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ARA KAZANÇ TİCARETİNDEKİ (CARRY TADE) ÇÖZÜLMENİN ASİMETRİK ETKİLERİ: TÜRKİYE ÜZERİNE BİR UYGULAMA

Year 2021, Issue: 30, 275 - 290, 25.01.2021
https://doi.org/10.18092/ulikidince.686045

Abstract

Ara kazanç ticareti, spekülatif bir finansal işlem ve kaldıraçlı döviz kuru pozisyonudur. Bu nedenle, ara kazanç ticareti pozisyonlarında meydana gelebilecek ani bir çözülme, yüksek faiz oranına sahip para biriminin sert bir şekilde değer kaybetmesine ve dolayısıyla döviz kuru oynaklığının artmasına yol açmakta; küresel dengesizliklere ve finansal krizlere neden olarak finansal kırılganlık ve istikrarsızlığın önemli bir kaynağı olmaktadır. Bu çalışmada, Ocak 2005 – Eylül 2017 döneminde Türkiye’de ara kazanç ticaretindeki çözülmenin finansal değişkenler üzerindeki etkisi, USD/TL kur oynaklığının ve Türkiye ile Amerika Birleşik Devletleri arasındaki faiz oranları farkının yüksek ve düşük olduğu dönemler için incelenmiştir. Çalışmanın sonucunda, ara kazanç ticaretindeki ani bir çözülmenin faiz oranları farkının yüksek ve düşük olduğu dönemlerde faiz oranının ve BİST 100 getirisinin azalmasına, enflasyon oranının artmasına; döviz kuru oynaklığının yüksek ve düşük olduğu dönemlerde Türk Lirasının değer kaybetmesine, BİST 100 getirisinin ise azalmasına neden olduğu sonucuna ulaşılmıştır.

Supporting Institution

TÜBİTAK

Project Number

116K755

References

  • Acharya, V.V. and Steffen, S. (2015). The Greatest Carry Trade Ever? Understanding Eurozone Bank Risk. Journal of Financial Economics, 115, 215-236.
  • Anzuini, A. and Fornari, F. (2012). Macroeconomic Determinants of Carry Trade Activity. Review of International Economics, 20, 468-488.
  • Aydın, F., Us, Vuslat (2007). Carry Trade: Gelişmeler ve Riskler. TİSK Akademi Dergisi, 2(3), 175-185.
  • Badurlar, İ.Ö. (2009). Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1), 53-74.
  • Bayat, T. (2019). Carry Trade Yatırım Stratejiisi ve Belirleyicileri: Türkiye Örneği (Yayımlanmamış Doktora Tezi). İnönü Üniversitesi, Sosyal Bilimler Enstitüsü,Malatya.
  • Bilson, J. F.O. (1981). Speculative Efficiency Hypothesis. The Journal of Business, 54(3), 435-451.
  • Brunnermeier, M. K., Nagel, S., Pedersen, L. H. (2008). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 313–347.
  • Burnside, C. A., Eichenbaum, M. S., Kleshchelski, I., Rebelo, S. (2011). Do Peso Problems Explain the Returns to the Carry Trade?. Review of Financial Studies, 24(3), 853-91.
  • Burnside, C. A. (2012). Carry Trades and Risk. In: James, Jessica, Marsh, Ian W., Sarno, Lucio (Eds). Handbook of Exchange Rates. John Willey & Sons, Hoboken.
  • Curcuru, S., Vega, C., Hoek, J. (2010). Measuring carry trade activity. Proceedings of the IFC Conference on Initiatives to Address Data Gaps Revealed by the Financial Crisis. Basel, 25–26 August 2010. IFC Bulletins, Bank of International Settlements, 34.
  • Dobrynskaya, V. (2014). Downside Market Risk of Carry Trades. Review of Finance, 18, 1885-1913.
  • Fama, E. F. (1984). Forward and Spot Exchange Rates, Journal of Monetary Economics, 14, 319–338.
  • Fung, H.G., Tse, Y. and Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade? Pacific-Basin Finance Journal, 25, 200-216.
  • Galati, G., Melvin, M. (2004). Why Has FX Trading Surged? Explaining The 2004 Triennial Survey. BIS Quarterly Review, December, 67-74.
  • Galati, G., Heath, A., McGuire, Pa (2007). Evidence of Carry Trade Activity. BIS Quarterly Review, 27-41.
  • Gubler, M. (2014). Carry Trade Activities: A Multivariate Threshold Model Analysis. Swiss National Bank SNB Working Paper, No:6, 1-40.
  • Hansen, L. P., Hodrick, R. (1980). Forward Exchange Rates Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy, 88(5), 829-853.
  • Lustig, H., Roussanov, N., Verdelhan, A. (2011). Common Risk Factors in Currency Markets. Review of Financial Studies, 24(11), 3731-3777.
  • Marca, M. La (2007). Carry Trade and Financial Fragility. Coping With Globalized Finance: Recent Challenges and Long-term Perspectives. United Nations Conference on Trade and Development.
  • Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718.
  • Sarno, L., Valente, G., Leon, G. L. (2006). Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, Review of Finance, 10, 443-482.
  • Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93, 1188-1202.
Year 2021, Issue: 30, 275 - 290, 25.01.2021
https://doi.org/10.18092/ulikidince.686045

Abstract

Project Number

116K755

References

  • Acharya, V.V. and Steffen, S. (2015). The Greatest Carry Trade Ever? Understanding Eurozone Bank Risk. Journal of Financial Economics, 115, 215-236.
  • Anzuini, A. and Fornari, F. (2012). Macroeconomic Determinants of Carry Trade Activity. Review of International Economics, 20, 468-488.
  • Aydın, F., Us, Vuslat (2007). Carry Trade: Gelişmeler ve Riskler. TİSK Akademi Dergisi, 2(3), 175-185.
  • Badurlar, İ.Ö. (2009). Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1), 53-74.
  • Bayat, T. (2019). Carry Trade Yatırım Stratejiisi ve Belirleyicileri: Türkiye Örneği (Yayımlanmamış Doktora Tezi). İnönü Üniversitesi, Sosyal Bilimler Enstitüsü,Malatya.
  • Bilson, J. F.O. (1981). Speculative Efficiency Hypothesis. The Journal of Business, 54(3), 435-451.
  • Brunnermeier, M. K., Nagel, S., Pedersen, L. H. (2008). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 313–347.
  • Burnside, C. A., Eichenbaum, M. S., Kleshchelski, I., Rebelo, S. (2011). Do Peso Problems Explain the Returns to the Carry Trade?. Review of Financial Studies, 24(3), 853-91.
  • Burnside, C. A. (2012). Carry Trades and Risk. In: James, Jessica, Marsh, Ian W., Sarno, Lucio (Eds). Handbook of Exchange Rates. John Willey & Sons, Hoboken.
  • Curcuru, S., Vega, C., Hoek, J. (2010). Measuring carry trade activity. Proceedings of the IFC Conference on Initiatives to Address Data Gaps Revealed by the Financial Crisis. Basel, 25–26 August 2010. IFC Bulletins, Bank of International Settlements, 34.
  • Dobrynskaya, V. (2014). Downside Market Risk of Carry Trades. Review of Finance, 18, 1885-1913.
  • Fama, E. F. (1984). Forward and Spot Exchange Rates, Journal of Monetary Economics, 14, 319–338.
  • Fung, H.G., Tse, Y. and Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade? Pacific-Basin Finance Journal, 25, 200-216.
  • Galati, G., Melvin, M. (2004). Why Has FX Trading Surged? Explaining The 2004 Triennial Survey. BIS Quarterly Review, December, 67-74.
  • Galati, G., Heath, A., McGuire, Pa (2007). Evidence of Carry Trade Activity. BIS Quarterly Review, 27-41.
  • Gubler, M. (2014). Carry Trade Activities: A Multivariate Threshold Model Analysis. Swiss National Bank SNB Working Paper, No:6, 1-40.
  • Hansen, L. P., Hodrick, R. (1980). Forward Exchange Rates Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy, 88(5), 829-853.
  • Lustig, H., Roussanov, N., Verdelhan, A. (2011). Common Risk Factors in Currency Markets. Review of Financial Studies, 24(11), 3731-3777.
  • Marca, M. La (2007). Carry Trade and Financial Fragility. Coping With Globalized Finance: Recent Challenges and Long-term Perspectives. United Nations Conference on Trade and Development.
  • Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718.
  • Sarno, L., Valente, G., Leon, G. L. (2006). Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, Review of Finance, 10, 443-482.
  • Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93, 1188-1202.
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Aydanur Gacener Atış

Deniz Erer 0000-0001-9977-9592

Project Number 116K755
Publication Date January 25, 2021
Published in Issue Year 2021 Issue: 30

Cite

APA Gacener Atış, A., & Erer, D. (2021). ARA KAZANÇ TİCARETİNDEKİ (CARRY TADE) ÇÖZÜLMENİN ASİMETRİK ETKİLERİ: TÜRKİYE ÜZERİNE BİR UYGULAMA. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(30), 275-290. https://doi.org/10.18092/ulikidince.686045

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