USD/TL Döviz Kurunun Makroekonomik Sürprizlere Tepkisi

Bu çalışmada, makroekonomik haberlerin gerçek değerleri ile beklenen değerleri arasındaki fark olarak ifade edilen haber sürprizlerinin, USD/TL döviz kuru üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu bağlamda, ABD’den 18 ve Türkiye’den 10 makroekonomik habere dair sürprizlerin, 02.01.2009-30.06.2016 dönemindeki günlük kurun seviye ve volatilitesi üzerindeki etkileri EGARCH (1,1) modelinin uygulanması ile araştırılmıştır. Buna göre, Türkiye makroekonomik haber sürprizleri, kurun seviyesi üzerinde anlamlı etkilere sahip değilken, koşullu volatilite üzerinde Türkiye 1 hafta vadeli repo faiz oranı sürprizleri ile üretici fiyat endeksi (ÜFE) sürprizleri anlamlı etkilere sahiptirler. ABD makroekonomik haberlerinden ise beklenenden daha fazla fabrika siparişleri ve tarım dışı istihdam ABD dolarının değerini anlamlı bir şekilde artırırken, koşullu volatiliteyi ise Tedarik Yönetimi Enstitüsü (Institute for Supply Management, ISM) imalat satın alma yöneticileri endeksi (purchasing managers index, PMI) ile işsizlik oranı sürprizleri anlamlı bir şekilde etkilemektedir. Bu bulgular, ABD haber sürprizlerinin Türkiye haber sürprizlerinden daha belirgin bir şekilde kurun seviyesi üzerinde etkide bulunduğuna işaret etmektedir. Ayrıca, ABD ISM imalat PMI, ABD işsizlik oranı ve Türkiye 1 hafta vadeli repo faiz oranı sürprizlerinin piyasadaki belirsizliği artırdığı, Türkiye ÜFE sürprizlerinin ise piyasayı sakinleştirici bir etkisinin bulunduğu sonucuna varılmıştır.

Anahtar Kelimeler:

Makroekonomik Haber Sürprizleri, ABD Doları/TL, Döviz Kuru Seviyesi, Döviz Kuru Volatilitesi, EGARCH

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