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Journals / Bogazici Journal: Review of Social, Economic and Administrative Studies / 2007 / Cilt: 21 - Sayı: 1

Gelişmiş ve Gelişmekte Olan Ülkeler Arasında Kur-Getiri Eşbütünleşmesi: Türkiye Örneği

Currency and Yield Co-Integration Between a Developed and an Emerging Country: the Case of Turkey

Ahmet Can İNCİ
Pages
1–20
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Results are partly driven by the very different risk characteristics of short-term US bonds and the Turkish currency.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The relationship between currencies and the interest rates of different maturities is examined in the Turkish-US context.
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Key Findings & Data:The real exchange rate between the new Turkish lira (YTL) and the US dollar is found to depend on both short- and long-term real US-Turkish interest rate differences.
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Conclusion & Impact:Results are partly driven by the very different risk characteristics of short-term US bonds and the Turkish currency.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

The relationship between currencies and the interest rates of different maturities is examined in the Turkish-US context. The real exchange rate between the new Turkish lira (YTL) and the US dollar is found to depend on both short- and long-term real US-Turkish interest rate differences. Cointegrating regressions generate negative and significant coefficients for long-rate differential, consistent with uncovered interest parity and the expectations hypothesis. On the other hand, positive coefficients for real short-term rate differential reveal the forward premium puzzle and the failure of uncovered interest parity for short-horizons. Results are partly driven by the very different risk characteristics of short-term US bonds and the Turkish currency.

Özet

Döviz kurları ve değişik vadeli faiz oranları arasındaki ilişki Türkiye-ABD ekonomileri içeriğinde incelenmiştir. Yeni Türk Lirası (YTL) ve Amerikan Doları arasındaki reel kur oranı, hem kısa vadeli Amerikan-Türk reel faiz oranı farkına, hem de uzun vadeli Amerikan-Türk reel faiz oranı farkına bağlı olduğu bulunmuştur. Eşbütünleşme gerilemeleri uzun vadeli faiz farkı için negatif ve belirgin katsayılar elde etmiştir. Bu sonuç Garantisiz Faiz Oranı Hipotezi ve Beklentiler Hipotezi ile uyumludur. Öte yandan, reel kısa vadeli faiz oranı farkı için bulunan pozitif katsayılar, vadeli prim bilmecesini ortaya çıkarmaktadır. Bu sonuç da kısa vadeler için Garantisiz Faiz Oranı Hipotezinin geçersizliğini göstermektedir. Elde edilen bulgular kısmen kısa vadeli Amerikan tahvillerinin ve Türk Lirasının çok farkl risk özelliklerinden kaynaklanmaktadır.

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Cite This Article

İNCİ, A. C. (2007). Gelişmiş ve Gelişmekte Olan Ülkeler Arasında Kur-Getiri Eşbütünleşmesi: Türkiye Örneği. Bogazici Journal: Review of Social, Economic and Administrative Studies, Cilt: 21 - Sayı: 1, 1–20. https://ajindex.com/articles/147308

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