ULUSLARARASI DÖVĠZ PĠYASALARINDA FĠNANSAL BULAġICILIK VE KARġILIKLI BAĞIMLILIK: WAVELET UYUM ANALĠZĠ

ÇalıĢmada uluslararası döviz piyasaları arasındaki iliĢki türlerini belirleyebilmek amacı ile zamanfrekans uzayında piyasalar arasındaki iliĢkilerin incelenmesine olanak sağlayan wavelet uyum analizi gerçekleĢtirilmiĢtir. Son iki küresel krizi de kapsayan Ocak 4, 2000-Ekim 17, 2019 dönemi için majör döviz kurlarına ait getiri serileri kullanılarak uluslararası döviz piyasaları arasındaki iliĢkilerin farklı frekanslara göre zaman içerisinde değiĢimi incelenmiĢtir. Buna göre, küresel finansal kriz dönemi boyunca Japon Yeni ve Yeni Zelanda doları ve Avrupa borç krizi dönemi boyunca Japon Yeni ve diğer majör döviz kurları için finansal bulaĢıcılık olduğu bulgusuna ulaĢılamamıĢtır. Avustralya Doları-Kanada Doları, Avustralya Doları-Yeni Zelanda Doları ve Ġsviçre Frangı-Euro döviz kuru çiftleri için neredeyse tüm zaman ölçeklerinde güçlü iliĢkiler vardır. Japon Yeni-Ġsviçre Frangı hariç, Japon Yeni ve diğer majör döviz kurları arasında karĢılıklı bağımlılığın olmadığı gözlemlenmiĢtir. Tamamlayıcı bir analiz olan evre farklılığı analizi ile piyasalar arasındaki nedensellik iliĢkileri incelenerek uluslararası sermaye (fon) akımlarının yönü hakkında bilgi edinilmiĢtir.

FINANCIAL CONTAGION AND INTERDEPENDENCE IN FOREIGNEXCHANGE MARKETS: WAVELET COHERENCE ANALYSIS

In this study, to determine the types of relationships between foreign exchange markets, wavelet coherence analysis was performed. For the period of January 4, 2000-October 17, 2019, using the major exchange rate returns, the variations in the market relationships according to different frequencies over time were examined. Accordingly, there is no evidence of financial contagion for the Japanese Yen-New Zealand Dollar during the period of the global financial crisis and the Japanese Yen-other major exchange rates during the European debt crisis period. There are strong relationships at almost all time-scales for the Australian Dollar-Canadian Dollar, Australian Dollar-New Zealand Dollar, and Swiss Franc-Euro. Except for the pair of Japanese Yen-Swiss Franc, there is no interdependence between the Japanese Yen and other major exchange rates. Through the complementary phase difference analysis, the direction of international capital flows was examined by determining causality relationships between foreign exchange markets.

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