Bermuda Triangle of Turkey: The Asymmetric Relationship between FX Markets, Stock Markets and Credit Default Swaps

Yıl 2020, Cilt: 7 Sayı: 2, 81 - 92, 06.07.2020

Caner Ozdurak , Veysel Ulusoy

Öz

In April 2019 Turkish authorities have tried to avoid a currency qualm before March local elections by orchestrating a market in which investors can’t move out of liras easily, In our study we focus impact of credit default swap (CDS) rate and stock market impact to FX markets in order to analyze whether the FX rates in the market is a natural balance of the market dynamics or an outcome of an engineered rate of Central Bank of the Republic of Turkey) CBRT and Turkish government policies. We utilized Impulse-Response analysis, Granger Causality Tests and EGARCH models to conclude that USDTRY rates are managed by the policy makers to provide favorable CDS rates and stock market returns.

Anahtar Kelimeler

credit default swaps, derivatives, FX markets

Türkiye’nin Bermuda Şeytan Üçgeni: Kredi Temerrüt Takası, Kur ve Hisse Senedi Piyasaları Arasındaki Asimetrik İlişki

Öz

Nisan 2019'da Türkiye’de karar vericiler Mart’ta yapılacak olan yerel seçimlerinden önce bir döviz kurundan krizinden kaçınmak için yatırımcıların kolayca liraya karşı pozisyon almalarını engellemek için piyasalarda düzenleyici uygulamalara başvurdu. Bu çalışmada Kredi Temerrüt Takası (KTT) ve hisse senedi piyasalarının kur üzerindeki etkilerini incelereyek piyasada oluşan kur seviyesinin doğal bir denge sonucu mu yoksa karar vericiler ve Merkez Bankası tarafından üretilen politikaların bir sonucu olarak mu oluştuğu araştırılmıştır. EtkiTepki Analizleri, Granger Nedensellik Testleri ve Üssel Genelleştirilmiş Otoregresiv Koşullu Değişen Varyans (EGARCH) modellerini kullanarak dolar/TL kurunun politika yapıcılar tarafından uygun KTT oranları ve borsa getirileri sağlamak için baskılandığı sonucuna varılmıştır

Anahtar Kelimeler

ktt, Döviz Piyasaları, BIST1000, Swap, EGARCH Modelleri, Volatilite Modellemesi

Kaynakça

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