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Öz

This study aims to ascertain the policy choice between the fixed and the flexible exchange rate regimes by empirically investigating whether eliminating the volatiliy in exchange rates increases volatility in interest rates. This volatility trade off hypothesis is tested for Hong Kong through a bivariate generalized autoregressive conditional heteroskedastic (GARCH) model. Splitting the data into pre-crisis, post-crisis and crisis-included periods, the analysis ended up with different findings. While the pre-crisis and post-crisis periods implied a trade-off between exchange rate and interest rate volatilities, the 1991-2003 period exhibited a positive relationship between exchange rate and interest rate movements contrary to the trade-off hypothesis

Anahtar Kelimeler

• Exchange Rate, Interest Rate, Volatility

KÜÇÜK AÇIK EKONOMİLERDE DÖVİZ KURU İLE FAİZ ORANI ARASINDAKİ OYNAKLIK DEĞİŞ-TOKUŞUNUN KESTİRİMİ: HONG KONG ÖRNEĞİ

Öz

Bu çalışmada, döviz kurlarındaki oynaklığın (volatility) ortadan kaldırılmasının faiz oranlarındaki oynaklığı artırıp artırmadığı sorusu görgül olarak incelenerek, sabit ve esnek döviz kuru sistemleri arasındaki politika tercihinin değerlendirilmesi amaçlanmıştıır. Oynaklık değiş-tokuşu (volatility trade off) olarak adlandırılan bu hipotez, Hong Kong ekonomisi için, genelleştirilmiş ardışık bağlanımlı, koşullu, değişen varyans (generalized autoregressive conditional heteroscedasticity - GARCH) modeli yardımıyla sınanmıştır. Veri kümesi, kriz öncesi dönem, kriz dönemi ve kriz sonrası dönem olarak üç alt kümeye bölünmüş ve farklı sonuçlar elde edilmiştir. Kriz öncesi ve kriz sonrası dönemler döviz kuru oynaklığı ile faiz oranı oynaklığı arasında bir değiş-tokuşa işaret ederken, kriz döneminde değiş-tokuş hipotezine aykırı olarak döviz kuru ve faiz oranı hareketleri arasında pozitif bir ilişki tespit edilmiştir.

Anahtar Kelimeler

• Döviz Kuru, Faiz Oranı, Oynaklık Değiş-Tokuşu

Kaynakça

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