Doviz Piyasasi Stresi ve Likidite Iliskisi

[TR] Bu notla, doviz piyasasindaki stres duzeyinin olculebilmesi icin piyasa temelli degiskenler kullanilarak bir endeks olusturulmasi amaclanmistir. Stres endeksi hesaplanirken doviz piyasasinda islem yapan oyuncularin kararlarini etkileyen kur risk primi faktorleri dikkate alinmistir. Bu kapsamda, ABD dolari/TL kurunun kisa vadeli seviye degisimini, kisa vadeli beklenen yonunu ve oynaklik duzeyini temsil eden degiskenler belirlenerek gostergeler turetilmis, daha sonra sistemik risk olcum yaklasimi ile soz konusu gostergeler arasindaki korelasyon seviyelerini de icerecek ssekilde kurulan bir endeks olusturulmustur. Calismanin sonraki kisminda, doviz piyasasindaki stres seviyesini gosteren bu endeksin, doviz piyasasi likiditesi ile iliskisi analiz edilmistir. Bu dogrultuda, TCMB’nin son donemde doviz likiditesi kosullarina vurgu yaparak enerji ithalatcisi kamu iktisadi tesebbuslerinin doviz ihtiyacinin gerekli gorulen kisminin dogrudan karsilanmasina iliskin politika adiminin arka plani degerlendirilmistir. Bulgular, doviz piyasasi likiditesi kosullarinin endeks ile olculen doviz piyasasi stresi uzerinde etkili olduguna isaret etmektedir. Bu nedenle, piyasa likiditesine yonelik soz konusu politika adiminin finansal istikrara katkida bulunacagi dusunulmektedir. [EN] In this note, in order to measure the stress level in the foreign exchange market, we aim to build an index by using market-based variables. Stress index is calculated with the currency risk premia factors that are affecting the foreign exchange market players. By using market based variables which represent the short term changes in the realized level, short term expectations on direction, and the volatility of USD/TL exchange rate, we build indicators, then we aggregate them into an overall index with a systemic risk measurement approach by taking the time-varying cross-correlations between these indicators into account. Next, we analze the relationship between the index and the foreign exchange market liquidity. To this end, we evaluate the background of the CBRT’s recent policy move which aims to cover the FX needs of the energy importing state owned enterprises so as to improve FX liquidity. The empirical results show that foreign exchange market liquidity condition is an important determinant for the foreign exchange market stress level. Thus, it can be suggested that CBRT’s recent policy move aimed at improving the foreign exchange liquidity would contribute to the financial stability.