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GETİRİ VE VOLATİLİTENİN ETKİLEŞİMİ: AMERİKA VE TÜRKİYE TAHVİL PİYASALARI ÖRNEĞİ

Year 2020, Volume: 10 Issue: 1, 403 - 424, 22.06.2020
https://doi.org/10.30783/nevsosbilen.616093

Abstract

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

References

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  • Ahmad, W., Mishra A. V., Daly, K. J. (2018). Financial Connectedness Of BRICS And Global Sovereign Bond Markets. Emerging Markets Review, 37, 1-16.
  • Andersen T. G., Bollerslev, T. (1998). Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, Economic Review, 39(4), 885-905
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327
  • Bowman, D., Londono, J. M., Sapriza, H. (2015). U.S. Unconventional Monetary Policy And Transmission To Emerging Market Economies. Journal of International Money and Finance, 55, 27-59.
  • Bunda, I., Hamann A. J., Lall, S. (2009). Correlations İn Emerging Market Bonds: The Role Of Local And Global Factors. Emerging Markets Review, 10, 67-96.
  • Chaker, A., Besma., H. (2014). Co-Movements Of GCC Emerging Stock Markets: New Evidence From Wavelet Coherence Analysis, Economic Modelling, 26, 421-431.
  • Crowley, P. (2007). A Guide To Wavelets For Economists. Journal of Economic Surveys, 21, 207-267.
  • Dhamala, M., Rangarajan, G. Ding, M. (2008a). Estimating Granger Causality from Fourier and Wavelet Transforms of Time Series Data. Physical review Letters, 100, 018701.
  • Dhamala, M., Rangarajan, G. And Ding, M. (2008b). Analyzing Information Flow in Brain Networks with Nonparametric Granger Causality. Neuro Image, 41, 354-362.
  • Ehrmann, M. , Fratzscher, M., Rigobon, R. (2011), Stocks, Bonds, Money Markets And Exchange Rates: Measuring İnternational Financial Transmission. J. Appl. Econ., 26, 948-974.
  • Engle, R. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom Inflation, Econometrica, 50(4), 987-1007.
  • Fan ,Y., Gençay, R .(2010). Unit Root Tests With Wavelets. Econometric Theory, 26, 1305-1331.
  • Gallegati, M., Gallegati, M. (2001). Wavelet Variance Analysis Of Output G-7 Countries. Studies İn Nonlinear Dynamics Econometrics, 11, 1435-1455.
  • Gallegati M, Gallegati, M., Ramsey, J. B., Semmler, W. (2011). The US Wage Phillips Curve Across Frequencies Over Time. Oxford Bulletin of Economics and Statistics, 73, 489-508.
  • Gençay, R., Selçuk, F., Whicher, B. (2001). An Inroduction To Wavelets And Other Filtering Methods İn Finance And Economic, San Diego: CA: Akademic Press.
  • Gilchrist, S., Vivian Y., Zakrajsek, E. (2018). US Monetary Policy And İnternational Bond Markets. Finance And Economics Discussion Series, Washington: Board of Governors of the Federal Reserve System, 2018-014.
  • Granger, C. W. J. (1969). Investigating Causal Relations By Econometric Models And Cross-Spectral Methods, Econometrica, 37, 424-438.
  • Inclan, C., Tiao. G .C. (1994). Use of Cumulative Sums of Squares For Retrospective Detection of Changes of Variance, Journal of the American Statistical Association, 89, 913–923
  • Kumar, M. S., Okimoto, T. (2011) .Dynamics Of İnternational İntegration Of Government Securities’ markets. Journal of Banking & Finance, 35, 142-154.
  • Laopodis, N. T. (2008). Government Bond Market Integration Within European Union. International Research Journal of Finance and Economics, 19, 56-76.
  • Martínez, J. M P., Abadie, L. M., Macho, J. F. (2018). A Multi-Resolution And Multivariate Analysis Of The Dynamic Relationships Between Crude Oil And Petroleum-Product Prices. Applied Energy, 228, 1550-1560.
  • Miyajima, K., Mohanty, M. S., Chan, T. (2015). Emerging Market Local Currency Bonds: Diversification And Stability. Emerging Markets Review, 22, 2015, 126-139.
  • Nowak, S., Andritzky, J., Jobst, A., Tamirisa, N. (2011). Macroeconomic Fundamentals, Price Discovery, And Volatility Dynamics İn Emerging Bond Markets. Journal of Banking & Finance, 35, 2584-2597.
  • Olayeni, O. R. (2013). Analyzing the Feldstein-Horioka Puzzle In Continuous Wavelet Transform, Economics Bulletin, 33(4), 1995 - 3005
  • Olayeni, O. R. (2016). Causality In Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory And Application. Computational Economics, 47, 321-340.
  • Piljak, V. (2013). Bond Markets Co-Movement Dynamics And Macroeconomic Factors: Evidence From Emerging And Frontier Markets. Emerging Markets Review, 17, 29-43
  • Piljak, V., Swinkels, L. (2017). Frontier and Emerging Government Bond Markets. Emerging Markets Review. 30, 232-255.
  • Rua, A. (2013). Worldwide synchronization Since The Nineteenth Century: A Wavelet Based View. Applied Economics Letters, 20, 773–776.
  • Rua, A. ve Nunes, N.C. (2012). A Wavelet-Based Assessment Of Market Risk: The Emerging Markets Case. The Quarterly Review of Economics and Finance, 52, 84– 92.
  • Tiwari A. K. (2013). Oil Prices And The Macroeconomy Reconsideration For Germany: Using Continuous Wavelet. Economic Modelling, 30, 636 – 642.
  • Tiwari, A. K., Bhanja, N., Dar, A. B. (2013). Analyzing Time–Frequency Based Co-Movement In Inflation: Evidence From G-7 Countries. Comput. Econ, 45: 91.
  • Tiwari A. K., Olayeni O. R. (2013). Oil Prices And Trade Balance: A Wavelet-Based Analysis For India. Economics Bulletin, 3383,2270-2286.
  • Tiwari, A. K., Oros, C., Albulescu, C. T. (2014). Revisiting The İnflation –Output Gap Relationship For France Using A Wavelet Tarnsform Approach. Economic Modelling, 37, 464-475.
  • Tiwari, A. K., Albulescu, C. T. (2016). Oil Price And Exchange Rate İn India: Fresh Evidence From Continuous Wavelet Approach And Asymmetric, Multi-Horizon Granger-Causality Tests. Applied Energy, 179, 272-283.
  • Tiwari, A. K., Bhattacharyya, M., Das, D., Shahbaz, M. (2018). Output And Stock Prices: New Evidence From The Robust Wavelet Approach. Finance Research Letters, 27, 154-160.
  • Uddin, G. S., Tiwari, A. K., Arouri, M., Teulon F. (2013). On The Relationship Between Oil Price And Exchange Rates: A Wavelet Analysis. Economic Modelling, 35, 502-507.
  • Vacha, L. ve Barunik, J. (2012). Co-Movement Of Energy Commodities Revisited: Evidence From Wavelet Coherence Analysis, Energy Economics, 34, 241-247.
  • Vo, X. V. (2009). International Financial Integration In Asian Bond Markets. Research in International Business and Finance, 23, pp. 90-106.
  • Yogo, M. (2008). Measuring Business Cycles: A Wavelet Analysis Of Economic Time Series. Economics Letters, 100,208-212.
Year 2020, Volume: 10 Issue: 1, 403 - 424, 22.06.2020
https://doi.org/10.30783/nevsosbilen.616093

Abstract

References

  • Aguiar-Conraria, L., Soares, M. J. (2014). The Continuous Wavelet Transform: Moving Beyond Uni- And Bivariate Analysis. Journal of Economic Surveys, 28, 344–375.
  • Ahmad, W., Mishra A. V., Daly, K. J. (2018). Financial Connectedness Of BRICS And Global Sovereign Bond Markets. Emerging Markets Review, 37, 1-16.
  • Andersen T. G., Bollerslev, T. (1998). Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, Economic Review, 39(4), 885-905
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327
  • Bowman, D., Londono, J. M., Sapriza, H. (2015). U.S. Unconventional Monetary Policy And Transmission To Emerging Market Economies. Journal of International Money and Finance, 55, 27-59.
  • Bunda, I., Hamann A. J., Lall, S. (2009). Correlations İn Emerging Market Bonds: The Role Of Local And Global Factors. Emerging Markets Review, 10, 67-96.
  • Chaker, A., Besma., H. (2014). Co-Movements Of GCC Emerging Stock Markets: New Evidence From Wavelet Coherence Analysis, Economic Modelling, 26, 421-431.
  • Crowley, P. (2007). A Guide To Wavelets For Economists. Journal of Economic Surveys, 21, 207-267.
  • Dhamala, M., Rangarajan, G. Ding, M. (2008a). Estimating Granger Causality from Fourier and Wavelet Transforms of Time Series Data. Physical review Letters, 100, 018701.
  • Dhamala, M., Rangarajan, G. And Ding, M. (2008b). Analyzing Information Flow in Brain Networks with Nonparametric Granger Causality. Neuro Image, 41, 354-362.
  • Ehrmann, M. , Fratzscher, M., Rigobon, R. (2011), Stocks, Bonds, Money Markets And Exchange Rates: Measuring İnternational Financial Transmission. J. Appl. Econ., 26, 948-974.
  • Engle, R. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom Inflation, Econometrica, 50(4), 987-1007.
  • Fan ,Y., Gençay, R .(2010). Unit Root Tests With Wavelets. Econometric Theory, 26, 1305-1331.
  • Gallegati, M., Gallegati, M. (2001). Wavelet Variance Analysis Of Output G-7 Countries. Studies İn Nonlinear Dynamics Econometrics, 11, 1435-1455.
  • Gallegati M, Gallegati, M., Ramsey, J. B., Semmler, W. (2011). The US Wage Phillips Curve Across Frequencies Over Time. Oxford Bulletin of Economics and Statistics, 73, 489-508.
  • Gençay, R., Selçuk, F., Whicher, B. (2001). An Inroduction To Wavelets And Other Filtering Methods İn Finance And Economic, San Diego: CA: Akademic Press.
  • Gilchrist, S., Vivian Y., Zakrajsek, E. (2018). US Monetary Policy And İnternational Bond Markets. Finance And Economics Discussion Series, Washington: Board of Governors of the Federal Reserve System, 2018-014.
  • Granger, C. W. J. (1969). Investigating Causal Relations By Econometric Models And Cross-Spectral Methods, Econometrica, 37, 424-438.
  • Inclan, C., Tiao. G .C. (1994). Use of Cumulative Sums of Squares For Retrospective Detection of Changes of Variance, Journal of the American Statistical Association, 89, 913–923
  • Kumar, M. S., Okimoto, T. (2011) .Dynamics Of İnternational İntegration Of Government Securities’ markets. Journal of Banking & Finance, 35, 142-154.
  • Laopodis, N. T. (2008). Government Bond Market Integration Within European Union. International Research Journal of Finance and Economics, 19, 56-76.
  • Martínez, J. M P., Abadie, L. M., Macho, J. F. (2018). A Multi-Resolution And Multivariate Analysis Of The Dynamic Relationships Between Crude Oil And Petroleum-Product Prices. Applied Energy, 228, 1550-1560.
  • Miyajima, K., Mohanty, M. S., Chan, T. (2015). Emerging Market Local Currency Bonds: Diversification And Stability. Emerging Markets Review, 22, 2015, 126-139.
  • Nowak, S., Andritzky, J., Jobst, A., Tamirisa, N. (2011). Macroeconomic Fundamentals, Price Discovery, And Volatility Dynamics İn Emerging Bond Markets. Journal of Banking & Finance, 35, 2584-2597.
  • Olayeni, O. R. (2013). Analyzing the Feldstein-Horioka Puzzle In Continuous Wavelet Transform, Economics Bulletin, 33(4), 1995 - 3005
  • Olayeni, O. R. (2016). Causality In Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory And Application. Computational Economics, 47, 321-340.
  • Piljak, V. (2013). Bond Markets Co-Movement Dynamics And Macroeconomic Factors: Evidence From Emerging And Frontier Markets. Emerging Markets Review, 17, 29-43
  • Piljak, V., Swinkels, L. (2017). Frontier and Emerging Government Bond Markets. Emerging Markets Review. 30, 232-255.
  • Rua, A. (2013). Worldwide synchronization Since The Nineteenth Century: A Wavelet Based View. Applied Economics Letters, 20, 773–776.
  • Rua, A. ve Nunes, N.C. (2012). A Wavelet-Based Assessment Of Market Risk: The Emerging Markets Case. The Quarterly Review of Economics and Finance, 52, 84– 92.
  • Tiwari A. K. (2013). Oil Prices And The Macroeconomy Reconsideration For Germany: Using Continuous Wavelet. Economic Modelling, 30, 636 – 642.
  • Tiwari, A. K., Bhanja, N., Dar, A. B. (2013). Analyzing Time–Frequency Based Co-Movement In Inflation: Evidence From G-7 Countries. Comput. Econ, 45: 91.
  • Tiwari A. K., Olayeni O. R. (2013). Oil Prices And Trade Balance: A Wavelet-Based Analysis For India. Economics Bulletin, 3383,2270-2286.
  • Tiwari, A. K., Oros, C., Albulescu, C. T. (2014). Revisiting The İnflation –Output Gap Relationship For France Using A Wavelet Tarnsform Approach. Economic Modelling, 37, 464-475.
  • Tiwari, A. K., Albulescu, C. T. (2016). Oil Price And Exchange Rate İn India: Fresh Evidence From Continuous Wavelet Approach And Asymmetric, Multi-Horizon Granger-Causality Tests. Applied Energy, 179, 272-283.
  • Tiwari, A. K., Bhattacharyya, M., Das, D., Shahbaz, M. (2018). Output And Stock Prices: New Evidence From The Robust Wavelet Approach. Finance Research Letters, 27, 154-160.
  • Uddin, G. S., Tiwari, A. K., Arouri, M., Teulon F. (2013). On The Relationship Between Oil Price And Exchange Rates: A Wavelet Analysis. Economic Modelling, 35, 502-507.
  • Vacha, L. ve Barunik, J. (2012). Co-Movement Of Energy Commodities Revisited: Evidence From Wavelet Coherence Analysis, Energy Economics, 34, 241-247.
  • Vo, X. V. (2009). International Financial Integration In Asian Bond Markets. Research in International Business and Finance, 23, pp. 90-106.
  • Yogo, M. (2008). Measuring Business Cycles: A Wavelet Analysis Of Economic Time Series. Economics Letters, 100,208-212.
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Erdost Torun This is me 0000-0002-0946-2813

Erhan Demireli 0000-0002-3457-0699

Publication Date June 22, 2020
Published in Issue Year 2020 Volume: 10 Issue: 1

Cite

APA Torun, E., & Demireli, E. (2020). GETİRİ VE VOLATİLİTENİN ETKİLEŞİMİ: AMERİKA VE TÜRKİYE TAHVİL PİYASALARI ÖRNEĞİ. Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi, 10(1), 403-424. https://doi.org/10.30783/nevsosbilen.616093