Enflasyon ve Cari Islemler Dengesi Veri Surprizinin Kur uzerindeki Etkisi

Fatma Erdem and Ali Gencay Ozbekler

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu calismada Ocak 2010 - Temmuz 2018 doneminde enflasyon ve cari denge veri surprizlerinin spot doviz piyasasinda ABD dolari/Turk lirasi kuru uzerindeki etkisi gun ici pencereler yontemi kullanilarak test edilmektedir. Elde edilen bulgular, beklentilerden olumsuz aciklanan verilerin Turk lirasinda deger kayiplarina yol actigini, gun ici pencerelerde gorulen anlamli etkinin gun sonunda devam etmedigine isaret etmektedir. Ayrica, enflasyonun beklentilerden yuksek geldigi veriler sonrasinda Turk lirasi deger kaybi yonunde daha yuksek hassasiyet gosterirken, cari islemler dengesi verilerinde olumlu surprizler doviz piyasasinda daha etkili bulunmustur. Bu calisma kapsaminda, sonuclar enflasyon ve cari acik surprizlerine piyasa tepkisinin farklilastigina isaret etmektedir. [EN] This paper investigates the response of USDTRY parity to data surprises of inflation and current account releases by using intraday data during the period between January 2010 and July 2018. Our results show that data surprises have significant effect on the FX market during the intraday periods while, the effects disappear towards the end of the data release day. In addition, the sensitivity of FX market on inflation in terms of negative data surprises (data higher than expectations) is found to be higher than the positive data surprises (data lower than expectations). On the other hand, positive current account data surprises are found to have more impact on the spot FX market than negative data surprises. Thus, our study unveils an asymmetry in market reaction to the data releases of inflation and current account in Turkey.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1901

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