Cilt 10 Sayı 2 (2022): Business & Management Studies: An International Journal
Makaleler

Türkiye Forex piyasalarının kaotik dinamikleri

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  • Ata ÖZKAYA
Ata ÖZKAYA
Doç. Dr., Galatasaray Üniversitesi, İstanbul, Türkiye
DOI: https://doi.org/10.15295/bmij.v10i2.2068

Yayınlanmış 2022-06-25

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

ÖZKAYA, A. (2022). Türkiye Forex piyasalarının kaotik dinamikleri. Business & Management Studies: An International Journal, 10(2), 787–795. https://doi.org/10.15295/bmij.v10i2.2068

Telif Hakkı (c) 2022 Ata ÖZKAYA

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Özet

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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