Faiz ile Kurdaki Getiri ve Değişkenliğin Bankacılık, Sanayi ve Hizmetler Sektörü Performansına Etkisi
Çalışma, kur ile faiz getiri ve değişkenliğinin bankacılık, sanayi ve hizmetler sektörlerinin performanslarına etkisini GARCH modeli aracılığıyla incelemektedir. Çalışmadan elde edilen sonuçlara göre, bankacılık sektörünün faiz ve faiz riskindeki değişimlere karşı duyarsız; buna karşın hizmetler sektörünün en duyarlı sektör olduğu görülmüştür. Kurdaki artış, TL'deki değer kaybı, bankacılık sektöründe performansı olumlu; sanayi sektöründe ise olumsuz etkilemekte iken; kur riski her üç sektörde getiri değişkenliğini artırmaktadır. Ayrıca, kur riski, her üç sektör için de faiz riskine oranla getiri değişkenliğini daha fazla etkilemektedir.
The Impact of Return and Volatility in the Interest Rates and Exchange Rates on the Performances of Industrial, Services and Banking Sectors
This paper investigates the effects of interest rate and foreign exchange rate returns and volatility on bank, industrial and services sectors' performances employing the GARCH estimation models. The results suggest that while services sector is the most sensitive sector, banking is not sensitive for the changes in interest rate and interest rate risk. Foreign exchange has positive effect on banking but negative effect on industrial sector. Furthermore, foreign exchange rate risk is stronger than interest rate risk for each sector.
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- ISSN: 1300-0217
- Başlangıç: 1990
- Yayıncı: Türkiye Bankalar Birliği