Doviz Kuru Beklentileri ve TCMB Para Politikasi

Ahmet Degerli and Salih Fendoglu ()

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

Abstract: [TR] Bu not, ABD dolari/TL doviz kuru beklentilerinin oynaklik, carpiklik ve basikligini benzer gelismekte olan ulkelerle karsilastirilmakta ve son donem TCMB para politikasi cercevesinin bu momentlere olasi etkisini donemlerarasi karsilastirma yaparak analiz etmektedir. Bu momentleri elde etmek icin, varlik fiyatlarina iliskin piyasa beklentilerini ve algilamalarini yansitmada onemli bir bilgi kaynagi olan opsiyon fiyatlari kullanilmis ve riske duyarsiz doviz kuru olasilik yogunluk fonksiyonlari hesaplanmistir. Sonuclar, Kasim 2011 donemini takiben ABD dolari/TL kurunun diger doviz kurlarina gore gerek oynaklik gerekse carpiklik ve basiklik degerlerinde belirgin bir dusus oldugunu gostermektedir. Ozellikle, oynaklik ve TL uzerindeki olasi asiri degerlenme/deger-kaybetme baskisini gosteren basiklik degerlerindeki dusus dikkat cekmektedir. Bu gelismede TCMB tarafindan son donemde uygulamaya konulan asimetrik faiz koridoru ve rezerv opsiyonu mekanizmasi gibi politika araclarinin etkili oldugu dusunulmektedir. [EN] This note compares volatility, skewness and kurtosis of USD/TL exchange rate expectations in comparison with similar emerging market economies, and studies the potential effect of recent policy framework of CBRT on these higher moments. To obtain these moments, we use option prices –an important source of information about market expectations and perceptions about asset prices– and extract risk-neutral probability density (RND) functions of emerging economies’ currencies. The results show that after November 2011 USD/TL exchange rate has shown a prominently lower level of volatility, skewness and kurtosis relative to other currencies. Especially, the decrease in the volatility and the kurtosis –a measure of extreme appreciation/depreciation pressure on the exchange rate– is remarkable. This result can be attributed to the potential effect of recent policies implemented by the CBRT such as asymmetric interest rate corridor and reserve option mechanism.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1302

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