Araştırma Makalesi
BibTex RIS Kaynak Göster
Yıl 2019, Cilt: 29 Sayı: 2, 247 - 258, 30.08.2019
https://doi.org/10.18069/firatsbed.535254

Öz

Kaynakça

  • Ames, M., Bagnarosa, G., Peters, G. W. (2017), “Violations of uncovered interest rate parity and international exchange rate dependences”. Journal of International Money and Finance, 73, ss. 162-187.Aydın, Faruk M., Us, Vuslat. (2007), “Carry Trade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, Cilt:2, Sayı:3, ss.175-185.Aye, G. C., Balcilar, M., Dunne, J. P., Gupta, R., Van Eyden, R. (2014), “Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa”. Defence and Peace Economics, 25(6), ss. 619-633.Bai, J., Perron, P. (2003a), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, 2003(a)/18, ss. 1-22.Bai, J., Perron, P. (2003b), “Critical Values for Multiple Structural Change Tests”, Econometrics Journal, 6, ss. 72-78.Balcilar, M., Özdemir, Z.A., Arslanturk Y,. (2010) “Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window.” Energy Economics, 32(6) ss. 1398-1410.Bhansali, V. (2007), “Volatility and the Carry Trade”, Journal of Fixed Income, 17 (3), ss. 72-84.Bleaney, M., Laxton, D. (2003), “Real Interest Rates and Real Exchange Rates: Evidence From Indexed Bonds”. The Manchester School,71(1), ss. 65-77.Cavallo, M. (2006), “Interest Rates, Carry Trades and, Exchange Rate Movements”. FRBSF Economic Letters, 31, ss. 1-3.Christiansen, C., Ranaldo, A., Söderlind, P. (2011), ”The Time‐Varying Systematic Risk of Carry Trade Strategies”, Journal of Financial and Quantitative Analysis, 46, ss. 1107-1125.Clarida, R., Davis, J., Pedersen, N. (2009), “Currency Carry Trade Regimes: Beyond The Fama Regression,” Journal of Int. Money and Finance, 28(8), ss. 1375-1389.Czech, K., Washkovski, A. (2012), “Financial Determinants of Carry Trade Activity”, Oeconomia, 11(4), ss. 15-22.Dickey, D. A., Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, ss. 1057-1072.Efron, B. (1979), “Bootstrap Methods: Another Look at the Jackknife.” Annals of Statistics, 7, ss. 1-26.Ferreira, A.L. (2009), “Is it risk? An Automated Approach to Explain The Ex-Ante UIP Deviations of Brazil”. Cuadernos de Economia, 46, ss. 51-66.Flood, R., Rose, A. (2002), “Uncovered Interest Parity In Crisis”, IMF Staff Papers, 49(2), ss. 252-266.Frankel, J. (2007), “Getting Carried Away: How the Carry Trade and Its Potential Unwinding Can Explain Movements in International Financial Markets”, The Milken Institute Review.Gacener Atış, A., Erer, D., (2016) “Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi” Türkiye Ekonomi Kurumu Uluslararası Ekonomi Konferansı, Bildiri Kitabı, ss. 488-501.Gagnon, J.E., Chaboud, A.P. (2007) “What Can the Data Tell Us About Carry Trades in Japanese Yen?” Board of Governors of The Federal Reserve System, International Finance Discussion Papers. Eylül, (899).Galati, G., Heath, A., McGuire, P. (2007), “Evidence of carry trade activity.” BIS Quarterly Review, ss. 27-41.Hochradl, M., Wagner, C. (2010), “Trading the Forward Bias: Are There Limits to Speculation?”, Journal of International Money and Finance, 29, ss. 423-441.Hoffmann, A., (2012), “Determinants of Carry Trades In Central and Eastern Europe”, Applied Financial Economics, 22(18), ss. 1479-1490.International Monetary Fund, (2008), “Financial Stress and Deleveraging, Macrofinancial Implications and Policy” World Economic and Financial Surveys-Global Financial Stability Report, October 2008.Jurek, J. W. (2014), “Crash-Neutral Currency Carry Trades”. Journal of Financial Economics, 2014/113(3), ss. 325-347.Kim, S-J. (2015), “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”, International Review of Financial Analysis, 40, ss. 64-75.Kirikos, D.G. (2002), “Discrete Policy Interventions And Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited”. International Journal of Finance and Economics, ss. 327-338.MacKinnon, J. G. (1996), ‘Numerical Distribution Functions for Unit Root and Cointegration Tests’, Journal of Applied Econometrics, 11, ss. 601-618.Moosa, I., Halteh, P. (2012), “The Profitability of Carry Trade Relative to a Forecasting-Based Strategy”, Journal of International Economics, 65, ss. 605-621.Mutafoglu, T.H. (2011), “A Note on Carry Trade and the Related Financial Variables”, International Journal of Economics and Finance, 3(3), ss. 91-96.Nishigaki, H. (2007) ”Relationship between the Yen Carry Trade and the Related Financial Variables”, Economics Bulletin, 13(2) ss. 1-7.Olmo, J., Pilbeam, K. (2009), “The Profitability of Carry Trades”. Annals of Finance, 5(2), ss. 231-241.Öner Badurlar, İ. (2009), “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1) ss. 53-74.Phillips, P. C. (1988), Perron, P., “Testing For A Unit Root In Time Series Regression”. Biometrika, 75(2), ss. 335-346.Sakarya, B., Ateş, F. (2016), “Carry Trade (Ara Kazanç) Strateji ve Belirleyicileri Üzerine Bir Çalışma”, Second International Conference on Applied Economics and Finance, Conference Full Paper Proceedings Book, ss. 25-34.Taylor, M. P. (1995), “The Economics of Exchange Rates,” Journal of Economic Literature, 33, ss. 13-47.Toda, H. Y., and T. Yamamoto. (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics, 66 ss. 225-250.

CARRY TRADE YATIRIMLARI VE TEMEL BELİRLEYİCİLERİ ARASINDAKİ ROLLİNG WİNDOW NEDENSELLİK İLİŞKİSİ: TÜRKİYE ÖRNEĞİ

Yıl 2019, Cilt: 29 Sayı: 2, 247 - 258, 30.08.2019
https://doi.org/10.18069/firatsbed.535254

Öz

Düşük
faiz oranına sahip ülkeden borç alarak, faiz oranlarının yüksek olduğu
ülkelerde ödünç vermek suretiyle getiri elde etmek şeklinde tanımlanan carry
trade yatırım stratejisi, son yıllarda oldukça önem kazanmıştır. Düşük kur
oynaklığında, ülkeler arasındaki faiz oranı farklılıklarından kazanç elde
etmeye dayanan carry trade yatırımları; Türkiye gibi gelişmekte olan ülkelere
yönelik kısa vadeli sermaye hareketlerinin önemli kısmını oluşturmaktadır. Bu
kapsamda, carry trade yatırımlarının temel belirleyicileri olan döviz kuru ve
faiz oranı farklılıkları ile olan ilişkinin oluşma sıklığı ve uzunluğunun
tespit edilmesi önem arz etmektedir. Bu çalışmada Türkiye için 2005:09 ve
2018:08 döneminde ABD doları bazında gerçekleşen carry trade işlem hacmi ve
belirleyicileri arasındaki nedensellik ilişkisi rolling window test yöntemiyle incelenmiştir.
Rolling window test sonuçlarına göre;
nominal döviz kuru ve faiz oranı farklılıklarından carry trade işlem hacmine
doğru güçlü nedensellik ilişkileri bulunmaktadır.

Kaynakça

  • Ames, M., Bagnarosa, G., Peters, G. W. (2017), “Violations of uncovered interest rate parity and international exchange rate dependences”. Journal of International Money and Finance, 73, ss. 162-187.Aydın, Faruk M., Us, Vuslat. (2007), “Carry Trade: Gelişmeler ve Riskler”, TİSK Akademi Dergisi, Cilt:2, Sayı:3, ss.175-185.Aye, G. C., Balcilar, M., Dunne, J. P., Gupta, R., Van Eyden, R. (2014), “Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa”. Defence and Peace Economics, 25(6), ss. 619-633.Bai, J., Perron, P. (2003a), “Computation and Analysis of Multiple Structural Change Models”, Journal of Applied Econometrics, 2003(a)/18, ss. 1-22.Bai, J., Perron, P. (2003b), “Critical Values for Multiple Structural Change Tests”, Econometrics Journal, 6, ss. 72-78.Balcilar, M., Özdemir, Z.A., Arslanturk Y,. (2010) “Economic Growth and Energy Consumption Causal Nexus Viewed Through a Bootstrap Rolling Window.” Energy Economics, 32(6) ss. 1398-1410.Bhansali, V. (2007), “Volatility and the Carry Trade”, Journal of Fixed Income, 17 (3), ss. 72-84.Bleaney, M., Laxton, D. (2003), “Real Interest Rates and Real Exchange Rates: Evidence From Indexed Bonds”. The Manchester School,71(1), ss. 65-77.Cavallo, M. (2006), “Interest Rates, Carry Trades and, Exchange Rate Movements”. FRBSF Economic Letters, 31, ss. 1-3.Christiansen, C., Ranaldo, A., Söderlind, P. (2011), ”The Time‐Varying Systematic Risk of Carry Trade Strategies”, Journal of Financial and Quantitative Analysis, 46, ss. 1107-1125.Clarida, R., Davis, J., Pedersen, N. (2009), “Currency Carry Trade Regimes: Beyond The Fama Regression,” Journal of Int. Money and Finance, 28(8), ss. 1375-1389.Czech, K., Washkovski, A. (2012), “Financial Determinants of Carry Trade Activity”, Oeconomia, 11(4), ss. 15-22.Dickey, D. A., Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, ss. 1057-1072.Efron, B. (1979), “Bootstrap Methods: Another Look at the Jackknife.” Annals of Statistics, 7, ss. 1-26.Ferreira, A.L. (2009), “Is it risk? An Automated Approach to Explain The Ex-Ante UIP Deviations of Brazil”. Cuadernos de Economia, 46, ss. 51-66.Flood, R., Rose, A. (2002), “Uncovered Interest Parity In Crisis”, IMF Staff Papers, 49(2), ss. 252-266.Frankel, J. (2007), “Getting Carried Away: How the Carry Trade and Its Potential Unwinding Can Explain Movements in International Financial Markets”, The Milken Institute Review.Gacener Atış, A., Erer, D., (2016) “Türkiye Ekonomisinin Carry Trade Odaklı Büyüme Trendi: 2002-2016 Dönemi Analizi” Türkiye Ekonomi Kurumu Uluslararası Ekonomi Konferansı, Bildiri Kitabı, ss. 488-501.Gagnon, J.E., Chaboud, A.P. (2007) “What Can the Data Tell Us About Carry Trades in Japanese Yen?” Board of Governors of The Federal Reserve System, International Finance Discussion Papers. Eylül, (899).Galati, G., Heath, A., McGuire, P. (2007), “Evidence of carry trade activity.” BIS Quarterly Review, ss. 27-41.Hochradl, M., Wagner, C. (2010), “Trading the Forward Bias: Are There Limits to Speculation?”, Journal of International Money and Finance, 29, ss. 423-441.Hoffmann, A., (2012), “Determinants of Carry Trades In Central and Eastern Europe”, Applied Financial Economics, 22(18), ss. 1479-1490.International Monetary Fund, (2008), “Financial Stress and Deleveraging, Macrofinancial Implications and Policy” World Economic and Financial Surveys-Global Financial Stability Report, October 2008.Jurek, J. W. (2014), “Crash-Neutral Currency Carry Trades”. Journal of Financial Economics, 2014/113(3), ss. 325-347.Kim, S-J. (2015), “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”, International Review of Financial Analysis, 40, ss. 64-75.Kirikos, D.G. (2002), “Discrete Policy Interventions And Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited”. International Journal of Finance and Economics, ss. 327-338.MacKinnon, J. G. (1996), ‘Numerical Distribution Functions for Unit Root and Cointegration Tests’, Journal of Applied Econometrics, 11, ss. 601-618.Moosa, I., Halteh, P. (2012), “The Profitability of Carry Trade Relative to a Forecasting-Based Strategy”, Journal of International Economics, 65, ss. 605-621.Mutafoglu, T.H. (2011), “A Note on Carry Trade and the Related Financial Variables”, International Journal of Economics and Finance, 3(3), ss. 91-96.Nishigaki, H. (2007) ”Relationship between the Yen Carry Trade and the Related Financial Variables”, Economics Bulletin, 13(2) ss. 1-7.Olmo, J., Pilbeam, K. (2009), “The Profitability of Carry Trades”. Annals of Finance, 5(2), ss. 231-241.Öner Badurlar, İ. (2009), “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1) ss. 53-74.Phillips, P. C. (1988), Perron, P., “Testing For A Unit Root In Time Series Regression”. Biometrika, 75(2), ss. 335-346.Sakarya, B., Ateş, F. (2016), “Carry Trade (Ara Kazanç) Strateji ve Belirleyicileri Üzerine Bir Çalışma”, Second International Conference on Applied Economics and Finance, Conference Full Paper Proceedings Book, ss. 25-34.Taylor, M. P. (1995), “The Economics of Exchange Rates,” Journal of Economic Literature, 33, ss. 13-47.Toda, H. Y., and T. Yamamoto. (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes.” Journal of Econometrics, 66 ss. 225-250.
Toplam 1 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm İktisadi ve İdari Bilimler
Yazarlar

Mehmet Temiz 0000-0002-4741-9680

Yayımlanma Tarihi 30 Ağustos 2019
Gönderilme Tarihi 4 Mart 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 29 Sayı: 2

Kaynak Göster

APA Temiz, M. (2019). CARRY TRADE YATIRIMLARI VE TEMEL BELİRLEYİCİLERİ ARASINDAKİ ROLLİNG WİNDOW NEDENSELLİK İLİŞKİSİ: TÜRKİYE ÖRNEĞİ. Fırat Üniversitesi Sosyal Bilimler Dergisi, 29(2), 247-258. https://doi.org/10.18069/firatsbed.535254