Bazı Gelişen Piyasa Ekonomilerinde Garantisiz (Uncovered) Faiz Oranı Paritesinin Geçerliliğinin İncelenmesi

Bu çalışmada Türkiye, Güney Afrika, Meksika, Kolombiya ve Endonezya’dan oluşan beş adet gelişen piyasa ekonomisinde garantisiz faiz oranı paritesinin geçerliliği incelenmiştir. Çalışmada, bu amaçla geleneksel modelle ülke risk primlerinin durağanlık analizlerine yer verilmiştir. Geleneksel model sonuçları garantisiz faiz oranı paritesinin inceleme kapsamındaki ülkelerin hiçbirinde geçerli olmadığı sonucuna işaret etmektedir. Ülke risk primlerinin durağanlık analizine dayalı sonuçları ise garantisiz faiz oranı paritesinin inceleme kapsamındaki ülkelerin tamamı için geçerli olabileceğini göstermektedir. Bu bulgu da garantisiz faiz oranı paritesinin geçerliliğinin incelenmesinde alternatif modellerin önemli olabileceği anlamına gelmektedir.

Examining the Validity of Uncovered Interest Rate Parity in Same Emerging Markets

This study examines the validity of uncovered interest rate parity in emerging markets including Turkey, South Africa, Mexico, Colombia and Indonesia. To this end, a conventional model and a stationarity analysis of these countries’ risk premiums are performed. The results of the conventional model show that uncovered interest rate parity does not hold for any country under the study. However, the findings based on the stationarity analysis of the countries’ risk premiums indicate that uncovered interest rate parity may hold for all the countries under the study. This finding means that alternative models may be important for examining the validity of uncovered interest rate parity.

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