Getiri Egrilerinin Doviz Kuru Tahmininde Kullanilmasi

Murat Duran ()

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

Abstract: [TR] Bu calisma, finansal piyasalar acisindan oldukca onemli olan doviz kuru tahmininde getiri egrilerinin kullanilabilirligini incelemektedir. Bu kapsamda Chen ve Tsang (2013) tarafindan gelismis ulkeler icin uygulanan goreli getiri egrileri yaklasimi kullanilmistir. Soz konusu yaklasim, finansal ekonominin en temel konularindan uluslararasi parite kosullari ile faiz oranlarinin vade yapisini aciklayan teorileri bir arada ele almaktadir. Bu dogrultuda yapilan analizler, ABD dolari/TL ve Euro/TL kurlarinin tahmininde goreli getiri egrilerinin kullanilabilecegini gostermektedir. Tahmin ufku uzadikca isabet artmaktadir. Elde edilen bulgulara gore Turkiye’de getiriler goreli olarak arttiginda ya da getiri egrisi goreli olarak yataylastiginda TL degerlenmektedir. [EN] This note investigates the predictability of exchange rates, which is crucial for the financial markets, using yield curves. In this context, we use the relative yield curve approach carried out by Chen and Tsang (2013) for currencies of several developed countries. This approach is based on two major concepts of financial economics, which are the international parity conditions and the theories on term structure of interest rates. The analyses carried out using this approach indicate that relative yield curves are useful in US Dollar/lira and Euro/lira exchange rate predictions. Moreover, predictions become more accurate as the horizon increases. According to the estimation results, Turkish lira appreciates when yields in Turkey increase relatively or when Turkish yield curve becomes flatter relatively.

Date: 2014
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