Türkiye’de Yerleşik Bireyler ve Şirketlerin Döviz Hesaplarının Ekonometrik Analizi

Bu çalışmanın amacı, Türkiye’de yerleşik bulunan bireylerin ve şirketlerin bankalarda tuttukları döviz hesaplarının miktarı ile ABD dolar kuru, piyasa faiz oranı ve uluslararası mali piyasalarda korku endeksi olarak da bilinen VIX (Chicago Board Options Exchange Volatility Index) endeksi arasındaki ilişkinin, 2012–2018 dönemi için haftalık veriler üzerinden analiz edilmesidir. ARDL-Sınır Testi yaklaşımının uygulandığı çalışmada elde edilen ilk amprik sonuç; Türkiye’de yerleşik bulunan bireylerin ve şirketlerin bankalarda tuttukları döviz hesaplarının miktarı ile TL mevduat tutarının, Amerikan doları karşısında değeri, piyasa faiz oranı ve uluslararası VIX endeksi değişkenleri arasında bir uzun-dönem ilişkisi bulunduğu gelmektedir. Diğer bir ampirik analiz sonuç; istatistiksel olarak anlamlı bulunan piyasa faiz oranı, yüzde1 arttığında, uzun dönemde ülkede yerleşik bulunan birey ve şirketlerin bankalarda tuttukları döviz hesaplarının yaklaşık olarak yüzde 0.40 artış gösterdiğidir. Sistemde meydana gelen rassal şokların görece önemliliklerinin ölçülmesi amacıyla varyans ayrıştırma (variance decomposition) ve etki-tepki (impulse-response) teknikleri kullanılmıştır.

The Econometric Analysis of Foreign Exchange Accounts of Settled Individuals and Companies in Turkey

The aim of this study is to analyze the relationship among the amount of foreign currency accounts that settled individuals and companies in Turkey through, Exchange rate of US dollar currency, market interest rate and known as the fear index in international financial markets, the VIX (Chicago Board Options Exchange Volatility Index) index, for the period of 2012 – 2018 by using weekly data. The first empirical result obtained in the study, in which the ARDL-Bound Test approach was applied; there is a long-term relationship among the amount of foreign currency accounts that located resident individuals and companies holding in banks in Turkey and the dollar rate, market interest rate and the VIX index. Another empirical result is; when the statistically significant market interest rate increases by 1 percentage, it is observed that in the long term the foreign exchange accounts held by banks and individuals in the country increase by approximately 0.40 percentage. The variance decomposition and impulse-response techniques were used to measure the relative importance of random shocks occurring in the system.

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