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Risk Istahi Endeksleri ve Ifade Ettikleri


  • Koray Kalafatcilar
  • Gursu Keles


[TR] Bu notla, finansal piyasalarin performansinin belirleyicileri arasinda oldugu dusunulen risk istahi kavraminin tanitilmasi, risklilikle olan baglantisinin acikliga kavusturulmasi ve bu kavrami olcmeyi hedefleyen calismalarin yontem ve performans bazinda incelenmesi amaclanmistir. Analizler risk istahi-risklilik ayristirmasinda teoriye dayanan endekslerin daha basarili oldugunu, fakat calkanti donemlerinde bu endekslerin ifade ettigi degisimin buyuklugu hakkinda ihtiyatli olunmasi gerektigini gostermektedir. Ayrica teoriye dayanan endekslerin, riskliligin gorece sabit oldugu zamanlarda, finansal kirilganlik icin iyi bir gosterge oldugu dusunulmektedir. [EN] This note aims at presenting the concept of risk appetite and its link to the variations in risk as well as analyzing the methodological aspects and empirical performance of different approaches aiming at measuring the risk appetite. Analysis shows that theory-based indices are more successful for the decomposition of risk appetite and riskiness. Moreover, during turmoil periods some caution is required when extracting information on the magnitude of the change in risk appetite from risk appetite indices. Furthermore, theory-based indices are thought to constitute a good indicator for monitoring of financial fragility during periods of relatively stable riskiness.

Suggested Citation

  • Koray Kalafatcilar & Gursu Keles, 2011. "Risk Istahi Endeksleri ve Ifade Ettikleri," CBT Research Notes in Economics 1112, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Handle: RePEc:tcb:econot:1112

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    1. Fethi Ogunc & Cagri Sarikaya, 2011. "Gorunmez Ama Hissedilmez Degil : Turkiye'de Cikti Acigi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 11(2), pages 15-28.
    2. Elif C. Arbatli, 2003. "Exchange Rate Pass-Through in Turkey : Looking for Asymmetries," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(2), pages 85-124.
    3. Fethi Ogunc, 2010. "Turkiye'de Islenmemis Gida Enflasyonunda Oynaklik : Durum Tespiti," CBT Research Notes in Economics 1005, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    5. Hakan Kara & Fethi ÃÄünç, 2008. "Inflation Targeting and Exchange Rate Pass-Through: The Turkish Experience," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(6), pages 52-66, November.
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