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An analysis on determination the Turkish foreign exchange market bubbles: The case of Turkey

Year 2019, Issue: 54, 447 - 460, 31.12.2019
https://doi.org/10.18070/erciyesiibd.461888

Abstract

The volatility in financial
markets and the sharp increases in asset prices cause bubbles. In today's global
financial order, due to the fact that financial assets stand out from day to
day, they cause excessive swelling in the prices of financial assets and force
the real economy. On the other hand, the explosion of bubbles formed by
financial assets with excessive swelling prices is threatening the economic
stability. In this context, the analysis and determination of the presence of
bubbles in the foreign exchange markets, which are the reflection of daily
fluctuations in the financial markets, becomes more important. In this study,
with reference to USD / TRY and EUR / TRY exchange rates, it has been
investigated whether there is the bubble in Turkish Exchange Market for the
period of 2005:01-2018:11. To do this, Generalized SADF (GSADF) test were used
to determine the bubbles. The results show that there is strong empirical
evidence in support of speculative bubbles occur in USD / TL and EURO / TL
exchange rates in the Turkish Foreign Exchange Market.

References

  • AHMED, Ehsan., J. Barkley ROSSER, Jr. ve Jamshed Y. UPPAL; (2016), “Financialization and Speculative Bubbles-International Evidence” CAMA Working Paper, No. 6/2017,1-26.
  • BAUMOL, William J.;(1957), “Speculation, Profitability, and Stability”, The Review of Economics and Statistics, 39(3), pp. 263-271.BASCO, Sergie; (2014), “Globalization and Financial Fevelopment: A Model of the Dot-Com and the Housing Bubbles”, Journal of International Economics, 92(1), 78-94.
  • BETTENDORF, Timo, ve Wenjuan Chen; (2013), “Are there Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests” Economics Letters, 120(2), 350-353.
  • BOZOKLU, Şeref ve Fatma ZEREN; (2013), “Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, 5(9), ss. 17-31.
  • CASPI, Itamar; (2016), “Testing for a Housing Bubble at The National and Regional Level: The Case of Israel”, Empirical Economics, 51(2), 483-516.
  • CAMPBELL, John Y. ve Robert J. SHILLER; (1987), “Cointegration and Tests of Present Value Models”, Journal of Political Economy, 95(5), pp. 1062–88.
  • CEYLAN, Fatih, Osman TÜZÜN, Ramazan EKİNCİ ve Hakan KAHYAOĞLU; (2018), “Kripto Para Piyasalarında Finansal Balonlar (Bubbles): Bitcoin ve Etherium”, 4 th SCF International Conference on “Economics and Social Impacts of Globalization” and “Future Turkey-European Union Relations, s. 207.
  • CHEUNG, Adrian Wai-Kong, Eduardo ROCA, Jen-Je SU; (2015), “Crypto-currency Bubbles: an Application of The Phillips, Shi and Yu (2013) methodology on mt. gox Bitcoin Prices”, Applied Economics, 47 (23), 2348–2358.
  • ÇAĞLI, Çağlar Efe ve Evrim Pınar MANDACI ; (2017), “Borsa İstanbul'da Rasyonel Balon Varlığı: Sektör Endeksleri Üzerine Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(629), 63-76.
  • ÇOŞKUN, Yener, Ünal SEVEN, H. Murat ERTUĞRUL ve Ali ALP; (2017), “Housing Price Dynamics and Bubble Risk: The Case of Turkey”, Housing Studies, 1-37.
  • DIBA, Behzad T. ve Herschel I. GROSSMAN; (1988), “The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, 98(392), pp. 746-754.
  • DOWD, Kevin; (2014), “New Private Monies: A Bit-Part Player?”, Institute of Economic Affairs Hobart Paper, No: 174, London.
  • ENGSTED, Tom., Simon J. HVIID ve Thomas Q. PEDERSEN; (2016). Explosive Bubbles in house prices? Evidence from The OECD Countries. Journal of International Financial Markets, Institutions and Money, 40, 14-25.
  • FRIEDMAN, Milton; (1953), Essays in Positive Economics, United States: University of Chicago Press.
  • FRY, John, Eng-Tuck CHEAH; (2016), “Negative Bubbles and Shocks in Cryptocurrency Markets”, International Review of Financial Analysis, 47, 343–352.
  • GROVER, Richard ve Christine GROVER; (2014), “Property Bubbles–a Transitory Phenomenon”, Journal of Property Investment & Finance, 32(2), 208-222.
  • Jıang, Chun, Yi WANG, Tsangyao CHANG ve Su, Chi-Wei Su; (2015), “Are there Bubbles in Chinese RMB–dollar exchange rate? Evidence from Generalized Sup ADF Tests”, Applied Economics, 47(56), 6120-6135.
  • HALL, Stephen George, Zacharias PSARADAKİS and Martin SOLA; (1999), “Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test”, Journal of Applied Econometrics, 14(2), pp. 143–54.
  • HARDOUVELIS, Gikas A.; (1988), “Evidence on Stock Market Speculative Bubbles: Japan, the United States, and Great Britain”, Federal Reserve Bank of New York Quarterly Review, (Sum), pp. 4–16.
  • HART, Oliver D. and David M. KREPS; (1986), “Price Destabilizing Speculation”, Journal of Political Economy, 94(5), pp. 927- 952.
  • HOMM, Ulrich and Jörg BREITUNG; (2012), “Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods,” Journal of Financial Econometrics, 10(1), pp. 198– 231.
  • HORVATH, Michael T.K. and Mark W. WATSON; (1995), “Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified”, Econometric Theory, 11(5), pp. 984-1014.
  • HU, Yang, and Les OXLEY; (2016), “Are there Bubbles in Exchange Rates? Some New Evidence from G10 and Emerging Markets Countries”, University of Waikato Working Papers in Economics, 16/05, 1-33.
  • KOHN, Meir; (1978), “Competitive Speculation”, Econometrica, 46(5), pp. 1061–76.
  • KORKMAZ, Özge, Elif ERER, and Deniz ERER; (2016). The Factors Affecting Credit Bubbles: The Case of Turkey. Financial Studies, 20(1), 37-53.
  • KOY, Ayben; (2018), “Multibubbles in Emerging Stock Markets”, Finans Politik & Ekonomik Yorumlar, 55(637), 95-109.
  • MACDONELL, Alec; (2014), “Popping the Bitcoin Bubble: An Application of Log-periodic Power Law Modeling to Digital Currency”, University of Notre Dame Working Paper, pp. 1-33.
  • MALKIEL, Burton G.; (2010), “Bubbles in Asset Prices”, CEPS Working Paper, No: 200, 1-21.
  • MARTORİ, Joan Carles, Rafa MADARIAGA and Ramon OLLER; (2016), “Real Estate Bubble and Urban Population Density: Six Spanish Metropolitan Areas 2001–2011”, The Annals of Regional Science, 56(2), 369-392.
  • MEESE, Richard A.; (1986), “Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?”, Journal of Political Economy, 94(2), pp. 345–73.
  • NASSEH, Alireza and Jack STRAUSS; (2004), “Stock Prices and the Dividend Discount Model: Did Their Relation Break Down in the 1990s?”, The Quarterly Review of Economics and Finance, 44(2), pp. 191–207.
  • PAVLIDIS, Efthymios G., Ivan PAYA, and David A. PEEL; (2017), “Testing for Speculative Bubbles Using Spot and Forward Prices”, International Economic Review, 58(4), 1191-1226.
  • PHILLIPS, Peter C. B., Yangru WU and Jun YU; (2011), “Explosive Behavior in The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review, 52(1), pp. 201–26.
  • PhILLIPS, Peter C.B., Shuping SHI, and Jun YU; (2015), “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, 56(4), 1043-1078.
  • RAPPOPORT, Peter and Eugene White; (1994), “Was the Crash of 1929 Expected?”, American Economic Review, 84(1), pp. 271–81.
  • RASEKHI Saeed, Zahra Mila ELMI and Milad Shahrazi; (2017), “Testing for Multiple Bubbles in Iranian Foreign Exchange Market: The Application of RTADF Unit Root Tests”, The Journal of Economic Modeling Research, 7 (27), 7-39.
  • SHI, Shuping; (2017), “Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets”, Economic Modelling, 66, 101-111.
  • SHILLER, Robert J.;(1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?”, The American Economic Review, 71(3), pp. 421-436.
  • SOLAK, Ali Osman and Burhan KABADAYI (2016), “Bounds Testing Approaches to Housing Demand in Turkey: Is There a Real Estate Bubble?”, International Journal of Economics and Financial Issues, 6(3), pp. 1132 - 1135.
  • STEENKAMP, Daan; (2017), “How Bubbly is the New Zealand Dollar?”, Reserve Bank of New Zealand DP2017/03,1-21.
  • TAŞÇI, H. Mehmet ve H. Aydın OKUYAN; (2009), “İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doğuş Üniversitesi Dergisi, 10(2), 272-283.
  • WEST, Kenneth D.; (1987), “A Specification Test for Speculative Bubbles”, The Quarterly Journal of Economics, 102(3), pp. 553–80.
  • XIAO, Qin, and Steven DEVANEY (2016), “Are Mortgage Lenders Guilty of The Housing Bubble? A UK perspective”, Applied Economics, 48(45), 4271-4290.
  • VOGIAZAS, Sofoklis, and Constantinos ALEXIOU; (2017), “Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies”, Atlantic Economic Journal, 45(1), 119-131.YANIK, Serhat and Yusuf Aytürk; (2011), “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, 2011(Temmuz), pp. 175–90.
  • ZEREN, Feyyaz and Oylum Şehvez ERGÜZEL, O. S. (2015). Testing for Bubbles in The Housing Market: Further Evidence from Turkey. Financial Studies, 19(1), pp. 40-52.
  • ZHONG, Maosen, Ali F. DARRAT, and Dwight C. ANDERSON; (2003), “Do US Stock Prices Deviate from Their Fundamental Values? Some New Evidence”, Journal of Banking & Finance, 27(4), pp. 673–97.

Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği

Year 2019, Issue: 54, 447 - 460, 31.12.2019
https://doi.org/10.18070/erciyesiibd.461888

Abstract

Varlık fiyatlarındaki keskin
artışların finansal piyasalarda oluşturduğu balonlar büyük ölçüde volatiliteden
kaynaklanmaktadır. Günümüz küresel finans düzeninde, finansal varlıkların
günden güne ön plana çıkması finansal varlıklıkların fiyatlarında aşırı
şişkinlik yaratmakta ve reel ekonomiyi zorlamaktadır. Öte yandan aşırı şişkin
fiyatlara sahip finansal varlıkların oluşturduğu balonların patlaması da
ekonomik istikrarı tehdit eder hale gelmektedir. Bu bağlamda, finansal
gidişatta günlük dalgalanmaların yansıması niteliğindeki döviz piyasalarında
balonların varlığının analizi ve tespiti daha önemli hale gelmektedir. Bu
çalışmada, 2005:01 ile 2018:11 dönemi için USD/TL ve EURO/TL döviz kuru
verilerinden hareketle, Türkiye döviz piyasalarında balonunun var olup olmadığı
araştırılmıştır. Bu amaçla, balonların varlığının tespit edilmesi için
Genelleştirilmiş SADF (GSADF) testi kullanılmıştır. Elde edilen sonuçlar,
Türkiye döviz piyasasında USD/TL ve EURO/TL döviz kurlarında spekülatif
balonların oluştuğunu destekleyen güçlü ampirik kanıtlar olduğunu
göstermektedir.

References

  • AHMED, Ehsan., J. Barkley ROSSER, Jr. ve Jamshed Y. UPPAL; (2016), “Financialization and Speculative Bubbles-International Evidence” CAMA Working Paper, No. 6/2017,1-26.
  • BAUMOL, William J.;(1957), “Speculation, Profitability, and Stability”, The Review of Economics and Statistics, 39(3), pp. 263-271.BASCO, Sergie; (2014), “Globalization and Financial Fevelopment: A Model of the Dot-Com and the Housing Bubbles”, Journal of International Economics, 92(1), 78-94.
  • BETTENDORF, Timo, ve Wenjuan Chen; (2013), “Are there Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests” Economics Letters, 120(2), 350-353.
  • BOZOKLU, Şeref ve Fatma ZEREN; (2013), “Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, 5(9), ss. 17-31.
  • CASPI, Itamar; (2016), “Testing for a Housing Bubble at The National and Regional Level: The Case of Israel”, Empirical Economics, 51(2), 483-516.
  • CAMPBELL, John Y. ve Robert J. SHILLER; (1987), “Cointegration and Tests of Present Value Models”, Journal of Political Economy, 95(5), pp. 1062–88.
  • CEYLAN, Fatih, Osman TÜZÜN, Ramazan EKİNCİ ve Hakan KAHYAOĞLU; (2018), “Kripto Para Piyasalarında Finansal Balonlar (Bubbles): Bitcoin ve Etherium”, 4 th SCF International Conference on “Economics and Social Impacts of Globalization” and “Future Turkey-European Union Relations, s. 207.
  • CHEUNG, Adrian Wai-Kong, Eduardo ROCA, Jen-Je SU; (2015), “Crypto-currency Bubbles: an Application of The Phillips, Shi and Yu (2013) methodology on mt. gox Bitcoin Prices”, Applied Economics, 47 (23), 2348–2358.
  • ÇAĞLI, Çağlar Efe ve Evrim Pınar MANDACI ; (2017), “Borsa İstanbul'da Rasyonel Balon Varlığı: Sektör Endeksleri Üzerine Bir Analiz”, Finans Politik & Ekonomik Yorumlar, 54(629), 63-76.
  • ÇOŞKUN, Yener, Ünal SEVEN, H. Murat ERTUĞRUL ve Ali ALP; (2017), “Housing Price Dynamics and Bubble Risk: The Case of Turkey”, Housing Studies, 1-37.
  • DIBA, Behzad T. ve Herschel I. GROSSMAN; (1988), “The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, 98(392), pp. 746-754.
  • DOWD, Kevin; (2014), “New Private Monies: A Bit-Part Player?”, Institute of Economic Affairs Hobart Paper, No: 174, London.
  • ENGSTED, Tom., Simon J. HVIID ve Thomas Q. PEDERSEN; (2016). Explosive Bubbles in house prices? Evidence from The OECD Countries. Journal of International Financial Markets, Institutions and Money, 40, 14-25.
  • FRIEDMAN, Milton; (1953), Essays in Positive Economics, United States: University of Chicago Press.
  • FRY, John, Eng-Tuck CHEAH; (2016), “Negative Bubbles and Shocks in Cryptocurrency Markets”, International Review of Financial Analysis, 47, 343–352.
  • GROVER, Richard ve Christine GROVER; (2014), “Property Bubbles–a Transitory Phenomenon”, Journal of Property Investment & Finance, 32(2), 208-222.
  • Jıang, Chun, Yi WANG, Tsangyao CHANG ve Su, Chi-Wei Su; (2015), “Are there Bubbles in Chinese RMB–dollar exchange rate? Evidence from Generalized Sup ADF Tests”, Applied Economics, 47(56), 6120-6135.
  • HALL, Stephen George, Zacharias PSARADAKİS and Martin SOLA; (1999), “Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test”, Journal of Applied Econometrics, 14(2), pp. 143–54.
  • HARDOUVELIS, Gikas A.; (1988), “Evidence on Stock Market Speculative Bubbles: Japan, the United States, and Great Britain”, Federal Reserve Bank of New York Quarterly Review, (Sum), pp. 4–16.
  • HART, Oliver D. and David M. KREPS; (1986), “Price Destabilizing Speculation”, Journal of Political Economy, 94(5), pp. 927- 952.
  • HOMM, Ulrich and Jörg BREITUNG; (2012), “Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods,” Journal of Financial Econometrics, 10(1), pp. 198– 231.
  • HORVATH, Michael T.K. and Mark W. WATSON; (1995), “Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified”, Econometric Theory, 11(5), pp. 984-1014.
  • HU, Yang, and Les OXLEY; (2016), “Are there Bubbles in Exchange Rates? Some New Evidence from G10 and Emerging Markets Countries”, University of Waikato Working Papers in Economics, 16/05, 1-33.
  • KOHN, Meir; (1978), “Competitive Speculation”, Econometrica, 46(5), pp. 1061–76.
  • KORKMAZ, Özge, Elif ERER, and Deniz ERER; (2016). The Factors Affecting Credit Bubbles: The Case of Turkey. Financial Studies, 20(1), 37-53.
  • KOY, Ayben; (2018), “Multibubbles in Emerging Stock Markets”, Finans Politik & Ekonomik Yorumlar, 55(637), 95-109.
  • MACDONELL, Alec; (2014), “Popping the Bitcoin Bubble: An Application of Log-periodic Power Law Modeling to Digital Currency”, University of Notre Dame Working Paper, pp. 1-33.
  • MALKIEL, Burton G.; (2010), “Bubbles in Asset Prices”, CEPS Working Paper, No: 200, 1-21.
  • MARTORİ, Joan Carles, Rafa MADARIAGA and Ramon OLLER; (2016), “Real Estate Bubble and Urban Population Density: Six Spanish Metropolitan Areas 2001–2011”, The Annals of Regional Science, 56(2), 369-392.
  • MEESE, Richard A.; (1986), “Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?”, Journal of Political Economy, 94(2), pp. 345–73.
  • NASSEH, Alireza and Jack STRAUSS; (2004), “Stock Prices and the Dividend Discount Model: Did Their Relation Break Down in the 1990s?”, The Quarterly Review of Economics and Finance, 44(2), pp. 191–207.
  • PAVLIDIS, Efthymios G., Ivan PAYA, and David A. PEEL; (2017), “Testing for Speculative Bubbles Using Spot and Forward Prices”, International Economic Review, 58(4), 1191-1226.
  • PHILLIPS, Peter C. B., Yangru WU and Jun YU; (2011), “Explosive Behavior in The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review, 52(1), pp. 201–26.
  • PhILLIPS, Peter C.B., Shuping SHI, and Jun YU; (2015), “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, 56(4), 1043-1078.
  • RAPPOPORT, Peter and Eugene White; (1994), “Was the Crash of 1929 Expected?”, American Economic Review, 84(1), pp. 271–81.
  • RASEKHI Saeed, Zahra Mila ELMI and Milad Shahrazi; (2017), “Testing for Multiple Bubbles in Iranian Foreign Exchange Market: The Application of RTADF Unit Root Tests”, The Journal of Economic Modeling Research, 7 (27), 7-39.
  • SHI, Shuping; (2017), “Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets”, Economic Modelling, 66, 101-111.
  • SHILLER, Robert J.;(1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?”, The American Economic Review, 71(3), pp. 421-436.
  • SOLAK, Ali Osman and Burhan KABADAYI (2016), “Bounds Testing Approaches to Housing Demand in Turkey: Is There a Real Estate Bubble?”, International Journal of Economics and Financial Issues, 6(3), pp. 1132 - 1135.
  • STEENKAMP, Daan; (2017), “How Bubbly is the New Zealand Dollar?”, Reserve Bank of New Zealand DP2017/03,1-21.
  • TAŞÇI, H. Mehmet ve H. Aydın OKUYAN; (2009), “İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doğuş Üniversitesi Dergisi, 10(2), 272-283.
  • WEST, Kenneth D.; (1987), “A Specification Test for Speculative Bubbles”, The Quarterly Journal of Economics, 102(3), pp. 553–80.
  • XIAO, Qin, and Steven DEVANEY (2016), “Are Mortgage Lenders Guilty of The Housing Bubble? A UK perspective”, Applied Economics, 48(45), 4271-4290.
  • VOGIAZAS, Sofoklis, and Constantinos ALEXIOU; (2017), “Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies”, Atlantic Economic Journal, 45(1), 119-131.YANIK, Serhat and Yusuf Aytürk; (2011), “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, 2011(Temmuz), pp. 175–90.
  • ZEREN, Feyyaz and Oylum Şehvez ERGÜZEL, O. S. (2015). Testing for Bubbles in The Housing Market: Further Evidence from Turkey. Financial Studies, 19(1), pp. 40-52.
  • ZHONG, Maosen, Ali F. DARRAT, and Dwight C. ANDERSON; (2003), “Do US Stock Prices Deviate from Their Fundamental Values? Some New Evidence”, Journal of Banking & Finance, 27(4), pp. 673–97.
There are 46 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Muharrem Afşar 0000-0002-4071-9330

Aslı Afşar 0000-0001-7031-1419

Emrah Doğan 0000-0001-9870-5719

Publication Date December 31, 2019
Acceptance Date November 19, 2019
Published in Issue Year 2019 Issue: 54

Cite

APA Afşar, M., Afşar, A., & Doğan, E. (2019). Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(54), 447-460. https://doi.org/10.18070/erciyesiibd.461888

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