Küresel kriz ve döviz kurlarında oynaklık geçişi

Uluslararası finansal piyasalar arasındaki oynaklık geçişlerinin önemi, 2008 yılında yaşanan küresel kriz ile tekrar gündeme gelmiştir. Bu çalışmanın amacı, küresel krizin döviz kurları oynaklığı üzerindeki etkisini ve döviz kurları arasındaki oynaklık geçişlerini belirlemektir. Çalışmada, Aralık 2001-Mayıs 2010 dönemine ait EUR, USD ve JPY günlük döviz kuru serileri analize dahil edilmiştir. Oynaklık geçişlerinin kaynağının ve büyüklüğünün belirlenmesi için çok değişkenli GARCH (multivariate GARCH) yöntemi kullanılmıştır. Elde edilen ampirik sonuçlara göre; küresel kriz sürecinde serilerin oynaklığının arttığı ve hem haber etkisinin hem de oynaklık geçişinin kaynağının USD döviz kuru olduğu belirlenmiştir.

Global crisis and exchange rate volatility transmission

The importance of the volatility transmission across the international financial markets has become a current issue by the effects of global crisis in 2008. The purpose of this study is to assign the effect of the global crisis among the exchange rate volatilities and which exchange rate is more effective than the others in the volatility transmission. We analyze EUR, USD and JPY daily exchange rate series for the period December 2001-May 2010 by using a multivariate GARCH model. The empirical results show that, the exchange rate volatility has increased during the global crisis period and both the source of degree of innovation and the source of volatility transmission is USD exchange rate.

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