An analysis on determination the Turkish foreign exchange market bubbles: The case of Turkey

Year 2019, Issue: 54, 447 - 460, 31.12.2019

Muharrem Afşar , Aslı Afşar , Emrah Doğan

https://doi.org/10.18070/erciyesiibd.461888

Cited By: 3

Abstract

The volatility in financial
markets and the sharp increases in asset prices cause bubbles. In today's global
financial order, due to the fact that financial assets stand out from day to
day, they cause excessive swelling in the prices of financial assets and force
the real economy. On the other hand, the explosion of bubbles formed by
financial assets with excessive swelling prices is threatening the economic
stability. In this context, the analysis and determination of the presence of
bubbles in the foreign exchange markets, which are the reflection of daily
fluctuations in the financial markets, becomes more important. In this study,
with reference to USD / TRY and EUR / TRY exchange rates, it has been
investigated whether there is the bubble in Turkish Exchange Market for the
period of 2005:01-2018:11. To do this, Generalized SADF (GSADF) test were used
to determine the bubbles. The results show that there is strong empirical
evidence in support of speculative bubbles occur in USD / TL and EURO / TL
exchange rates in the Turkish Foreign Exchange Market.

Keywords

Exchange Rates, Bubbles, GSADF

Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği

Abstract

Varlık fiyatlarındaki keskin
artışların finansal piyasalarda oluşturduğu balonlar büyük ölçüde volatiliteden
kaynaklanmaktadır. Günümüz küresel finans düzeninde, finansal varlıkların
günden güne ön plana çıkması finansal varlıklıkların fiyatlarında aşırı
şişkinlik yaratmakta ve reel ekonomiyi zorlamaktadır. Öte yandan aşırı şişkin
fiyatlara sahip finansal varlıkların oluşturduğu balonların patlaması da
ekonomik istikrarı tehdit eder hale gelmektedir. Bu bağlamda, finansal
gidişatta günlük dalgalanmaların yansıması niteliğindeki döviz piyasalarında
balonların varlığının analizi ve tespiti daha önemli hale gelmektedir. Bu
çalışmada, 2005:01 ile 2018:11 dönemi için USD/TL ve EURO/TL döviz kuru
verilerinden hareketle, Türkiye döviz piyasalarında balonunun var olup olmadığı
araştırılmıştır. Bu amaçla, balonların varlığının tespit edilmesi için
Genelleştirilmiş SADF (GSADF) testi kullanılmıştır. Elde edilen sonuçlar,
Türkiye döviz piyasasında USD/TL ve EURO/TL döviz kurlarında spekülatif
balonların oluştuğunu destekleyen güçlü ampirik kanıtlar olduğunu
göstermektedir.

Keywords

Döviz Kurları, Balonlar, GSADF

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