Hakan DEMİRGİL, Sinan YILDIRIM, Zübeyde ÇİÇEK

DÖVİZ KURU OYNAKLIĞINDA ASİMETRİK İŞARET VE BOYUT YANLILIĞININ TEST EDİLMESİ: EURO/TL KUR OYNAKLIĞI ÜZERİNE BİR İNCELEME

Bu çalışmanın amacı Engel ve Ng (1993) nin işaret ve boyut yanlılığı testleri ile belirlenen asimetrik etkileri dikkate alarak döviz kurlarında yaşanan oynaklığın modellenmesidir. Bu doğrultuda, Türkiye’nin dış ticaretinde en büyük paya sahip Avrupa ülkeleri para birimi EURO’nun TL karşısındaki oynaklığı asimetrik GARCH modelleri ile incelenmiştir. EURO/TL döviz kuru değişkenine ait 1999M01-2019M05 dönemi aylık veriler kullanılmıştır. Ampirik sonuçlar, EURO/TL döviz kuru oynaklık serisinin asimetriye sahip olduğunu göstermektedir. Geçmiş dönem kalıntılarının boyutu ve büyüklüğü, döviz kuru oynaklığının açıklanmasında önemli bir etkiye sahiptir. Asimetrik GARCH modellerinden (E-GARCH, TGARCH ve APGARCH) elde edilen sonuçlar, EURO/TL döviz kurunda meydana gelen pozitif şokların aynı büyüklükte ki negatif şoklardan daha fazla etkiye sahip olduğuna işaret etmektedir. Son olarak, bu modeller kullanılarak elde edilen öngörü hata istatistiklerine göre EURO/TL döviz kuru oynaklığı tahmini için en iyi modelin TGARCH modeli olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler:

Kur Oynaklığı, Asimetri, İşaret ve Boyut Yanlılığı, Asimetrik GARCH Modelleri

TESTING ASYMMETRIC SIGN AND SIZE BIAS IN EXCHANGE RATE VOLATILITY: AN INVESTIGATION ON EURO/TL EXCHANGE RATE VOLATILITY

The aim of the study is to construct the model of the volatility in exchange rates considering the asymmetric effects determined by Engel and Ng (1993) sign and size bias tests. Accordingly, the volatility of the TL against EURO which is the currency of European countries having the biggest share of Turkey’s foreign trade is examined by asymmetric GARCH models. A model using monthly time series data covering the period between 1999M01-2019M05 is employed. The size and dimension of the residuals of the previous period have a significant effect on the explanation of exchange rate volatility. According to the results obtained from the asymmetric GARCH models (E-GARCH, TGARCH and APGARCH), positive shocks in the EURO/TL exchange rate have stronger effect than the negative shocks of the same magnitude. Finally, it is concluded based on forecasting error statistics that the best model for estimating the EURO/TL exchange rate volatility is TGARCH model.

Keywords:

Exchange Rate Volatility, Asymmetry, Sign and Size Bias, Asymmetrics GARCH Models,

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