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Tahvil ve Doviz Swap Piyasalari Likidite Gostergesi

Doruk Küçüksaraç, Ibrahim Ozbek and Irem Talasli

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

Abstract: [TR] Finansal varliklarin fiyatlarinda oynakliga ve belirsizlige yol acan onemli faktorlerden birisi varliklarin piyasa likiditesidir. Varliklarin piyasa likiditesindeki oynaklik fiyatlarina yansiyarak merkez bankalari ve yatirim kuruluslarinin finansal varliklardan bilgi cikarimini zorlastirmaktadir. Bu kapsamda, varliklarin likiditesine iliskin gelismelerin takip edilmesi onem arz etmektedir. Bu amaca yonelik olarak, mevcut calismada Turkiye tahvil ve doviz swap piyasalari icin Ocak 2011-Nisan 2019 tarihleri arasinda gunluk olarak likidite gostergeleri hesaplanmaktadir. Soz konusu gostergeler, tek bir finansal varlik yerine ayni varlik sinifinda islem goren veya kote edilen tum urunlerin fiyatlarindaki bilgiler kullanilarak turetilmektedir. Elde edilen likidite gostergelerinin tarihsel seyri likidite kosullarinin yuksek oynaklik donemlerinde daha hizli bozulduguna isaret etmektedir. Ayrica, benzer yapidaki iki varlik sinifi icin gostergelerin turetilmesi de likidite kosullarindaki bozulmanin genele yayildigina ya da tek bir varlik sinifina ozel olup olmadigina dair bilgi sunmaktadir. Turetilen likidite gostergelerinin piyasada yaygin olarak kullanilan likidite gostergeleriyle uyumlu seyrettigi ve soz konusu gostergelerin tahvil ve doviz swap piyasalarinda piyasa likiditesine iliskin benzesme ve farklilasmalari takip etmeye olanak taniyacagi degerlendirilmektedir. [EN] Assets’ market liquidity is one of the important factors that cause volatility and uncertainty in the prices of financial assets. The volatility of asset market liquidity is reflected into their prices, thus making it harder for central banks and investment institutions to extract information from financial assets. Therefore, monitoring developments in assets’ liquidity is important. To this end,this study measures daily liquidity indicators for the Turkishbond and foreign currency swap markets between the January 2011 and April 2019 period. Instead of using a single financial asset, the indicator is derived by utilizing the prices of all products traded or quoted in the same asset class.The historical course of the calculated liquidity indicators shows that the liquidity conditions deteriorate more rapidly in high volatility periods. In addition, the derivation of liquidity indicators for two similar asset classes provides information on whether the deterioration in liquidity conditions are spread or specific to a single asset class. It is evaluated that the derived liquidity indicators are in line with the liquidity indicators commonly used in the market and that these indicators will facilitate monitoring the similarities and differences between the market liquidity in bond and foreign exchange swap markets.

Date: 2020
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