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Geleneksel olmayan para politikası uygulamaları döneminde Dolar-TL’nin volatilite dinamiklerinin incelenmesi: Asimetrik stokastik volatilite modeline dayalı analizler

Yıl 2020, Cilt: 13 Sayı: 1, 1 - 17, 30.06.2020

Öz

Bu çalışmada geleneksel
olmayan para politikası uygulamalarının 
söz konusu  olduğu dönemde Dolar-TL
volatilitesinin temel dinamikleri incelenmiştir. Çalışmada student t dağılımı
varsayımı altında asimetrik stokastik volatilite (ASV) modelinden  yararlanılmış ve bu modelin  parametrelerinin tahmininde Bayesyen  yaklaşımına dayalı  MCMC (Markov Chain Monte Carlo, MCMC)
algoritması kullanılmıştır. Çalışma 2 Ocak 2002 ile 29 Eylül 2017 dönemini
kapsamakta ve günlük verilerden oluşmaktadır. Çalışma bulguları geleneksel
olmayan para politikası  uygulamalarının
söz konusu  olduğu döneminde hem Dolar-TL
volatilitesindeki değişkenliğin hem de Dolar-TL kaynaklı finansal riskin
geleneksel para politikası uygulamalarının söz konusu olduğu  göre  döneme  göre  azaldığını 
göstermektedir.

Kaynakça

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Toplam 52 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Mühendislik
Bölüm Makaleler
Yazarlar

Önder Büberkökü 0000-0002-7140-557X

Yayımlanma Tarihi 30 Haziran 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 13 Sayı: 1

Kaynak Göster

IEEE Ö. Büberkökü, “Geleneksel olmayan para politikası uygulamaları döneminde Dolar-TL’nin volatilite dinamiklerinin incelenmesi: Asimetrik stokastik volatilite modeline dayalı analizler”, JSSA, c. 13, sy. 1, ss. 1–17, 2020.