Yayınlanmış 25.06.2022
Anahtar Kelimeler
- Kaos, Lyapunov Katsayısı, Verimli Piyasalar Hipotezi, Sepet Kur, Türk Lirası
- Chaos, Lyapunov Exponent, Efficient Market Hypothesis, Exchange Rate, Turkish Lira
Nasıl Atıf Yapılır
Telif Hakkı (c) 2022 Ata ÖZKAYA
Bu çalışma Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License ile lisanslanmıştır.
Nasıl Atıf Yapılır
Öz
Finansal sistemler, özellikle de kur piyasaları kompleks sistemlerdir. Bu çalışmamızda Türkiye kur piyasalarının kaotik dinamik sergileyip sergilemediğini araştırıyoruz. Bunun için, Euro ve ABD Doları’nı eşit ağırlıklı alarak meydana getirdiğimiz kur sepetini inceliyoruz. Bu kur sepeti bir finansal zaman serisi teşkil eder, bu seriyi 2 Mayıs 2018 tarihinden 23 Mayıs 2022 tarihine kadar günlük gözlemlerle oluşturduk ve bu serinin Lyapunov katsayılarını hesapladık. Araştırmamıza konu olan zaman dilimi, Türkiye’de alışılmışın dışında, alternatif ekonomi politikalarının uygulandığı bir dönemdir. Faz-uzayı yapılandırması metodunu kullandık para politikası uygulamalarının sonucu olarak ortaya çıkan çoklu-dengeleri araştırdık. Çalışmamız göstermektedir ki, kur piyasaları kaotik bir davranış sergilemektedir, sepet kur serisi kaotiktir ve pozitif Lyapunov katsayısı hesaplanmıştır. Piyasalarda karmaşıklığın artışı kurlarda geri beslemeli volatilite artışına sebep olabilir ve süregen volatilite artışları politika yapıcılar açısından sorun teşkil eder. Eğer kaotik davranışın nedenleri kısa-dönemde bulunmaz ve çoklu-dengeleri ortadan kaldıracak politikalar, sözlü yönlendirmeler ortaya konmazsa, beklentiler bozulur. Bulgularımızın Merkez bankası müdahaleleri, portföy ve risk yönetimi açısından önemli sonuçları vardır.
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