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Dergiler / Sosyoekonomi / 2026 / Cilt: 34 Sayı: 69

Türkiye’de Finansal Piyasalar Arasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması

Volatility Spillover Among Financial Markets in Türkiye: An Application of the TVP-VAR Model

Yüksel İltaş(KIRŞEHİR AHİ EVRAN ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, İŞLETME BÖLÜMÜ)0000-0001-8853-838X
Adnan Güzel(TÜRK HAVA KURUMU ÜNİVERSİTESİ)0000-0002-0055-712X
Sayfa
533–559
Yayın Tarihi
2026-07-31
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Bulgular, USD/TL kurunun finansal sistemde en güçlü volatilite kaynağı olduğunu ve özellikle CDS primini, BIST 100 endeksini ve 5 yıllık tahvil faizini belirgin biçimde etkilediğini göstermektedir.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Bu çalışmada, Türkiye’de BIST 100 endeksi, USD/TL kuru, altın fiyatları, TL gecelik referans faiz oranı, 5 yıllık tahvil faizi ve 5 yıllık CDS primi arasındaki volatilite yayılımı 02.01.2018-31.12.2024 dönemine ait günlük frekanslı verilerle incelenmiştir.
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Temel Bulgular & Veri:Bulgular, USD/TL kurunun finansal sistemde en güçlü volatilite kaynağı olduğunu ve özellikle CDS primini, BIST 100 endeksini ve 5 yıllık tahvil faizini belirgin biçimde etkilediğini göstermektedir.
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Sonuç & Katkı:Buna karşılık, gram altın fiyatları ve TL gecelik referans faiz oranı, görece daha sınırlı bir volatilite yayılımı sergilemekte ve diğer değişkenlere daha düşük düzeyde oynaklık aktarmaktadır.
🔬Tür:Araştırma Makalesi
📍Kapsam:2018 Verileri
⚙️Değişkenler:TVP-VAR · Finansal Piyasalar · Volatilite Yayılımı

Özet

Bu çalışmada, Türkiye’de BIST 100 endeksi, USD/TL kuru, altın fiyatları, TL gecelik referans faiz oranı, 5 yıllık tahvil faizi ve 5 yıllık CDS primi arasındaki volatilite yayılımı 02.01.2018-31.12.2024 dönemine ait günlük frekanslı verilerle incelenmiştir. Analizde, zamanla değişen parametrelerin dinamik özelliklerini ortaya koyabilen TVP-VAR yöntemi kullanılmıştır. Bulgular, USD/TL kurunun finansal sistemde en güçlü volatilite kaynağı olduğunu ve özellikle CDS primini, BIST 100 endeksini ve 5 yıllık tahvil faizini belirgin biçimde etkilediğini göstermektedir. Buna karşılık, gram altın fiyatları ve TL gecelik referans faiz oranı, görece daha sınırlı bir volatilite yayılımı sergilemekte ve diğer değişkenlere daha düşük düzeyde oynaklık aktarmaktadır.

Abstract

In this study, the volatility spillovers among the BIST 100 index, the USD/TL exchange rate, gold prices, the TL overnight reference rate, the 5-year bond yield, and the 5-year CDS premium in Türkiye are examined using daily data for the period 02.01.2018-31.12.2024. The TVP-VAR method, which captures the dynamic characteristics of time-varying parameters, is employed. The findings show that the USD/TL exchange rate is the primary source of volatility, strongly affecting the CDS premium, the BIST 100 index, and the 5-year bond yield, while gold and the overnight rate exhibit relatively limited spillovers.

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Bu Makaleye Atıf Yap

İltaş, Y., Güzel, A. (2026). Türkiye’de Finansal Piyasalar Arasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması. Sosyoekonomi, Cilt: 34 Sayı: 69, 533–559. https://doi.org/10.17233/sosyoekonomi.2026.03.25

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