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Journals / Central Bank Review / 2014 / Cilt: 14 - Sayı: 2

TÜRK DÖVİZ PİYASASINDA RASYONELLİĞE İLİŞKİN DEĞERLENDİRMELERJEL D84, F31, G14

TESTS OF RATIONALITY IN THE TURKISH FOREIGN EXCHANGE MARKET

Neslihan TOPBAŞ
Pages
65–78
DOI
—
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⚡ TL;DR(Too Long; Didn't Read)

Another test of rationality has also been checked and the result has been rejection as well, which can be interpreted that the forward premium contains additional information for exchange rate forecasts.JELD84, F31, G14

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The rationality of expectations has been tested in many foreign exchange markets using survey data.
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Key Findings & Data:Using survey data provided by Central Bank of Turkey on the exchange rate of the Turkish lira against the US dollar, it is determined that the mean of expectations of market participants for one year and one month ahead were higher than the mean of actual depreciation.
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Conclusion & Impact:Another test of rationality has also been checked and the result has been rejection as well, which can be interpreted that the forward premium contains additional information for exchange rate forecasts.JELD84, F31, G14
🔬Design:Survey & Empirical Study
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

The rationality of expectations has been tested in many foreign exchange markets using survey data. This study is aimed at gaining empirical insights about the expectations of market participants in the Turkish foreign exchange market. Using survey data provided by Central Bank of Turkey on the exchange rate of the Turkish lira against the US dollar, it is determined that the mean of expectations of market participants for one year and one month ahead were higher than the mean of actual depreciation. The analysis resulted in rejection of the popular test for forward exchange rate unbiasedness in predicting the future spot exchange rate. Another test of rationality has also been checked and the result has been rejection as well, which can be interpreted that the forward premium contains additional information for exchange rate forecasts.JELD84, F31, G14

Özet

Beklentilerin rasyonalitesi birçok döviz piyasasında, anket verileri kullanılmak suretiyle, test edilmiştir. BuçalışmadaTürkiye'de döviz piyasalarındakipiyasa oyuncularının beklentilerine ilişkin ampirik değerlendirmeler yapmak amaçlanmıştır. Türkiye Cumhuriyet Merkez Bankası tarafından yayımlanan ABD dolarkuruna ilişkin 1 yıl ve 1 ay vadeli beklentiler kapsamında piyasa oyuncularının ortalama beklentilerinin gerçekleşen değer kaybından yüksek olduğu tespit edilmiştir. Forward döviz kurlarının gelecekteki spot döviz kurunun tahmininde yansızlığına ilişkin testler ise olumsuz sonuçlanmıştır. Beklentilerin rasyonelliğini değerlendirmek üzere, gerçekleşen devalüasyon ile beklenen devalüasyon regresyon analizine tabi tutulmuş ve 1 ay vade için beklentilerin gerçekleşmeler ile ters yönlü olduğu tespit edilmiştir.

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Cite This Article

TOPBAŞ, N. (2014). TÜRK DÖVİZ PİYASASINDA RASYONELLİĞE İLİŞKİN DEĞERLENDİRMELERJEL D84, F31, G14. Central Bank Review, Cilt: 14 - Sayı: 2, 65–78. https://ajindex.com/articles/146329

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