Mehmet ÇANAKÇI, Ömer Faruk DERİNDAĞ, Taha EĞRİ

Kırılgan Sekizli Ülkelerde Beklentiler Hipotezi İçin Bir Araştırma

2008 yılında Amerika Birleşik Devletleri (ABD) ve 2015 yılında Avrupa’da ortaya çıkan finansal kriz, tüm piyasalarda aşırı dalgalanmalara yol açmıştır. Yatırım ortamının geldiği bu durum içerisinde faiz oranlarının uzun dönemde nasıl şekilleneceğinin tahmin edilmesi önem taşımaktadır. Vade süresi farklı finansal araçların faiz oranları arasındaki ilişkinin anlaşılması bu bağlamda gelecek tahminleri için önem arz etmektedir. Vade yapısının beklentiler hipoteziyle (EH) açıklanması literatürde sıkça kullanılan bir yöntemdir. Bu teoriye göre, uzun dönem faiz oranları piyasada bulunan kısa dönem faiz oranlarının bir sonucudur. Bu çalışmada, Kırılgan Sekizli ülkeleri için 3 aylık mevduat faizi ve 10 yıllık tahvil getirisi çeşitli dönemler için ele alınarak, EH yaklaşımının, Kugler’in (1990) VAR Modeli Yaklaşımı ile test edilmesi amaçlanmıştır. Elde edilen sonuçlara göre, Rusya, Endonezya, Brezilya için beklenti hipotezinin geçerli olmadığı bulunurken, G. Afrika, Şili, Türkiye, Hindistan’da beklenti hipotezinin anlamlı olduğu görülmüştür.

Testing The Expectation Hypothesis For Fragile Eight Countries

The financial crisis that occurred in the United States (USA) in 2008 and Europe in 2015 caused excessivefluctuations in all markets. It is important to estimate how the interest rates will be shaped in the long termin this situation where the investment environment comes. Understanding the relationship between interestrates of financial instruments of different term times is significant in this context for future estimates.Explanation of the maturity structure with the expectation hypothesis (EH) is a method frequently used inthe literature. According to this theory, long-term interest rates are the result of short-term interest ratesavailable in the market. In this study, it is aimed to test the EH by Kugler’s (1990) Approach which is basedon VAR Model, by analyzing the 3-month deposit interest and 10-year bond yield for Fragile Eightcountries for various periods. According to the research findings, while the expectation hypothesis forRussia, Indonesia is not found valid; the expectation hypothesis in South Africa, Chile, Turkey, India, Brazilis seen as important.

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