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KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ

Year 2023, Volume: 18 Issue: 69, 151 - 171, 03.02.2023

Deniz Erer , Aydanur Gacener Atış

https://doi.org/10.19168/jyasar.1169384

Abstract

Bu çalışmanın amacı, Türkiye, İngiltere ve ABD’de carry trade faaliyetinin temel belirleyicilerini küresel risk algısının yüksek ve düşük olduğu dönemler açısından analiz etmektir. TVAR modelinden elde edilen sonuçlara göre, faiz oranları farkının küresel risk algısının gerek yüksek gerekse düşük olduğu dönemlerde carry trade faaliyetinin arkasındaki temel unsur olduğu görülmüştür. Döviz kuru belirsizliği, küresel risk algısının yüksek olduğu dönemde Türkiye ve İngiltere’de carry trade faaliyetinden vazgeçilmesine neden olan bir unsurken, küresel risk algının düşük olduğu dönemde anlamlı bir etkisinin olmadığı, ABD’de ise döviz kuru oynaklığındaki artışa rağmen yatırımcıların carry trade faaliyetlerini gerçekleştirmeye devam ettiği tespit edilmiştir.

Keywords

Carry trade Karşılanmamış faiz oranı paritesi Threshold VAR

References

  • Anzuini, A. and Fornari, F. (2012). Macroeconomic Determinants of Carry Trade Activity. Review of International Economics 20(3), 468-488.
  • Atış, A.G. ve Erer, D. (2019). Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi 27(42): 51-66.
  • Aydın, F. ve Us, V. (2007). “Carry Trade: Gelişmeler ve Riskler”. TİSK Akademi Dergisi, 2(3): 175-185.
  • Badurlar, İ. Ö. (2009). “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1): 53-74.
  • Brunnermeier, M.K., Nagel, S. and Pedersen, L.H. (2008). Carry Trade and Currency Crashes. NBER Macroeconomics Annual, Chapter 5, pp 313-347.
  • Burnside, C. (2009). Carry Trades and Currency Crashes. Ed. Kenneth Rogoff, Michael Woodford, & Daron Acemoglu. NBER Macroeconomics Annual 2008 (23),, pp. 39-359.
  • Cenedese, G.; Sarno, L. and Tsiakas, I. (2014). Foreign Exchange Risk and the Predictability of Carry Trade Returns. Journal of Banking and Finance 42, pp. 302-313.
  • Christiansen, C.; Ranaldo, A. and Söderling, P. (2011). The Time Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysis 46(4), 1107-1125.
  • Clarida, R.; Davis, J. and Pedersen, N. (2009). “Currency Carry Trade Regimes: Beyond the Fama Regression”. Journal of International Money and Finance 28, 1375-1389.
  • Coudert, V. and Mignon, V. (2013). The Forward Premium Puzzle and the Sovereign Default Risk. Journal of International Money and Finance 32, pp. 491-511.
  • Creal, D., Koopman, S.J. and Lucas, A. (2013). ‘Generalized Autoregresive Score Models With Applications’. Journal of Applied Econometrics 28: 777-795.
  • Czech, K. And Waszkowski, A. (2012). Financial Determinants of Carry Trade Activity. Oeconomia 11(4), pp. 16-22.
  • Fama, E. F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics 14 (3), pp. 319-338.
  • Fung, H.G.; Tse, Y. and Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade? Pacific-Basin Finance Journal 25, pp. 200-216.
  • Galati, G., Heath, A. and McGuire, P. (2007). Evidence of Carry Trade Activity. BIS Quarterly Review, September, pp 27-41.
  • Gubler, M. (2014). Carry Trade Activities: A Multivariate Threshold Model Analysis. SNB Working Papers 6/2014.
  • Hoffmann, A. (2012). Determinants of Carry Trades in Central and Eastern Europe. Applied Financial Economics 22(18), pp. 1479-1490.
  • Kim, S. (2015). “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”. International Review of Financial Analysis 40, 64-75.
  • Klitgaard, T. and Weir, L. (2004). Exchange Rate Changes and Net Positions of Speculators in the Futures Market. Federal Reserve Bank of New York Economic Policy Review, May, 17-28.
  • La Marca, M. (2007). Carry Trade and Financial Fragility. United Nations Conference on Trade and Development Coping With Globalized Finance: Recent Challanges and Long-Term Perspective.
  • McKibbin, R. F.; Mohottala, A. and Zheng, J. (2016). The Macroeconomics Effects of the Carry Trade Unwind.
  • Mutafoğlu, T.H. (2011). A Note on Carry Trade and Related Financial Variables. International Journal of Economics and Finance 3(3), 91-96.
  • Nishigaki, H. (2007). Relationship Between the Yen Carry Trade and related Financial Variables. Economics Bulletin 13(2), 1-7.
  • Santos, M.B.C.; Klptzle, M.C. and Pinto, A.C.F. (2016). Evidence of Risk Premiums in Emerging Markey Carry Trade Currencies. Journal of International Financial Markets, Institutions & Money 44, 103-115.
  • Tsay, R.S. (1998). “Testing and Modeling Multivariate Threshold Models”. Journal of the American Statistical Association 93, pp. 1188-1202.

Year 2023, Volume: 18 Issue: 69, 151 - 171, 03.02.2023

Deniz Erer , Aydanur Gacener Atış

https://doi.org/10.19168/jyasar.1169384

Abstract

References

  • Anzuini, A. and Fornari, F. (2012). Macroeconomic Determinants of Carry Trade Activity. Review of International Economics 20(3), 468-488.
  • Atış, A.G. ve Erer, D. (2019). Sermaye Akımlarının Ara Kazanç Ticareti Faaliyetlerine Etkileri: Türkiye Örneği. Sosyoekonomi 27(42): 51-66.
  • Aydın, F. ve Us, V. (2007). “Carry Trade: Gelişmeler ve Riskler”. TİSK Akademi Dergisi, 2(3): 175-185.
  • Badurlar, İ. Ö. (2009). “Türkiye’de Carry Trade Yatırım Stratejisi ve Belirleyicileri Arasındaki İlişki: 2001-2007”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 10(1): 53-74.
  • Brunnermeier, M.K., Nagel, S. and Pedersen, L.H. (2008). Carry Trade and Currency Crashes. NBER Macroeconomics Annual, Chapter 5, pp 313-347.
  • Burnside, C. (2009). Carry Trades and Currency Crashes. Ed. Kenneth Rogoff, Michael Woodford, & Daron Acemoglu. NBER Macroeconomics Annual 2008 (23),, pp. 39-359.
  • Cenedese, G.; Sarno, L. and Tsiakas, I. (2014). Foreign Exchange Risk and the Predictability of Carry Trade Returns. Journal of Banking and Finance 42, pp. 302-313.
  • Christiansen, C.; Ranaldo, A. and Söderling, P. (2011). The Time Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysis 46(4), 1107-1125.
  • Clarida, R.; Davis, J. and Pedersen, N. (2009). “Currency Carry Trade Regimes: Beyond the Fama Regression”. Journal of International Money and Finance 28, 1375-1389.
  • Coudert, V. and Mignon, V. (2013). The Forward Premium Puzzle and the Sovereign Default Risk. Journal of International Money and Finance 32, pp. 491-511.
  • Creal, D., Koopman, S.J. and Lucas, A. (2013). ‘Generalized Autoregresive Score Models With Applications’. Journal of Applied Econometrics 28: 777-795.
  • Czech, K. And Waszkowski, A. (2012). Financial Determinants of Carry Trade Activity. Oeconomia 11(4), pp. 16-22.
  • Fama, E. F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics 14 (3), pp. 319-338.
  • Fung, H.G.; Tse, Y. and Zhao, L. (2013). Are Stock Markets in Asia Related to Carry Trade? Pacific-Basin Finance Journal 25, pp. 200-216.
  • Galati, G., Heath, A. and McGuire, P. (2007). Evidence of Carry Trade Activity. BIS Quarterly Review, September, pp 27-41.
  • Gubler, M. (2014). Carry Trade Activities: A Multivariate Threshold Model Analysis. SNB Working Papers 6/2014.
  • Hoffmann, A. (2012). Determinants of Carry Trades in Central and Eastern Europe. Applied Financial Economics 22(18), pp. 1479-1490.
  • Kim, S. (2015). “Australian Dollar Carry Trades: Time Varying Probabilities and Determinants”. International Review of Financial Analysis 40, 64-75.
  • Klitgaard, T. and Weir, L. (2004). Exchange Rate Changes and Net Positions of Speculators in the Futures Market. Federal Reserve Bank of New York Economic Policy Review, May, 17-28.
  • La Marca, M. (2007). Carry Trade and Financial Fragility. United Nations Conference on Trade and Development Coping With Globalized Finance: Recent Challanges and Long-Term Perspective.
  • McKibbin, R. F.; Mohottala, A. and Zheng, J. (2016). The Macroeconomics Effects of the Carry Trade Unwind.
  • Mutafoğlu, T.H. (2011). A Note on Carry Trade and Related Financial Variables. International Journal of Economics and Finance 3(3), 91-96.
  • Nishigaki, H. (2007). Relationship Between the Yen Carry Trade and related Financial Variables. Economics Bulletin 13(2), 1-7.
  • Santos, M.B.C.; Klptzle, M.C. and Pinto, A.C.F. (2016). Evidence of Risk Premiums in Emerging Markey Carry Trade Currencies. Journal of International Financial Markets, Institutions & Money 44, 103-115.
  • Tsay, R.S. (1998). “Testing and Modeling Multivariate Threshold Models”. Journal of the American Statistical Association 93, pp. 1188-1202.
There are 25 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Deniz Erer 0000-0001-9977-9592

Aydanur Gacener Atış 0000-0002-4165-9683

Early Pub Date March 31, 2023
Publication Date February 3, 2023
Published in Issue Year 2023 Volume: 18 Issue: 69

Cite

APA Erer, D., & Gacener Atış, A. (2023). KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ. Yaşar Üniversitesi E-Dergisi, 18(69), 151-171. https://doi.org/10.19168/jyasar.1169384
AMA Erer D, Gacener Atış A. KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ. Yaşar Üniversitesi E-Dergisi. February 2023;18(69):151-171. doi:10.19168/jyasar.1169384
Chicago Erer, Deniz, and Aydanur Gacener Atış. “KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ”. Yaşar Üniversitesi E-Dergisi 18, no. 69 (February 2023): 151-71. https://doi.org/10.19168/jyasar.1169384.
EndNote Erer D, Gacener Atış A (February 1, 2023) KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ. Yaşar Üniversitesi E-Dergisi 18 69 151–171.
IEEE D. Erer and A. Gacener Atış, “KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ”, Yaşar Üniversitesi E-Dergisi, vol. 18, no. 69, pp. 151–171, 2023, doi: 10.19168/jyasar.1169384.
ISNAD Erer, Deniz - Gacener Atış, Aydanur. “KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ”. Yaşar Üniversitesi E-Dergisi 18/69 (February 2023), 151-171. https://doi.org/10.19168/jyasar.1169384.
JAMA Erer D, Gacener Atış A. KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ. Yaşar Üniversitesi E-Dergisi. 2023;18:151–171.
MLA Erer, Deniz and Aydanur Gacener Atış. “KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ”. Yaşar Üniversitesi E-Dergisi, vol. 18, no. 69, 2023, pp. 151-7, doi:10.19168/jyasar.1169384.
Vancouver Erer D, Gacener Atış A. KÜRESEL RİSK ALGISININ CARRY TRADE BELİRLEYİCİLERİ ÜZERİNE ETKİLERİ: TÜRKİYE, İNGİLTERE, ABD ÖRNEKLERİ. Yaşar Üniversitesi E-Dergisi. 2023;18(69):151-7.
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