CARRY TRADE YATIRIMLARI VE BELİRLEYİCİLERİ ARASINDAKİ NEDENSELLİK İLİŞKİSİ: TÜRKİYE ÖRNEĞİ

Düşük kur oynaklığında, ülkeler arasındaki faiz oranı farklılıklarından kazanç elde etmeyedayanan carry trade yatırımları Türkiye gibi gelişmekte olan ülkelere yönelik kısa vadeli sermayehareketlerinin önemli kısmını oluşturmaktadır. Bu kapsamda, carry trade yatırımları ve belirleyicileriarasındaki ilişkinin yönü ve derecesinin tespit edilmesi önem arz etmektedir. Bu çalışmada Türkiye için2005:09 ve 2018:08 döneminde ABD doları bazında gerçekleşen carry trade işlem hacmi vebelirleyicileri arasındaki nedensellik ilişkisi incelenmiştir. Frekans alanı nedensellik sonuçlarına göre;nominal döviz kuru, faiz oranı farklılıkları, VIX ve BIST-100 endeksinden carry trade işlem hacminedoğru güçlü nedensellik ilişkileri mevcuttur. Asimetrik nedensellik sonuçlarına göre de faiz oranıfarklılıkları, VIX ve S&P-500 endeksinden carry trade işlem hacmine doğru anlamlı nedensellikilişkileri bulunmaktadır.

CAUSAL RELATION BETWEEN CARRY TRADE INVESTMENTS AND ITS DETERMINANTS: THE CASE OF TURKEY

Carry trade which focuses on making profit from interest rate differentials between countries in low exchange rate volatility; constitute a significant portion of short-term capital movements to developing countries such as Turkey. In this context, it is important to determine the direction and degree of the relationship between carry trade investments and its determinants. In this study, causal relationship between carry trade volume realized on US dollar basis in Turkey and its determinants examined for the period 2005:M09-2018:M08. According to frequency domain causality results; there are strong causal relationships from nominal exchange rate, interest rate differences, VIX and BIST-100 index to carry trade volume. According to asymmetric causality results; there are significant causal relationships from interest rate differentials, VIX and S&P-500 index to carry trade volume.

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