Risk Istahi Endeksleri ve Ifade Ettikleri

Koray Kalafatcılar () and Gursu Keles

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

Abstract: [TR] Bu notla, finansal piyasalarin performansinin belirleyicileri arasinda oldugu dusunulen risk istahi kavraminin tanitilmasi, risklilikle olan baglantisinin acikliga kavusturulmasi ve bu kavrami olcmeyi hedefleyen calismalarin yontem ve performans bazinda incelenmesi amaclanmistir. Analizler risk istahi-risklilik ayristirmasinda teoriye dayanan endekslerin daha basarili oldugunu, fakat calkanti donemlerinde bu endekslerin ifade ettigi degisimin buyuklugu hakkinda ihtiyatli olunmasi gerektigini gostermektedir. Ayrica teoriye dayanan endekslerin, riskliligin gorece sabit oldugu zamanlarda, finansal kirilganlik icin iyi bir gosterge oldugu dusunulmektedir. [EN] This note aims at presenting the concept of risk appetite and its link to the variations in risk as well as analyzing the methodological aspects and empirical performance of different approaches aiming at measuring the risk appetite. Analysis shows that theory-based indices are more successful for the decomposition of risk appetite and riskiness. Moreover, during turmoil periods some caution is required when extracting information on the magnitude of the change in risk appetite from risk appetite indices. Furthermore, theory-based indices are thought to constitute a good indicator for monitoring of financial fragility during periods of relatively stable riskiness.

Date: 2011
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