Türkiye'de Merkez Bankası Müdahalelerinin Döviz Kurlarının Oynaklığına Etkileri

Bu çalışmanın amacı Türkiye’de merkez bankası müdahalelerinin döviz kuru oynaklığı üzerindeki etkilerini belirlemek ve analiz etmektir. Çalışmada, Euro ve Dolar kurlarının getirileri 4.1.1999 – 24.9.2008 döneminin bütünü ve alt dönemleri itibariyle modellenmiştir. Ekonometrik analiz yöntemi olarak ARFIMA-GARCH ve ARFIMA-FIGARCH Modelleri kullanılmıştır. Elde edilen bulgular, hem uzun hafıza özelliklerinin varlığını, hem de merkez bankası müdahalelerinin kurlarda gözlenen oynaklığı arttırdığını ortaya koymaktadır. Bu bulgular ışığında, merkez bankasının döviz piyasalarına müdahale etmekten kaçınması gerektiği, olası döviz şoklarının kalıcı olmayacağı ve piyasanın dinamikleriyle kısa sürede istikrar sağlanacağı sonucuna varılmıştır.

The Effects of Turkish Central Bank's Interventions Over Currency Rate Volatility

This study aims to identify and analyze the effects of Turkish Central Bank's interventions over currency rate volatility. US Dolar and Euro Returns of Turkish Lira between 04.01.1999 and 24.09.2008 are modelled in the study. Econometric methods used areARFIMA-GARCH and ARFIMA-FIGARCH models. Findings obtained from model verify the presence of long memory properties, and increasing effects of Central Bank's interventions over currency volatility. According to model's findings, currency shocks have no permanent characteristic and market dynamics will return stability back to markets; therefore, Central Bank should avoid intervening currency markets.

PDF

___

1. Akıncı, Ö. – Çulha, O.Y.; Özlale, Ü. ve Şahinbeyoğlu, G. (2005a). Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy. TCMB Research Department Working Paper, No: 05/05, (February).
2. Akıncı, Ö. – Çulha, O.Y.; Özlale, Ü. ve fiahinbeyoğlu, G. (2005b). The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post Crisis Period Analysis. TCMB Research Department Working Paper, No: 05/06, (February).
3. Andersen, T. G. - Bollerslev, T. - Diebold, F. X. ve Vega, C. (2003). Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. The American Economic Review, 93(1): 38-62.
4. Ayhan, D. (2006). Döviz Kuru Rejimlerinin Kur Oynaklığı Üzerine Etkisi: Türkiye Örneği. İktisat, İşletme ve Finans Dergisi, 21(245): 64-76.
5. Baillie, R. T. ve Osterberg, W.P. (1997). Why do Central Banks Intervene? Journal of International Money and Finance, 16(6): 909-919.
6. Baillie, R.T. - Bollerslev T. ve Mikkelsen, H.O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 74(1): 3 – 30.
7. Baillie, R.T. ve Osterberg, W.P. (1997). Central Bank Intervention and Risk in The Forward Market. Journal of International Economics, 43(3-4): 483-497.
8. Beattie, N. and Fillion, J. (1999). “An Intra-day Analysis of the Effectiveness of Foreign Exchange Intervention”, Bank of Canada Working Paper, No: 99-4.
9. Beine, M. - Benassy-Quere, A. and Lecourt, C. (2002). Central Bank Intervention and Foreign Exchange Rates: New Evidence from FIGARCH Estimations. Journal of International Money and Finance, 21(1): 115-144.
10. Beine, M. - Laurent, S. ve Palm, F. (2004). Central Bank Forex Interventions Assessed Using Realized Moments. CORE Working Paper, No:2004/1.
11. Benie, M. – Lahaye, J.; Laurent, S.; Neely, C.J. ve Palm, F.C. (2007). Central Bank Intervention and Exchange Rate Volatility Its Continious and Jump Components. Federal Reserve Bank of St. Louis Working Paper Series, No: 2006- 031C, (revised Feb. 2007).
12. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3): 307–327.
13. Bollerslev, T. ve Mikkelsen, H.O. (1996). Modeling and Pricing Long Memory in Stock Market Volatility. Journal of Econometrics, 73(1): 151-184.
14. Bonser-Neal, C. ve Taner, G. (1996). Central Bank Intervention and the Volatility of Foreign Exchange Rates: Evidence from the Options Market. Journal of International Money and Finance, 15(6): 853-878.
15. Brailsford, T. ve Fall R. (1996). An Evaluation of Volatility Forecasting Techniques. Journal of Banking and Finance 20(3): 419-438
16. Brandorf-Nielsen, O. ve Shephard, N. (2004). Power and Bipower Variation with Stochastic Volatility and Jumps (with Dis-cussion). Journal of Financial Econometrics, 2(1): 1-48.
17. Brandorf-Nielsen, O. ve Shephard, N. (2006). Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. Journal of Financial Econometrics, 4(1): 1-30.
18. Chang, Y. and Taylor, S.J., (1998). Intra-day Effects of Foreign Exchange Intervention by the Bank of Japan. Journal of International Money and Finance, 17(1): 191–210.
19. Conrad, C. ve Haag, B.R. (2006). Inequality Constraints in the Fractionally Integrated GARCH Model. Journal of Financial Econometrics, 4(3): 413-449.
20. Dickey, David A. ve Wayne A. Fuller (1979). Distribution of the Estimators of Autoregressive Time Series with a Unit Root. Journal of American Statistical Association, 74(366): 427-431.
21. Disyatat, P. ve Galati, G. (2007). “The Effectiveness of Foreign Exchange Intervention in Emerging Market Countries: Evidence from the Czech Koruna”, Journal of International Money & Finance; 26(3): 383-402.
22. Dominguez, K.M. (1990). “Market Responses to Coordinated Central Bank Intervention”, Carnegie-Rochester Conference Series on Public Policy, 32: 121-163.
23. Dominguez, K.M. (1993). Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? NBER Working Papers Series, No: 4532.
24. Dominguez, K.M. (1998). Central Bank Intervention and The Exchange Rate Volatility. Journal of International Money and Finance, 17(1): 161-190.
25. Dominguez, K. M. (2003). “The Market Microstructure of Central Bank Intervention”, Journal of International Economics, 59(1), 25-45.
26. Dominguez, K. M. (2006). When Do Central Bank Interventions Inşuence Intradaily and Longer-Term Exchange Rate Movements. Journal of International Money and Finance, 25(7): .1051-1071.
27. Dursun, G. ve Bozkurt, H. (2007). Reel Döviz Kurunun GARCH Modeli ile Tahmini ve Yabancı Doğrudan Yatırım İlişkisi: Türkiye Analizi. 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 Mayıs 2007, İnönü Üniversitesi, Malatya.
28. Edison, H.J. (1993). The Effectiveness of Central Bank Intervention: A Survey of The Literature After 1982. Special Papers in International Economics, No: 18 July (Department of Economics, Princeton University).
29. Engle, R.F., (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inşation. Econometrica 50(4): 987-1007.
30. Engle, R.F. ve Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Review, 5(1): 1-50.
31. Engle, R. ve Gonzalez-Rivera, G. (1991). Semiparametric ARCH Models. Journal of Business and Economic Statistics, 9(4): 345-359.
32. Engle, R. ve Sheppard, K. (2001). Theoretical and Empirical Properties of dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper, No:8554.
33. Fatum, R. and King, M. (2005), “Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data”, SCCIE Working Paper, No: 04-24.
34. Fatum, R. ve Hutchison, M. (2006). “Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan”, Journal of International Money and Finance; 25(2): 199-219.
35. Figlewski, S. (1997). Forecasting Volatility. Financial Markets, Institutions & Investment 6(1): 1-88.
36. Fischer, A., ve Zurlinden, M. (1999). Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices. Economic Journal, 109(458): 662-676.
37. Frankel, J. ve Dominguez K. (1993). Does Foreign Exchange Intervention Matter? The Portfolio Effect. American Economic Review, 83(5): 1356-1369.
38. Frankel, J. ve Dominguez K. (1993). Foreign Exchange Intervention: An Empirical Assessment. On Exchange Rates. (Ed.) J. Frankel, Cambridge: MIT Press.: 327-345.
39. Frenkel, M. - Pierdzioch, C. ve Stadtmann, G. (2005), “The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility”, International Review of Economics and Finance, 14(1): 27-39.
40. Galati, G. ve Melick, W. (1999). Central Bank Intervention and Market Expectations: An Empirical Study of the YEN/Dollar Exchange Rate, 1993-1996. BIS Working Paper, No: 77.
41. Granger, C. W. J. and Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing, Journal of Time Series Analysis, 1(1): 15-39.
42. Granger, C. W. J. (1980). Long Memory Relationships and the Aggregation of Dynamic Models. Journal of Econometrics, 25(2): 227-238.
43. Hafner, C.M. ve Herwartz, H. (2006). “Volatility Impulse Responses for Multivariate GARCH Models: An Exchange Rate Illustration”, Journal of International Money and Finance, 25(5): 719-740.
44. Herrera, A.M. ve Özbay, P. (2005). A Dynamic Model of Central Bank Intervention. TCMB Research Department Working Paper, No: 05/01, (January).
45. Hosking, J.R.M. (1981). Fractional Differencing. Biometrica, 68(1): 165-76.
46. Huang, Z. ve Neun, S. (2006), “The Effectiveness of Fed Intervention on the USD/DM Foreign Exchange Market”, Global Economy Journal, 6(2): 1135-1135.
47. Humpage, O. F. (2003). Government Intervention in the Foreign Exchange Market. Federal Reserve Bank of Cleveland Working Paper, No:03-15.
48. Hwang, S. ve Pereira, P.L.V. (2006). Small Sample Properties of GARCH Estimates and Persistence. The European Journal of Finance, 12(6-7): 473-494.
49. Kahyaoğlu, H. ve Abuk Duygulu, A. (2005). Finansal Varlık Fiyatlarındaki Değişme – Parasal Büyüklükler Etkileşimi. D.E.Ü. İ.İ.B.F. Dergisi, 20(1): 63-85.
50. Kaminsky, G.L. ve Lewis, K. (1996). Does Foreign Exchange Intervention Signal Future Monetary Policy? Journal of Monetary Economics, 37(2): 285-312.
51. Kim, S. ve Sheen, J. (2006). “Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume”, Journal of Banking and Finance; 30(11): 3191-3214.
52. Klaassen, F. (2002). Improving GARCH Volatility Forecasts with Regime- Switching GARCH. Empirical Economics, 27(2): 363-394.
53. Klein, M.W. ve Rosengren, E.S. (1991). “Foreign Exchange Intervention as a Signal of Monetary Policy”, Federal Reserve Bank of Boston, New England Economic Review, May: 39-50.
54. Kutlar, A. ve Turgut, T. (2006). Türkiye’de Başlıca Ekonomi Serilerinin ARFIMA Modelleri ile Tahmini ve Öngörülebilirliği. KOÜ Sosyal Bilimler Enstitüsü Dergisi,11(1): 120-149.
55. Kwiatkowski D. – Phillips, P.C.B., Schmidt, P. ve Shin, Y. (1992). “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?” Journal of Econometrics, 54(1-3):159-178.
56. LeBaron, B. (1996). Technical Trading Rule Profitability and Foreign Exchange Intervention. NBER Working Papers No: 5505.
57. MacKinnon, James G. (1991). Critical Values for Cointegration Tests. Long-run Economic Relationships: Reading in Cointegration, (Ed.) R.F. Engle and C.W.J. Granger, Oxford University Press.: 267-276.
58. MacKinnon, James G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics, Vol. 11(6): 601-618.
59. Michael W.K. ve Rosengren, E.S., (1991). Foreign Exchange Intervention as a Signal of Monetary Policy. New England Economic Review, Federal Reserve Bank of Boston, May: 39-50.
60. Nagayasu, J. (2004). “The Effectiveness of Japanese Foreign Exchange Interventions during 1991-2001”, Economics Letters, 84(3): 377-381.
61. Nelson, D.B. ve Cao, C.Q. (1992). Inequality Constraints in Univariate GARCH Model. Journal of Business and Economics Statistics, 10(2): 229-235.
62. Neely, C.J. (2005b). Identifying the Effect of US Interventions on the Level of Exchange Rates. Federal Reserve Bank of Saint Louis Working Paper, No: 2005-031B.
63. Noomen, A.A. –Amed G. ve Abdelwed T., (2003). The Reserve Bank of Australia Intervention: Exchange Rate Volatility from a FIGARCH Modelling. High Institute of Management BESTMOD Working Papers, No: 03-02 (http://papers.ssrn.com-ol3/papers.cfm? abstract_id=460120).
64. Özçam, M. (2004). Döviz Kuru Politikaları ve Türkiye’de Döviz Kuru Oynaklığının Etkileşimleri. SPK Araştırma Raporu, Ankara: SPK Araştırma Dairesi.
65. Özçam, M. (2005). Türkiye’de Üç Finansal Varlığa (Kamu Kağıtları, Hisse Senetleri ve Dövize) Dayalı Fiyatlama Modeli. SPK Araştırma Raporu, Ankara: SPK Araştırma Dairesi.
66. Pasquariello, P. (2007), “Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions”, Journal of Financial Markets, 10(2): 107-143.
67. Payne, R. ve Vitale, P. (2003), “A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates”, Journal of International Economics, 61: 331-352.
68. Phillips, P.C.B. ve Peron, P. (1988). “Testing for a Unit Root in the Time Series Regressions”, Biometrika, 75(2): 335-346.
69. Pilbeam, K. (2005). “The Relative Effectiveness of Sterilized and Non Sterilized Foreign Exchange Market Interventions”, Journal of Policy Modeling, 27(3):375-383.
70. Scalia, A. (2008), “Is Foreign Exchange Intervention Effective? Some Microanalytical Evidence from the Czech Republic”, Journal of International Money and Finance; 27(4): 529-546.
71. Suardi, S. (2008), “Central Bank Intervention, Threshold Effects and Asymmetric Volatility: Evidence from the Japanese Yen–US Dollar Foreign Exchange Market”, Economic Modelling, 25(4): 628-642.
72. Takeshi, H. (2008). “Does Foreign Exchange Intervention Reduces the Exchange Rate Volatility?”, Applied Financial Economics Letters, 4(3): 221-224.
73. Tapia, Matias ve Tokman, Andrea. (2004). “Effects of Foreign Exchange Intervention under Public Information: The Chilean Case”, Journal of Latin American Studies; 4(2): 215-256.
74. TCMB. (1999). “2000 Yılı Enşasyonu Düşürme Programı: Kur ve Para Politikası Uygulaması”, 9 Aralık 1999, TCMB.
75. TCMB (2004). “2005 Yılında Para ve Kur Politikası”, 20 Aralık 2004, TCMB.
76. TCMB (2007). “2008 Yılında Para ve Kur Politikası”, 18 Aralık 2007, TCMB.
77. Türkyılmaz, S. ve Özer, M. (2007). Türkiye’de Döviz Kuru Oynaklığının Uzun Hafıza Özelliklerinin Analizi. İktisat, İşletme ve Finans Dergisi, 22(259): 99-113.
78. Vilasuso, J. (2002). Forecasting Exchange Rate Volatility. Economics Letters, 76(1): 59 – 64.
79. West, K. ve Cho D. (1995). The Predictive Ability of Several Models of Exchange Rate Volatility. Journal of Econometrics, 69(2): 367-391.
80. Zumbach, G. (2004). Volatility Processes and Volatility Forecast with Long Memory. Quantitative Finance, 4(1): 70 – 86.