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

Yıl 2014, Cilt: 36 Sayı: 1, 103 - 117, 12.03.2015

Aslı Şen Taşbaşı

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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