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Turkiye’de Kamu Borc Stokunun Yapisi : Orijinal Gunah Gostergeleri ve Risk-Dahil Kamu Borc Yuku

Turkiye’de, borc stokunun yapisi incelendiginde, vadesinin kisa; degisken faizli, doviz cinsi/ dovize-endeksli senetlerin stok icerisindeki payinin ise yuksek oldugu gorulmektedir. Bu yapi, faiz orani ve doviz kuru oynakliklarina karsi borc servisi/ borc stokunu riskli hale getirmektedir. Bu nedenle, bu tur bir yapidaki borc stokunun riskleri icerecek sekilde hesaplanmasi anlamli olmakta ve kamunun ustlendigi olasi riskin izlenmesine imkan tanimaktadir. Bu calismada, faiz orani ve doviz kurundaki oynakligin borc stokunun gelisimine dahil edilmesi suretiyle, ulke riskliliginin degerlendirilmesinde kullanilabilecek yeni bir gosterge olusturulmasi amaclanmistir. Bu cercevede, risk unsurlarini iceren bir gosterge hesaplamak için VaR (Value-at-Risk) metodolojisinden faydalanilmis, tarihsel simulasyon yontemi kullanilarak borc yukunun (Borc Stoku /GSYIH) yuzde 95 guven araliginda alabilecegi maksimum deger hesaplanmistir. Soz konusu maksimum deger, risk-dahil borc yuku olarak tanimlanmistir. Farkli tarihsel zaman kesitleri baz alinarak olusturulan risk-dahil borc yuku gostergelerinin zaman icindeki gelisimi, borc stokunun yapisindaki degisim ve secilen zaman kesitinde, faiz orani ve doviz kurunun oynakliginin gelisimini yansitmaktadir. Zaman kesitinin uzunlugundan bagimsiz olarak, 2002 yilindan itibaren farkli donemlerde, risk-dahil borc yuku azalma egilimine girmekle birlikte, 2005 yili birinci ceyregi itibariyla 2001 krizi öncesine gore yuksek seviyede bulunmaktadir. Risk-dahil borc stokunun kriz oncesi seviyesine donememesi, 2001 krizi sonrasinda yasanan seviye artisi ve yapisal degisimi yansitmaktadir.

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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 0702.

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Date of creation: 2007
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Handle: RePEc:tcb:wpaper:0702
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