TÜRK BANKACILIK SEKTÖRÜ KUR RİSKİ YÖNETİMİNDE TÜREV ÜRÜNLER: DÖVİZ SWAP İŞLEMLERİ İLE MAKROEKONOMİK FAKTÖRLER ARASINDAKİ İLİŞKİ

Bu çalışmada, Türk bankacılık sektörü türev ürün kullanım dinamiklerinin anlaşılması açısından, Türk bankacılık sektöründe en çok kullanılan türev ürün olan döviz swaplarının kullanımını etkileyen makroekonomik faktörlerin belirlenmesine yönelik analizler yapılmıştır. Döviz swap işlemleri ile makroekonomik değişkenler arasındaki ilişki Granger nedensellik analizi, regresyon analizi, VAR etki tepki analizi ve varyans ayrıştırması analizi ile incelenmiştir. Yapılan analizler sonucunda döviz swap işlemleri ile bilanço dışı riskler, enflasyon, piyasa riski, merkez bankası rezervleri ve bankalardaki TL mevduatı arasında bir ilişki tespit edilmiştir

DERIVATIVES IN CURRENCY RISK MANAGEMENT IN TURKISH BANKING SECTOR: THE RELATIONSHIP BETWEEN CURRENCY SWAPS AND MACROECONOMIC FACTORS

In this study, analyses which aim to determine the macroeconomic factors that have an impact on the use of currency swap derivatives, which are the most frequently used derivative products in Turkish banking sector, were conducted to understand the dynamics of using derivatives in Turkish banking sector. The relationship between currency swap transactions and macroeconomic variables were analyzed through Granger causality analysis, regression analysis, VAR impulse response analysis and variance decomposition analysis. As a conclusion of these analyses, a relationship between currency swap transactions and off-balance sheet risks, inflation, market risk, Central Bank Reserves and TRY deposits in the banks was found

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