DÖVİZ PİYASASINA MÜDAHALELERİ ETKİNLİĞİ: T.C. MERKEZ BANKASI

Ülkeler arasındaki sermaye hareketlerinin serbestleşmesine paralel olarak esnek kur sistemlerine geçişle birlikte döviz kurlarındaki oynaklıktaki artış ve döviz kurunun seviyesindeki değişiminin hız kazanması, gelişen piyasa ekonomilerinde, fiyat istikrarı başta olmak üzere makro ekonomik yapısalların dengelenme mekanizmalarını olumsuz yönde etkilemeye başlamıştır. Merkez bankaları, döviz kurundaki değişimden kaynaklanan fiyatlar genel seviyesindeki artışları engellemek veya yavaşlatmak için yoğun bir şekilde döviz piyasasına müdahalede bulunarak, döviz kurundaki oynaklığı azaltmaya ve döviz kurunun seviyesini değiştirmeye çalışmaktadırlar. TC Merkez Bankası da rezerv biriktirmek için alım yönlü, döviz kuru oynaklığını ve döviz kurundaki artış trendini durdurmak için satım yönlü müdahalelerde bulunmaktadır. Merkez Bankası’nın döviz piyasasına müdahalelerinin etkinliği literatürde çokça tartışılmaktadır. Amaç: Bu çalışmada, 29.03.2001-17.12.2021 döneminde Merkez Bankası tarafından döviz piyasasına yönelik olarak gerçekleştirilen müdahalelerin etkinliğini ölçmek amaçlanmıştır. Yöntem: TCMB'nin döviz kuru oynaklığını azaltmaya yönelik müdahalelerinin etkinliği ARCH (Otoregresif Koşullu Varyans Varyansı) modelleriyle analiz edilmiştir. Elde edilen bulgular en uygun modelin E-GARCH modeli olduğunu göstermiştir. Bulgular: Alım yönlü müdahalelerdeki sınırlı ve küçük oranlı başarı hariç, satım yönlü müdahalelerin döviz kurunun seviyesinin değiştirilmesinde etkin olmadığı ve döviz kuru müdahaleleri ile fiyatlar genel seviyesindeki artışın kontrol altına alınamadığı sonucuna ulaşılmıştır. Özgünlük: Çalışmanın literatüre hem kapsadığı dönem hem de etkinliğin ölçümüne bir yaklaşım sunması bakımından katkı sağlaması beklenmektedir.

Anahtar Kelimeler:

TCMB, Döviz Kuru, Müdahale, Etkinlik, ARCH.

HOW EFFECTIVE IS THE CENTRAL BANK OF REPUBIC OF TURKEY’S INTERVENTION IN THE EXCHANGE MARKET?

The increase in volatility of exchange rates and rapid change in the level of exchange rate with the transition to flexible exchange rate systems in parallel with the liberalization of capital movements between countries make it difficult to achieve the goals of ensuring price stability in emerging markets. Central banks intensively intervene in the foreign exchange market to prevent or slow down increases in the general price levels resulting from the change in the exchange rate, try to reduce volatility and change the level of exchange rate. Turkish Central Bank is also involved in direct purchase interventions to accumulate reserves, to stop exchange rate volatility and the upward trend in exchange rate. The effectiveness of the Central Bank’s intervention in the Foreign Exchange market is widely discussed in the literature. Purpose: This paper analyzes the effectiveness of interventions carried out by the Turkish Central Bank for the foreign exchange market between 29.03.2001-17.12.2021. Method: The effectiveness of the CBRT's interventions to reduce its volatility was analyzed with ARCH (Autoregressive Conditional Variance of Variance) models. The findings showed that the most suitable model was the E-GARCH model. Findings: Excluding limited and small rate success in direct purchase interventions, direct sell interventions are not effective in changing the level of the exchange rate. It was concluded that the increase in the overall level of prices could not be controlled by exchange rate interventions. Originality: It is expected that the study will contribute to the literature both in terms of the period it covers and in terms of providing an approach to the measurement of effectiveness.

Keywords:

TCMB, Exchange Rate, Intervention, Effectiveness, ARCH,

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