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Döviz kuru rejimlerinin kur oynaklığı üzerine etkisi: Türkiye örneği

Author

Listed:
  • Duygu AYHAN

    (Dokuz Eylül Üniversitesi)

Abstract

Bu çalışma, Türkiye’de 1980-2005 dönemi için kur rejimlerinin kur oynaklığına etkisini “de jure” ve “de facto” kur rejimleri sınıflandırması kapsamında incelemektedir. Kur oynaklığının en yüksek olduğu kur rejimini bulmak ve döviz kuru serisinin finansal zaman serisi özelliklerini belirlemek amacıyla, GARCH ve EGARCH gibi simetrik ve asimetrik koşullu varyans modelleri kullanılmıştır. Ampirik bulgulara göre, GARCH (1,1) modelinde, kur oynaklığı üzerinde kısa hafıza daha baskındır (güçlü ARCH etkisi) ve döviz kuruna yönelik şokların kalıcılığı azalmaktadır. EGARCH (1,1) modelinde, asimetrik etkinin varlığı söz konusudur. “Aşırı basıklık”, döviz kuru serisinin leptokurtotik dağıldığını göstermektedir. Beklenenin aksine, hem “de jure”, hem “de facto” kur rejimleri kapsamında “dalgalı kur”, “yönetimli dalgalanma” ve “sürünen parite”nin kur oynaklığı üzerine etkisi aynıdır.

Suggested Citation

  • Duygu AYHAN, 2006. "Döviz kuru rejimlerinin kur oynaklığı üzerine etkisi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 21(245), pages 64-76.
    • Handle: RePEc:iif:iifjrn:v:21:y:2006:i:245:p:64-76
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    Citations

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    Cited by:

    1. Alper YILMAZ & Huseyin ALTAY, 2016. "Ithal Ham Petrol Fiyatlari ve Doviz Kuru Arasindaki Esbutunlesme ve Oynaklik Yayilma Etkisinin Incelenmesi: Turkiye Ornegi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 655-671.

    More about this item

    Keywords

    kur rejimleri; kur oynaklığı; koşullu varyans modelleri;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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