GETİRİ VE VOLATİLİTENİN ETKİLEŞİMİ: AMERİKA VE TÜRKİYE TAHVİL PİYASALARI ÖRNEĞİ

Yıl 2020, Cilt: 10 Sayı: 1, 403 - 424, 22.06.2020

Erdost Torun Erhan Demireli

https://doi.org/10.30783/nevsosbilen.616093

Öz

Amerika Birleşik Devletleri’nin gelişmiş ve
gelişmekte olan finansal piyasalar üzerindeki etkisi ve özellikle ABD ipotek
piyasasında meydana gelen kriz nedeniyle tahvil piyasaları arasındaki
ilişkideki değişimlerin analizi finansal ve makroekonomik açıdan önemli hale
gelmiştir. Bu çalışmada, Amerika ve Türkiye tahvil piyasaları arasındaki getiri
ve koşullu varyans serileri arasındaki korelasyon ve nedensellik ilişkilerinin
gelişimi parametrik olmayan Wavelet Granger nedensellik yöntemi kullanılarak
incelenmiş ve varyans serisindeki kırılmaların dinamik nedensellik
örüntüsündeki değişimlerle ilişkisi araştırılmıştır. Çalışma, volatilite ve
varyans kırılmalarının modellenmesi konusunda literatürde yapılan ilk
çalışmadır. Çalışmada, 2006 - 2019 döneminde ABD ve Türkiye için günlük veriler
kullanılmıştır. Analiz sonucunda tahvil piyasaları arasındaki farklı periyoda
sahip dalgalanmalar arasındaki nedensellik ve korelasyon testlerinin zamana
bağlı değişimlerini içeren frekans – zaman dağılımları tahminlenmiştir. Çalışma
sonucunda getiri ve varyans serilerinde nedensellik ve korelasyon ilişkisinin
global kriz ve Amerika Birleşik Devletleri para politikasından uzun vadede
etkilendiği bulgulanmıştır. FED politika
adımlarının atıldığı ve sonrasında düzelme görülen dönemde ise kırılmalar
seyrekleşmiş, uzun dönemli varyans nedenselliği ortadan kalkmıştır. 

Anahtar Kelimeler

Nonparametrik Granger Nedensellik Testi, Dalgacık Dönüşümü

Kaynakça

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