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

Yıl 2019, Cilt: 10 Sayı: 25, 485 - 494, 28.10.2019
https://doi.org/10.21076/vizyoner.611940

Öz



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. 

Kaynakça

  • Abdalla S.Z.S. (2012). “Modelling Exchange Rate Volatility Using GARCH Models: Empirical Evidence from Arab Countries”, International Journal of Economics and Finance, 4(3), 216-229.
  • Balaban E. (2004). “Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of An Exchange Rate”, Economics Letters, 83(1), 99-105. Barışık S. ve Demircioğlu E. (2006). “Türkiye’de Döviz Kuru Rejimi, Konvertibilete, İhracat-İthalat İlişkisi (1980-2001)”, ZKÜ Sosyal Bilimler Dergisi, 2(3), 2006, 71-84.
  • Berument H. (2002). “Döviz Kuru Hareketleri ve Enflasyon Dinamiği: Türkiye Örneği”, Bilkent Üniversitesi Yayınları.
  • Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31(3), 307-327.
  • Bollerslev, T. (2007). “Glossary to ARCH (GARCH)”. Duke University and NBER.
  • Bozkurt, H. (2009). “M-GARCH Modellerinin Karşılaştırmalı Analizi”. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (18)2, 126 – 145.
  • Çağlayan E. ve Dayıoğlu T. (2009). “Döviz Kuru Getiri Volatilitesinin Koşullu Değişen Varyans Modelleri İle Öngörüsü”, Ekonometri ve İstatistik e-Dergisi, 9, 1-16.
  • Ding, Z., Granger, C.W.J. ve Engle, R. F. (1993). “A Long Memory Property of Stock Market Returns and a New Model, Journal of Empirical Finance”, 1, 83-106.
  • Dutta, A. (2014). “Modelling Volatility: Symemtric or Asymmetric GARCH Models?”, Jornal of Statistics: Advances in Theory and Applications, 12(2), 99-108.
  • Dutta, A. (2018). “Forecasting Ethanol Market Volatility: New Evidence from the Corn Implied Volatility Index”, Biofuels, Bioprod. Bioref. 13, 48–54.
  • Engle R.F. (1982). “Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation”, Econometrica: Journal of the Econometric Society, 50(4), 987-1008.
  • Engle, R.F. ve Kroner, K.F. (1995). “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11(1), 122-150.
  • Engle, R.F. ve Ng, V.K. (1993). “Measuring and Testing The Impact of News on Volatility. The Journal of Finance, 48(5), 1749-1778.
  • Fidrmuc J. ve Horvath R. (2008). “Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data”, Economic Systems 32(1), 103-118.
  • Gonzalez-Rivera, G. (1998). “Smooth Transition GARCH Models”, Studies in Nonlinear Dynamics and Econometrics, 3, 61–78.
  • Kim, S. K. (1995). “Modelling Changes in Daily $A Exchange Rates: An Application of GARCH, C.S. Forbes, P. Kofman and T.R.L. Fry (Ed.), in Proceedings of the Econometrics Conference, Monash University, Victoria, 489–526.
  • Kiran B. (2008). “Döviz Kuru Volatilitesinin Asimetrik Üslü Arch (Aparch) Modeli ile Tahmini”, Review of Social, Economic & Business Studies.
  • Laopodis N.T. (1998). “Asymmetric Volatility Spillovers in Deutsche Mark Exchange Rates”, Journal of Multinational Financial Management, 8(4), 413-430.
  • Lobo B.J. ve Tufte D. (1998). “Exchange Rate Volatility: Does Politics Matter?”, Journal of Macroeconomics, 20(2), 351-365.
  • Longmore R. ve Robinson W. (2004). “Modelling and Forecasting Exchange Rate Dynamics: An Application of Asymmetric Volatility Models”, Bank of Jamaica, Working Paper WP2004/03.
  • Mckenzie M. (2002). “The Economics of Exchange Rate Volatılıty Asymmetry”, Internatıonal Journal of Fınance And Economıcs 7, 247–260.
  • Mckenzie M. ve Mitchell H. (2002). “Generalized Asymmetric Power ARCH Modelling of Exchange Rate Volatility”, Applied Financial Economics, 12, 555-564.
  • Miron, D. ve Tudor, C. (2010). “Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy”. Romanian Journal of Economic Forecasting, 13(3), 74-92.
  • Nelson, D. B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”. Econometrica: Journal of the Econometric Society, 347-370.
  • Olowe R.A. (1997). ”Modelling Naira/Dollar Exchange Rate Volatility: Application of GARCH and Assymetric Models”, International Review of Business Research Papers, 5(3), 377-398.
  • Schwert, W. (1989). “Stock Volatility and Crash of ’87”, Review of Financial Studies, 3, 77–102.
  • Taylor, S. (1986). Modeling Financial Time Series, New York, USA: John Wiley & Sons Ltd.
  • Tse Y.K. (1998). “The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rate”, Journal of Applied Econometrics, 13(1), 49-55.
  • Wang J. ve Yang M. (2009). “Asymmetric Volatility in The Foreign Exchange Markets”, Journal of International Financial Markets, Institutions, 19(4), 597-615.
  • Zakoian, J.M. (1994). “Threshold Heteroskedastic Models”. Journal of Economic Dynamics and Control, 18(5), 931-955.

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

Yıl 2019, Cilt: 10 Sayı: 25, 485 - 494, 28.10.2019
https://doi.org/10.21076/vizyoner.611940

Öz

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.

Kaynakça

  • Abdalla S.Z.S. (2012). “Modelling Exchange Rate Volatility Using GARCH Models: Empirical Evidence from Arab Countries”, International Journal of Economics and Finance, 4(3), 216-229.
  • Balaban E. (2004). “Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of An Exchange Rate”, Economics Letters, 83(1), 99-105. Barışık S. ve Demircioğlu E. (2006). “Türkiye’de Döviz Kuru Rejimi, Konvertibilete, İhracat-İthalat İlişkisi (1980-2001)”, ZKÜ Sosyal Bilimler Dergisi, 2(3), 2006, 71-84.
  • Berument H. (2002). “Döviz Kuru Hareketleri ve Enflasyon Dinamiği: Türkiye Örneği”, Bilkent Üniversitesi Yayınları.
  • Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”. Journal of Econometrics, 31(3), 307-327.
  • Bollerslev, T. (2007). “Glossary to ARCH (GARCH)”. Duke University and NBER.
  • Bozkurt, H. (2009). “M-GARCH Modellerinin Karşılaştırmalı Analizi”. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (18)2, 126 – 145.
  • Çağlayan E. ve Dayıoğlu T. (2009). “Döviz Kuru Getiri Volatilitesinin Koşullu Değişen Varyans Modelleri İle Öngörüsü”, Ekonometri ve İstatistik e-Dergisi, 9, 1-16.
  • Ding, Z., Granger, C.W.J. ve Engle, R. F. (1993). “A Long Memory Property of Stock Market Returns and a New Model, Journal of Empirical Finance”, 1, 83-106.
  • Dutta, A. (2014). “Modelling Volatility: Symemtric or Asymmetric GARCH Models?”, Jornal of Statistics: Advances in Theory and Applications, 12(2), 99-108.
  • Dutta, A. (2018). “Forecasting Ethanol Market Volatility: New Evidence from the Corn Implied Volatility Index”, Biofuels, Bioprod. Bioref. 13, 48–54.
  • Engle R.F. (1982). “Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation”, Econometrica: Journal of the Econometric Society, 50(4), 987-1008.
  • Engle, R.F. ve Kroner, K.F. (1995). “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11(1), 122-150.
  • Engle, R.F. ve Ng, V.K. (1993). “Measuring and Testing The Impact of News on Volatility. The Journal of Finance, 48(5), 1749-1778.
  • Fidrmuc J. ve Horvath R. (2008). “Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data”, Economic Systems 32(1), 103-118.
  • Gonzalez-Rivera, G. (1998). “Smooth Transition GARCH Models”, Studies in Nonlinear Dynamics and Econometrics, 3, 61–78.
  • Kim, S. K. (1995). “Modelling Changes in Daily $A Exchange Rates: An Application of GARCH, C.S. Forbes, P. Kofman and T.R.L. Fry (Ed.), in Proceedings of the Econometrics Conference, Monash University, Victoria, 489–526.
  • Kiran B. (2008). “Döviz Kuru Volatilitesinin Asimetrik Üslü Arch (Aparch) Modeli ile Tahmini”, Review of Social, Economic & Business Studies.
  • Laopodis N.T. (1998). “Asymmetric Volatility Spillovers in Deutsche Mark Exchange Rates”, Journal of Multinational Financial Management, 8(4), 413-430.
  • Lobo B.J. ve Tufte D. (1998). “Exchange Rate Volatility: Does Politics Matter?”, Journal of Macroeconomics, 20(2), 351-365.
  • Longmore R. ve Robinson W. (2004). “Modelling and Forecasting Exchange Rate Dynamics: An Application of Asymmetric Volatility Models”, Bank of Jamaica, Working Paper WP2004/03.
  • Mckenzie M. (2002). “The Economics of Exchange Rate Volatılıty Asymmetry”, Internatıonal Journal of Fınance And Economıcs 7, 247–260.
  • Mckenzie M. ve Mitchell H. (2002). “Generalized Asymmetric Power ARCH Modelling of Exchange Rate Volatility”, Applied Financial Economics, 12, 555-564.
  • Miron, D. ve Tudor, C. (2010). “Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy”. Romanian Journal of Economic Forecasting, 13(3), 74-92.
  • Nelson, D. B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”. Econometrica: Journal of the Econometric Society, 347-370.
  • Olowe R.A. (1997). ”Modelling Naira/Dollar Exchange Rate Volatility: Application of GARCH and Assymetric Models”, International Review of Business Research Papers, 5(3), 377-398.
  • Schwert, W. (1989). “Stock Volatility and Crash of ’87”, Review of Financial Studies, 3, 77–102.
  • Taylor, S. (1986). Modeling Financial Time Series, New York, USA: John Wiley & Sons Ltd.
  • Tse Y.K. (1998). “The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rate”, Journal of Applied Econometrics, 13(1), 49-55.
  • Wang J. ve Yang M. (2009). “Asymmetric Volatility in The Foreign Exchange Markets”, Journal of International Financial Markets, Institutions, 19(4), 597-615.
  • Zakoian, J.M. (1994). “Threshold Heteroskedastic Models”. Journal of Economic Dynamics and Control, 18(5), 931-955.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomi
Bölüm Araştırma Makaleleri
Yazarlar

Hakan Demirgil 0000-0002-9509-7751

Sinan Yıldırım Bu kişi benim 0000-0001-7749-7746

Zübeyde Çiçek 0000-0003-1914-1228

Yayımlanma Tarihi 28 Ekim 2019
Gönderilme Tarihi 27 Ağustos 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 10 Sayı: 25

Kaynak Göster

APA Demirgil, H., Yıldırım, S., & Çiçek, Z. (2019). DÖVİZ KURU OYNAKLIĞINDA ASİMETRİK İŞARET VE BOYUT YANLILIĞININ TEST EDİLMESİ: EURO/TL KUR OYNAKLIĞI ÜZERİNE BİR İNCELEME. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 10(25), 485-494. https://doi.org/10.21076/vizyoner.611940

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