
  • Zivot, E., & Andrews, D.W.K. (1992). Further Evidence on the Great Crash, the Oil Price Shocks, and Unit Root Hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Toplam 42 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makaleleri
Yazarlar

Önder Büberkökü 0000-0002-7140-557X

Yayımlanma Tarihi 19 Aralık 2021
Gönderilme Tarihi 14 Temmuz 2020
Kabul Tarihi 16 Ağustos 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 20 Sayı: 42

Kaynak Göster

APA Büberkökü, Ö. (2021). CARRY-TRADE İŞLEMLERİNİN GETİRİ POTANSİYELİNİN ANALİZİ. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 20(42), 1060-1085. https://doi.org/10.46928/iticusbe.769107