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DÖVİZ KURLARI ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMININ İNCELENMESİ: TÜRKİYE ÖRNEĞİ

Yıl 2022, Cilt: 7 Sayı: 14, 182 - 205, 21.12.2022
https://doi.org/10.54831/vanyyuiibfd.1159073

Öz

Bu çalışmada Euro, İngiliz sterlini, Japon yeni, Brezilya reali, G.Afrika randı, Meksika pesosu ve G.Kore wonu ile Türk lirası arasındaki getiri ve volatilite yayılımı Cheung-Ng (1996) testi ile incelenmiştir. Analizlerde volatilite serilerindeki yapısal kırılmalar da dikkate alınmıştır. Volatilitenin modellenmesinde FIGARCH modelinden, volatilite serilerindeki yapısal kırılmaların belirlenmesinde ise Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Getiri yayılımına ilişkin bulgular; Japon yeni, İngiliz sterlini, Meksika pesosu ile G.Afrika randından Türk Lirasına doğru tek yönlü bir getiri yayılımının söz konusu olduğunu; Türk lirası ile Brezilya reali, Euro ve G.Kore wonu arasında ise çift yönlü bir getiri yayılımının bulunduğunu göstermektedir. Volatilite yayılımına ilişkin bulgular ise inceleme kapsamındaki tüm para birimlerinin volatilitesinin Türk lirası volatilitesi üzerinde etkili olduğunu, fakat Türk lirası volatilitesinin daha çok kendi iç dinamiklerinden kaynaklandığını göstermektedir. Çalışma bulguları hem uluslararası yatırımcılar hem de politika yapıcılar için önemli sonuçlar içermektedir.

Kaynakça

  • Abdennadher, E. & Hallara, S. (2018). Structural Breaks and Stock Market Volatility in Emerging Countries. International Journal of Business and Risk Management, 1(1): 9-16.
  • Antonakakis, N. (2012). Exchange Return Co-Movements and Volatility Spillovers Before and After The Introduction of Euro. Journal of International Financial Markets Institutions and Money, 22(5):1091-1109.
  • Arago-Manzana, V. & Fernandez-Izquierdo, M. A. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of Multinational Financial Management,17(2), 112-124.
  • Bai, J. & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66: 47-78.
  • Bai, J. & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18: 1–22.
  • Baillie, R.T. & Bollerslev, T. (1990). Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, Review of Economic Studies, 58, 565-585.
  • Baillie, R.T., Bollerslev, T. & Mikkelsen, H.O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 73: 3–20.
  • Başçı, E. & Kara, H. (2011). Finansal İstikrara ve Para Politikası. İktisat İşletme ve Finans, 26 (302), 9-25.
  • Black, A. J., & McMillan, D. G. (2004). Long Run Trends and Volatility Spillovers in Daily Exchange Rates. Applied Financial Economics, 14(12), 895-907.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31: 307–327.
  • Bollerslev, T.(1990). Modeling The Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Models. Review of Economics and Statistics,72,498-505.
  • Bubak, V., Kocenda, E., & Zikes, F. (2011). Volatility Transmission in Emerging European Foreign Exchange Markets. Journal of Banking & Finance,35(11),2829-2841.
  • Charfeddine, L.(2014). True or Spurious Long Memory İn Volatility: Further Evidence on The Energy Futures Markets. Energy Policy,71, 76–93.
  • Cheung, Y. W. & Ng, L. K. (1996). A Causality-In-Variance Test and Its Application to Financial Market Prices. Journal of Econometrics, 72(1-2): 33-48.
  • Emenike, K.O. (2018). Exchange Rate Volatility in West African Countries: Is There A Shred of Spillover?. International Journal of Emergings Markets, 13(6), 1457-1474.
  • Fasanya, I.O., Oyewole, O., Adekoya, O.B. & Odei-Mensah, J. (2021). Dynamic Spillovers And Connectedness Between COVID-19 Pandemic And Global Foreign Exchange Markets, Economic Research-Ekonomska Istraživanja, 34:1, 2059-2084.
  • Gebka, B. & Serwa, D.(2007). Intra- And Inter-Regional Spillovers Between Emerging Capital Markets Around The World. Research in International Business and Finance, 21,203-221.
  • Geweke, J. & Porter-Hudak, S. (1983). The Estimation and Application of Long Memory Time Series Models. Journal of Time Series Analysis, 4 (4): 221–238.
  • Göktaş, Ö.; (2019). Kur Savaşları Çerçevesinde Döviz Kurları Arasındaki Volatilite Etkileşimi. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 10(3), 627-638.
  • Güler, M.H., Keleş, G., & Kilimci, E. (2014). Sistemin TL Fonlama İhtiyacı Bileşenleri ve TL Kredi İlişkisi. İktisat İşletme ve Finans, 29 (344),09-30.
  • Huynh, T.L.D., Nasir, M.A. & Nguyen, D.K. (2020). Spillovers And Connectedness in Foreign Exchange Markets: The Role Of Trade Policy Uncertainty. The Quarterly Review of Economics and Finance,9,1-9.
  • Hong, Y. (2001). A Test For Volatility Spillover with Application to Exchange Rates. Journal of Econometrics, 103(2001), 183-224.
  • Hu, J. W-S., Chen, M.Y., Fok, R. C.W. & Huang,B-N.( 1997). Causality in Volatility And Volatility Spillover Effects Between U.S., Japan And Four Equity Markets in The South China Financial Markets Growth Triangular. Journal of International Financial Markets, Institutions & Money,7, 351-367.
  • Jung, R.C. ve Maderitsch, R. (2014). Structural Breaks in Volatility Spillovers Between International Financial Markets : Contagion or Mere Interdependence ?. Journal of Banking and Finance, 47: 331-342.
  • Kara, A.H. (2012). Küresel Kriz Sonrası Para Politikası. İktisat İşletme ve Finans, 27 (315), 9-36.
  • King, M.R., Osler, C. & Rime, D. (2011). Foreign Exchange Market Structure, Players And Evolution, Norges Bank Working Paper, No:10. http://www.unich.it/ ~vitale/ Rime-2.pdf.
  • Krichene, N. (2003). Modeling Stochastic Volatility with Application To Stock Returns. IMF Working Paper, No:03/125. https://www.imf.org/en/Publications/WP/Issues/2016/12/30 /.
  • Kumar, D. & Maheswaran, S. (2013). Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors. The Journal of Applied Economic Research, 7: 61-91.
  • Kyle, A.S. (1985).Continuous auctions and inseder trading. Econometrica, 53, 1315-1335.
  • Lo, A.W. (2004). The Adaptive market hypothesis: Market efficiency from an evolutionary Perspective, The Journal of Portfolio Management 30th Anniversary Issue, 30 (5) 15-29.
  • Ma, X., Wang, J., & Sun, X. (2018). A Study On The Dynamics of Exchange Rate Volatility Spillover Network: Evidence From Central Asia. Procedia Computer Science, 139, 76-81.
  • McMillian, D.G., & Speight, A.E.H. (2010). Return and Volatility Spillovers in Three Euro Exchange Rates. Journal of Economics and Business, 62 (2010), 79-93.
  • Mensi, W., Hammudeh, S. & Yoon, S.M .(2014). How Do OPEC News and Structural Breaks Impact Returns and Volatility in Crude Oil Markets?. Further Evidence from a Long Memory Process. Energy Economics, 42: 343–354.
  • Mühleisen, M. (2010). A New Index of Currency Mismatch and Systemic Risk, IMF Working Paper WP/10/263. file:///C:/Users/asus/Downloads/_wp10263.pdf.
  • Nakajima, T., & Hamori, S. (2012). Causality in Mean and Causality in Variance Among Electricity Prices, Crude Oil Prices, and Yen-US Dollar Exchange Rates in Japan. Research In International Business and Finance, 26(2012), 371-386.
  • Özatay, F. (2012). Para Politikasında Yeni Arayışlar. İktisat İşletme ve Finans, 27 (315), 51-75.
  • Panda, A., Nanda, S., Singh, V. & Kumar, S. (2019). Evidence Of Leverage Effects And Volatility Spillover Among Exchange Rates Of Selected Emerging And Growth Leading Economies. Journal Of Financial Economic Policy, 11(2), 174-192.
  • Papież, M. & Śmiech,S.(2013). Causality-in-Mean And Causality-in-Variance Within The International Steam Coal Market. Energy Economics, 36, 594–604
  • Rajhans, R.K. & Jain, A. (2015). Volatility Spillover in Foreign Exchange Markets. Paradigm, 19(2), 137-151.
  • Robinson, P.M. & Henry, M. (1999). Long and Short Memory Conditional Heteroskedasticity in Estimating the Memory Parameter of Levels. Econometric Theory, 15 (3): 299-336.
  • Rodrigues, P.M.M. & Rubia, M. (2007). Testing For Causality in Variance Under Nonstationarity in Variance, Economic Letters, 97,133-137.
  • Ross, S.A.(1989).Information And Volatility : The No-Arbitrage Martingale Approach To Timing And Resolution İrrelevancy. Journal of Finance, 44,1-17.
  • van Dijk, D.,Osborn, D.R. & Sensier, M. (2005). Testing For Causality in Variance in The Presence Of Breaks, Economics Letters, 89, 193–199.
  • Xua, H. & Hamorib, S.(2012).Dynamic Linkages Of Stock Prices Between The Brıcs And The United States: Effects Of The 2008–09 Financial Crisis. Journal of Asian Economics, 23, 344–352.
  • Yao, Y.C. (1988). Estimating the Number of Change-Points via Schwarz’ Criterion. Statistics and Probability Letters, 6 (3): 181–189.

EXAMINING MEAN AND VOLATILITY SPILLOVER IN FOREIGN EXCHANGE MARKETS: THE TURKISH CASE

Yıl 2022, Cilt: 7 Sayı: 14, 182 - 205, 21.12.2022
https://doi.org/10.54831/vanyyuiibfd.1159073

Öz

In this study, the mean and volatility spillover effects from the Euro, British pound, Japanese yen, Brazilian real, South African rand, Mexican peso, S. Korean won against US dollar to the Turkish lira against the US dollar are examined using the Cheung-Ng (1996) causality-in variance test. Structural breaks in the volatility series are also taken into account in the analyses. The FIGARCH model is used to model the volatility of the relevant foreign exchange returns, and the Bai and Perron (1998, 2003) test is applied to determine the structural breaks in the volatility series. Results indicate that there is a unidirectional mean spillover effect from Japanese yen, British pound, Mexican peso and South African rand to Turkish lira whereas it is found that there exists a bidirectional mean spillover effect between Turkish lira and Brazilian real, Euro and S.Korean won. As for volatility spillover effect, the results show that though the volatility of all currencies within the scope of the study has an significant effect on the volatility of Turkish lira, the volatility of Turkish lira mostly stems from its own internal dynamics. The study findings have important implications for both international investors and policy makers.

Kaynakça

  • Abdennadher, E. & Hallara, S. (2018). Structural Breaks and Stock Market Volatility in Emerging Countries. International Journal of Business and Risk Management, 1(1): 9-16.
  • Antonakakis, N. (2012). Exchange Return Co-Movements and Volatility Spillovers Before and After The Introduction of Euro. Journal of International Financial Markets Institutions and Money, 22(5):1091-1109.
  • Arago-Manzana, V. & Fernandez-Izquierdo, M. A. (2007). Influence of structural changes in transmission of information between stock markets: A European empirical study. Journal of Multinational Financial Management,17(2), 112-124.
  • Bai, J. & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66: 47-78.
  • Bai, J. & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18: 1–22.
  • Baillie, R.T. & Bollerslev, T. (1990). Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, Review of Economic Studies, 58, 565-585.
  • Baillie, R.T., Bollerslev, T. & Mikkelsen, H.O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 73: 3–20.
  • Başçı, E. & Kara, H. (2011). Finansal İstikrara ve Para Politikası. İktisat İşletme ve Finans, 26 (302), 9-25.
  • Black, A. J., & McMillan, D. G. (2004). Long Run Trends and Volatility Spillovers in Daily Exchange Rates. Applied Financial Economics, 14(12), 895-907.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31: 307–327.
  • Bollerslev, T.(1990). Modeling The Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Models. Review of Economics and Statistics,72,498-505.
  • Bubak, V., Kocenda, E., & Zikes, F. (2011). Volatility Transmission in Emerging European Foreign Exchange Markets. Journal of Banking & Finance,35(11),2829-2841.
  • Charfeddine, L.(2014). True or Spurious Long Memory İn Volatility: Further Evidence on The Energy Futures Markets. Energy Policy,71, 76–93.
  • Cheung, Y. W. & Ng, L. K. (1996). A Causality-In-Variance Test and Its Application to Financial Market Prices. Journal of Econometrics, 72(1-2): 33-48.
  • Emenike, K.O. (2018). Exchange Rate Volatility in West African Countries: Is There A Shred of Spillover?. International Journal of Emergings Markets, 13(6), 1457-1474.
  • Fasanya, I.O., Oyewole, O., Adekoya, O.B. & Odei-Mensah, J. (2021). Dynamic Spillovers And Connectedness Between COVID-19 Pandemic And Global Foreign Exchange Markets, Economic Research-Ekonomska Istraživanja, 34:1, 2059-2084.
  • Gebka, B. & Serwa, D.(2007). Intra- And Inter-Regional Spillovers Between Emerging Capital Markets Around The World. Research in International Business and Finance, 21,203-221.
  • Geweke, J. & Porter-Hudak, S. (1983). The Estimation and Application of Long Memory Time Series Models. Journal of Time Series Analysis, 4 (4): 221–238.
  • Göktaş, Ö.; (2019). Kur Savaşları Çerçevesinde Döviz Kurları Arasındaki Volatilite Etkileşimi. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 10(3), 627-638.
  • Güler, M.H., Keleş, G., & Kilimci, E. (2014). Sistemin TL Fonlama İhtiyacı Bileşenleri ve TL Kredi İlişkisi. İktisat İşletme ve Finans, 29 (344),09-30.
  • Huynh, T.L.D., Nasir, M.A. & Nguyen, D.K. (2020). Spillovers And Connectedness in Foreign Exchange Markets: The Role Of Trade Policy Uncertainty. The Quarterly Review of Economics and Finance,9,1-9.
  • Hong, Y. (2001). A Test For Volatility Spillover with Application to Exchange Rates. Journal of Econometrics, 103(2001), 183-224.
  • Hu, J. W-S., Chen, M.Y., Fok, R. C.W. & Huang,B-N.( 1997). Causality in Volatility And Volatility Spillover Effects Between U.S., Japan And Four Equity Markets in The South China Financial Markets Growth Triangular. Journal of International Financial Markets, Institutions & Money,7, 351-367.
  • Jung, R.C. ve Maderitsch, R. (2014). Structural Breaks in Volatility Spillovers Between International Financial Markets : Contagion or Mere Interdependence ?. Journal of Banking and Finance, 47: 331-342.
  • Kara, A.H. (2012). Küresel Kriz Sonrası Para Politikası. İktisat İşletme ve Finans, 27 (315), 9-36.
  • King, M.R., Osler, C. & Rime, D. (2011). Foreign Exchange Market Structure, Players And Evolution, Norges Bank Working Paper, No:10. http://www.unich.it/ ~vitale/ Rime-2.pdf.
  • Krichene, N. (2003). Modeling Stochastic Volatility with Application To Stock Returns. IMF Working Paper, No:03/125. https://www.imf.org/en/Publications/WP/Issues/2016/12/30 /.
  • Kumar, D. & Maheswaran, S. (2013). Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors. The Journal of Applied Economic Research, 7: 61-91.
  • Kyle, A.S. (1985).Continuous auctions and inseder trading. Econometrica, 53, 1315-1335.
  • Lo, A.W. (2004). The Adaptive market hypothesis: Market efficiency from an evolutionary Perspective, The Journal of Portfolio Management 30th Anniversary Issue, 30 (5) 15-29.
  • Ma, X., Wang, J., & Sun, X. (2018). A Study On The Dynamics of Exchange Rate Volatility Spillover Network: Evidence From Central Asia. Procedia Computer Science, 139, 76-81.
  • McMillian, D.G., & Speight, A.E.H. (2010). Return and Volatility Spillovers in Three Euro Exchange Rates. Journal of Economics and Business, 62 (2010), 79-93.
  • Mensi, W., Hammudeh, S. & Yoon, S.M .(2014). How Do OPEC News and Structural Breaks Impact Returns and Volatility in Crude Oil Markets?. Further Evidence from a Long Memory Process. Energy Economics, 42: 343–354.
  • Mühleisen, M. (2010). A New Index of Currency Mismatch and Systemic Risk, IMF Working Paper WP/10/263. file:///C:/Users/asus/Downloads/_wp10263.pdf.
  • Nakajima, T., & Hamori, S. (2012). Causality in Mean and Causality in Variance Among Electricity Prices, Crude Oil Prices, and Yen-US Dollar Exchange Rates in Japan. Research In International Business and Finance, 26(2012), 371-386.
  • Özatay, F. (2012). Para Politikasında Yeni Arayışlar. İktisat İşletme ve Finans, 27 (315), 51-75.
  • Panda, A., Nanda, S., Singh, V. & Kumar, S. (2019). Evidence Of Leverage Effects And Volatility Spillover Among Exchange Rates Of Selected Emerging And Growth Leading Economies. Journal Of Financial Economic Policy, 11(2), 174-192.
  • Papież, M. & Śmiech,S.(2013). Causality-in-Mean And Causality-in-Variance Within The International Steam Coal Market. Energy Economics, 36, 594–604
  • Rajhans, R.K. & Jain, A. (2015). Volatility Spillover in Foreign Exchange Markets. Paradigm, 19(2), 137-151.
  • Robinson, P.M. & Henry, M. (1999). Long and Short Memory Conditional Heteroskedasticity in Estimating the Memory Parameter of Levels. Econometric Theory, 15 (3): 299-336.
  • Rodrigues, P.M.M. & Rubia, M. (2007). Testing For Causality in Variance Under Nonstationarity in Variance, Economic Letters, 97,133-137.
  • Ross, S.A.(1989).Information And Volatility : The No-Arbitrage Martingale Approach To Timing And Resolution İrrelevancy. Journal of Finance, 44,1-17.
  • van Dijk, D.,Osborn, D.R. & Sensier, M. (2005). Testing For Causality in Variance in The Presence Of Breaks, Economics Letters, 89, 193–199.
  • Xua, H. & Hamorib, S.(2012).Dynamic Linkages Of Stock Prices Between The Brıcs And The United States: Effects Of The 2008–09 Financial Crisis. Journal of Asian Economics, 23, 344–352.
  • Yao, Y.C. (1988). Estimating the Number of Change-Points via Schwarz’ Criterion. Statistics and Probability Letters, 6 (3): 181–189.
Toplam 45 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Önder Büberkökü 0000-0002-7140-557X

Celal Kızıldere 0000-0001-9904-0472

Gamze Sevimli Örgün 0000-0002-4233-8363

Yayımlanma Tarihi 21 Aralık 2022
Gönderilme Tarihi 8 Ağustos 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 7 Sayı: 14

Kaynak Göster

APA Büberkökü, Ö., Kızıldere, C., & Sevimli Örgün, G. (2022). DÖVİZ KURLARI ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMININ İNCELENMESİ: TÜRKİYE ÖRNEĞİ. Van Yüzüncü Yıl Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 7(14), 182-205. https://doi.org/10.54831/vanyyuiibfd.1159073