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Doviz Piyasasinin Etkinligi: Turkiye icin Bir Analiz

Author

Listed:
  • Burcu BERKE

    () (Nigde Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Iktisat Bolumu)

  • Burcu OZCAN

    () (Firat Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Iktisat Bolumu)

  • Hatice Isin DIZDARLAR

    () (Nigde Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

Abstract

Literaturde, doviz piyasasinin etkinligi, doviz alim-satimi yapanlar ve politika yapicilar icin onemli bir kavram olup bir piyasada fiyat tum bilgi setini yansitiyor ise bu piyasanin etkin oldugu ifade edilmektedir. Bir diger ifadeyle, Fama vd. (1969) etkin piyasa terimini “yeni bilgiye hizli bicimde intibak eden” bir piyasa seklinde tanimlamislardir. Zayif form etkinlikte, piyasada tum fiyatlar, gecmis fiyatlar veya getirilerde elde edilebilir tum bilgiyi yansitirken, yari guclu form etkinlikte ise doviz kurlari sadece gecmis doviz kurlarina iliskin bilgiyi degil ayni zamanda diger doviz kurlari ve makroekonomik degiskenlere iliskin bilgiyi de yansitmaktadir. Bu calismanin temel amaci, Turkiye’de 2006:04-2013:12 doneminde TL/$ ve TL/Euro doviz piyasalarinin zayif ve yari guclu formlarda etkin olup olmadigini yapisal kirilmali birim kok ve esbutunlesme yontemleriyle analiz etmektir. Analiz sonuclari, Turk doviz piyasasinin zayif formda etkin oldugunu gosterirken, yari guclu formda etkin olmadigini ve forward kur yansizlik hipotezinin Turkiye icin gecerli olmadigini ortaya koymaktadir.

Suggested Citation

  • Burcu BERKE & Burcu OZCAN & Hatice Isin DIZDARLAR, 2014. "Doviz Piyasasinin Etkinligi: Turkiye icin Bir Analiz," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(4), pages 621-636.
  • Handle: RePEc:ege:journl:v:14:y:2014:i:4:p:621-636
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    More about this item

    Keywords

    Turk doviz piyasasi; zayif ve yari guclu formlarda etkinlik; forward yansizlik hipotezi; yapisal kirilmali birim kok ve esbutunlesme testleri;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics

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