Faiz oranları, döviz kuru ve İMKB bileşik endeksi arasındaki günlük etkileşimler

Kunt, Abdullah Selim
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Fen Bilimleri Enstitüsü
Türk Lirasının uluslararası piyasada özellikle tedavülde çok sık kullanılan Amerikan Doları ve Alman Markı karşısında değer kaybetmesine ek olarak Hazinenin uzun vadeli dış borç bulamaması sonucunda içine düştüğü kısa vadeli, yüksek faizli iç borç kıskacından kendini bir türlü kurtaramaması, faizlerin hemen her gün biraz daha yükselerek senelik bazda %100 ler seviyesinin altına bir türlü inememesi ve bu ikili kıskaç altında borsanın istenilen performansı ve işlem hacmini bir türlü yakalayamaması bu konuyu ivedilikle ele alınması gereken bir sorun haline getirmiştir. İşte bu çalışmada hem söz konusu problemlerin sebepleri hem de faiz oranları, İMKB Bileşik Endeksi ve döviz kurları arasında bir takım ilişkiler olup olmadığı ve eğer varsa bunlardan hangisinin diğerlerini nasıl ve ne yönde etkilediği test edilmeye çalışıldı. Bu amaçla çalışmanın ilk iki bölümünde gerek bir takım temel kavramlar gerekse günlük veriler kullanılmak suretiyle yapılacak olan zaman serisi analizlerine ilişkin detaylı teorik bilgiler sunuldu. Çalışmanın üçüncü ve son bölümde ise yapılan uygulamalar ve sonuçları detaylı bir şekilde anlatılarak mevcut ilişkiler ve boyutları ortaya konuldu. Bu sonuçlara göre faiz oranları ve döviz kurları arasında aynı yönlü ve pozitif bir etki saptanırken İMKB bileşik endeksinin beklenen tepkileri vermediği ortaya çıkmıştır.
Turkish Lira is continously losing value against the world's most widely spread and strongest currencies the United States Dollar and the Deutsche Mark. The devaluation rate was at its highest during the crisis that Turkish economy went through in 1994. Altough the rate slowed down a bit, it kept its pace up to today. From time to time the Central Bank of Turkey has to devaluate the Turkish Lira against the USD or the DM may be twice within a day. The reason being that either the USD or the DM gains value in foreign markets (especially the European market) against other currencies. The yearly enflation rate is about 80% and the ratio of imports to exports is increasing continously. It is becoming impossible to lessen the budget deficit and the treasury is having hard time in finding enough foreign debt with reasonable interest rates such as LIBOR + 3 and a maturity of two to five years. Therefore it has to obtain debt from the domestic market by selling Treasury Bills and Goverment Bonds at higher rates for shorter maturities which are no longer than a year. In light of all these economic factors the domestic debt is increasing everyday and the interest rates have settled to a new plateau of 100% compounded annual rate caused mainly by political uncertainties. As a result of above mentioned factors that influence the Turkish economy, in order to be able maintain its' living the Treasury has to borrow money at a annua! real rate of nearly 20%. Under such circumstances in which the TL is devaulated nearly twice a day and the annual interest rates are at 100%, its quite normal that the level of new investments in the production sector is very low. Since the time value of money therefore the new investments is very high it is nearly impossible to find enough capital for new investments at reasonable rates. This situation affects the stock market directly and it never reaches the level of performance which is expected from it. Having completed giving a general view of the Turkish economy now its time to explain why such a subject was chosen as the masters thesis and how the research was carried out. The first thing that was decided on even before the subject of the thesis was chosen, was to make such a research that it would both be both perfect as an academic study as well as being very handy so that it can easily be used Xll in everday life. With this aim in mind, in the fourth step of this research a very popullar subject - the relations between interest rates, exchange rates and the stock market - was taken into consideration to be tested so that the practical side of this study would be as strong as its' theoretical part. Therefore instead of telling the same theoretical information over an over again as a masters thesis it was chosen to do something new whose results would be useful and could also be used easily whenever needed. As the research subject it was tested whether there were some interactions between interest rates, exchange rates and the stock market index. Not only these but also the magnitude and the directions of the relations were tried to be found out. There lies two main factors behind the reasoning of the movements in capital instruments such as exchange rates. The discount rates which is a reflection or a result of differences in infaltion rates which differ from one country to the other being one of the two factors. The other one is the interventions of the central bank on the money markets. Furthermore since a lot of interest has recently developed on the effects of changes in monetary policies on exchange rates, this subject was also taken into consideration in detail. The credibility of the above mentioned reasoning and further the stock market which is in close relation to the money market and how its affected has been the center of this study. The effects of changes on interest rates made by the Central Bank on the interbank money market over-night rates, the discount rates on the interest rates on which the Treasury agrees to pay when borrowing money as well as the İstanbul Stock Exchange Index has been tested in great detail. At the very begining of the research an interaction between interest rates and exchange rates was expected. But it was hard to figure out the magnitude and the direction of these in the short, mid and long term. Besides rhe interactions between the stock market and the other two capital market instruments could not be determined. But it was accepted that both the interest rates and the exchange rates were very effective on the stock market. Under the light of these expectations, in the first step of this research a detailed literature search was done. Especially the articles written on interest rates, exchange rates and the stock market were searched by using the CD - ROM. It was found that lots of articles were written about the relations between the interest rates and the exchanges rates but there were only a few researches which concentrated on finding out whether there were any relations between interest rates, exchange rates and the stock market at the same time. And these articles usually belonged either to the USA, Canada or some Scandinavian countries. Their main concentration area was to figure out the effect of money supply announcements rather than interest rates on exchanges rates and the stock market. X1U Out of these few articles two of them which were very close in subject to this thesis were chosen to form the chasis of this study. The first one of these articles belongs to D.S. Batten and D.L. Thornton. It was published in February 1995 and is a study on discount rates, interest rates and exchange rates which used daily data. The other article was written by W. Bailey in August 1989 and covered the effects of the money supply announcements of the USA on the Canadian stock market, T-Bill rates and the exchange rates. Taking these two articles into consideration the fundementals of the thesis was formed and the research was concentrated in this way. In the second part of the research some basic concepts such as interest rates, exchange rates, stock market, central bank's money policies and their effects to the markets were introduced. Following this, in order to be able to form the right type of model which is going to be used in analising the daily data, time series analysis, followed by some basic econometric headings in the time series analysis such as stationarity, unit root test, cointegration, vector autoregressive models, vector error correction models and impulse response function were covered in great detail. A stochastic process is said to be stationary if its mean and variance are constant over time and the value of covariance between two time periods depends only on the distance or lag betwee the two time periods and not on the actual time at which the covariance is computed. In time series econometrics, a time series that has aunit root is known as a random walk time series. And a random walk is an example of a nonstationary time series. Cointegration means that despite being individually nonstationary, a linear combination of two or more time series can be stationary. The Engle - Granger, Augmented Engle Granger and Cointegrating Regression Durbin Watson tests can be used to find out two or more time series are cointegrated. Cointegration of two or more time series suggests that there is a long run or equilibrium relationship between them. The error correction mechanism (ECM) developed by Engle and Granger is ameans of reconciling the short run behaviour of an economic variable with its long-run behaviour. If there is true simultaneity among a set of variables, they should all be treated on an equal footing; there should not be any a priori dinstinction between endogenous and exogenous variables. This is the main idea underlying the VAR model. The impulse response function (IRF) traces out the response of the dependent variable in the VAR system to shocks in the error terms. Since the individual coefficients in the estimated VAR models are often difficult to interpret, the practitioners of this technique often estimate the IRF. XIV In the third part of the research first of all the daily data was transformed into a proper form by using methods which were introduced in part two so that they could easily be used. Then time series analysis were done using the transformed series. In the fourth and the last part of this research the results that were obtained were evaluated and a conclusion was derived. Thereby the question whether there existed a relation between the stock market and the other capital market instruments was tried to be answered. The variable named BFAIZ which represented the interbank overnight deposit rate was used in the analysis without any transformations. On the other hand the other two time series - one of them being SEPET (meaning basket in English) which was formed according to the following general formula of 1 USD + 1,5 DEM and the other one being İMKB, named after Istanbul Stock Exchanges' index - were used only by differentiating so that they would become stationary. As a result of the impulse response function when a positive impulse of one standard deviation was given to the interbank overnight deposit rate and the results were observed for the following 60 working days it was found out that it had a permanent and a positive response on interest rates. In other words the impulse forms a positive response. It was observed that an increase on interbank overnight deposit rates had a positive and increasing reaction for the first 30 working days. But for the following 30 days the reaction that was observed changed from positive to negative and diminished as time passed by. Although it is common sense that when interest rates rises the cost of funding also rises it is very hard to find a reason for the increase that was observed in the stock exchange index. Besides since the absolute amount of increase or decrease observed in the variable İMKB is very little when compared to the amount of changes observed with the interest rates it is concluded that the interest rates do not affect the stock exchange index. An increase on the interbank overnight deposit rates brings an expectation of devaluation of the Turkish Lira against main hard currencies with itself. Under such a condition there forms a positive and a permanent response on the variable SEPET meaning that these currencies gain value against the TL. As a result of the impulse response function in which an impulse of one positive standard deviation was applied to the exchange rates, it was observed that a positive response on interbank overnight deposit rates was formed. This was expected because if the interest rates are not rised by an amount equal to that of devaulation then all the investors invest in foreign currencies which fastens the devaluation as well as causing a cash squeeze in the money market. XV It has been found out that a positive impulse of one standard deviation on exchange rates has a positive and a permenant response on itself. It was observed that a positive increase in the currency market had a positive and a permenant response on the exchange rates. Since a fast increase in the exchange rates brings a risk of high rated devaluation with itself, investors who do not wish to face such a situation increase the demand for such currencies thereby increasing the exchange rate. When the impulse response function is applied to exchanges rates it is extremely hard to tell what will its' direction going to be or whether a response will be formed at all by the variable İMKB. The response that İMKB forms against increases in the variable SEPET shows a wavey trend with an average value of 0.004. And in such a case it is hard to talk of a net response. An increase in the variable İMKB has both a wavey and a negative (decreasing) effect both on interest rates and the variable SEPET, but has a positive and a permenant effect on itself. An increase in the variable İMKB is always attractive to the investors. This situation causing an extra demand formed by investors who continuously buy securities in the stock market causes the index to jump on to the next highest step. In the impuse response analysis it was observed that responses collected for 20working days were mainly misleading since the time period was very short. On the other hand responses collected for 60 working days (3 months) was ideal for the conditions of Turkey. However the most precise predictions could only be made by using the results of a impulse response function made for 120 working days. Although the responses received for 120 days is the best when compared to 20 and 60 working days, it is a little bit hard to reliy since the period is a bit long for unstable countries such as Turkey. Because everything can easily and totally change within a few minutes time, the estimations made using the old time series has to be changed totally according to the new conditions. As a result there actually existed a relation but it is only a one way relation with a very little magnitude. On the other hand there is a dense relation between interest rates and exchange rates.
Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, 1997
Anahtar kelimeler
Döviz kuru, Faiz oranları, İMKB, ISE, Exchange rate, Interest rates