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TERÖR OLAYLARININ DÖVİZ PİYASASI OYNAKLIĞI ÜZERİNDEKİ ETKİSİ: TÜRKİYE ÖRNEĞİ

The Influence of Terrorist Events on the Volatility of Foreign Exchange Market: The Case of Turkey

Journal Name:

  • International Journal of Academic Value Studies

Publication Year:

  • 2017
DOI: 
http://dx.doi.org/10.23929/javs.351

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Terrorism is undoubtedly an issue that has not fallen from the agenda since the past. Conceptually, terror refers to actions aimed at peace and security that create fear among people. In this study, the effect of the terrorist incidents in Turkey on the exchange rate volatility was researched for the period 1990:1-2017:3. First, in the study, the rate of return of the dollar was calculated, and then unit root tests were applied. In addition, the terror index calculated by Eckstein and Tsiddon (2004) and Persitz (2006) approaches was established. Unit root tests applied for both exchange rate returns and terror index reveal that the series are stationary. With the help of the Akaike Information Criteria (AIC), it was determined that the ARMA(4,3) model is appropriate for the foreign exchange market. It is determined that ARCH effect is the result of applied ARCH test. As a result, the volatility series generated by the estimated ARCH (2) model is used as a dependent variable in the model. In addition, a dummy variable was used for the floating exchange rate regime policy, which entered into force in late of February 2001. When the volatility model results are examined, it is seen that the floating exchange rate policy has a positive effect on the foreign exchange market according to the period in which the fixed exchange rate policy is applied. That is, volatility is higher during the floating exchange rate policy period. Finally, terrorist incidents have increased the foreign exchange market volatility. But this volatility is less after 2001 than before. This result shows that there is a stable period in Turkey after 2001.
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Abstract (Original Language): 
Terör şüphesiz ki geçmişten beri gündemden düşmeyen bir konudur. Kavramsal olarak terör, insanlar arasında korku yaratan barış ve güvenliği hedef alan eylemleri ifade eder. Bu kapsamda, çalışmada 1990:1-2017:3 dönemi için Türkiye’de meydana gelen terör olaylarının döviz kuru piyasası volatilitesi üzerindeki etkisi araştırılmıştır. İlk olarak, çalışmada dolar kuru serisinin getiri oranları hesaplanmış ve daha sonra birim kök testleri uygulanmıştır. İlaveten Eckstein and Tsiddon (2004) and Persitz (2006) yaklaşımlarıyla hesaplanan terör endeksi oluşturulmuştur. Hem döviz kuru getirisi hem de terör endeksi için uygulanan birim kök testleri serilerin durağan olduğunu ortaya koymaktadır. Akaike Bilgi Kriteri (AIC) yardımıyla döviz piyasası için ARMA(4,3) modelinin uygun olduğu belirlenmiştir. Uygulanan ARCH testi sonucunda ise ARCH etkisinin olduğu belirlenmiştir. Sonuçta, tahmin edilen ARCH(2) modeli kullanılarak oluşturulan volatilite serisi bağımlı değişken olarak modelde kullanılmıştır. Ayrıca, çalışmada 2001 Şubat ayından sonra yürürlüğe giren dalgalı kur rejimi politikası için bir kukla değişken kullanılmıştır. Volatilite model sonuçları incelendiğinde dalgalı kur politikası uygulanan dönemde, sabit kur politikası uygulanan döneme göre döviz piyasası üzerinde pozitif etkiye sahip olduğu görülmektedir. Yani dalgalı kur politikası döneminde oynaklık daha yüksektir. Son olarak terör olaylarının döviz piyasası oynaklığını artırdığı sonucuna ulaşılmıştır. Fakat bu oynaklık 2001 sonrasında, öncesine göre daha azdır. Bu sonuç 2001 sonrasında Türkiye’de istikrarlı bir dönem olduğunu göstermektedir..
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  • Turkish

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