BURCU BERKE
(Niğde Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Niğde, Türkiye)
Yıl: 2014Cilt: 32Sayı: 2ISSN: 1301-8752 / 1309-6338Sayfa Aralığı: 27 - 56Türkçe

112 0
Döviz kurlarına mikro yapı yaklaşımı: Bir yazın incelemesi
1990’lı yıllardan itibaren döviz kuru belirlenmesinde makro yaklaşımların ba ş arısız olmasıyla birlikte özellikle kısa vadeli kur hareketlerinin belirlenmesinde döviz kurlarına mikro yapı yakla ş ımı ortaya atılmış tır. Bu teori, bir yandan döviz kuru ekonomileri, diğer yandan mikro finans teorileri arasında bir köprü oluş turmuş tur. Döviz kurlarına mikro yapı teorisi, makro yakla ş ımdan farklı olarak, piyasa katılımcıları arasında bilginin aktarımı, piyasadaki ajanların davranış ı, alım-satım emrinin önemi, ajanların beklentilerinin heterojenliği ve bunun ticaret hacmi ile döviz kuru hareketleri yönünden sonuçları ile ilgilidir. Bu çalış mada, Türkiye’de ihmal edilen bir konu olan döviz kurlarına mikro yapı yakla ş ımı teorik ve ampirik düzeyde tanıtılmaktadır.
Sosyal > İktisat
Sosyal > İşletme
DergiAraştırma MakalesiErişime Açık
  • Andersen, T.G., T. Bollerslev, F.X. Diebold, C. Vega (2002) “Micro Effects of Macro Announcements: Real Time Price Discovery in Foreign Exchange”, NBER Working Paper Series , 8959, 1-36.
  • Bailliu, J., M.R. King, (2005) “What Drives Movements in Exchange Rates?”, Bank of Canada Review , Autumn, 3-15.
  • Bacchetta, P., E. Van Wincoop (2003) “Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?”, NBER Working Paper Series , 9498, 1-49.
  • Berger, D.W., A.P. Chaboud, S.V. Chernenko, E. Howarka, J.H. Wright (2008) “Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data”, Journal of Economics , 75, 93-109.
  • Bhanumurthy, N.R. (2002) “Microstructures in the Indian Foreign Exchange Market”, http://www.olsendate.com/papers/2002/2_Bhanumurthy_MicroIndianFX.pdf, Eriş im Tarihi: 08/01/2008.
  • Branson, W., D. Henderson (1985) “The Specification and Influence of Asset Markets”, Handbook of International Economics , 2, Amsterdam: North Holland.
  • Breedon, F., P. Vitale (2004) “An Empirical Study of Liquidity and Information Effects of Order Flow on Exchange Rates”, European Central Bank Working Paper Series , 424, 1-41.
  • Cerrato, N., N. Sarantis, A. Saunders (2011) “An Investigation of Customer Order Flow in the Foreign Exchange Market”, Journal of Banking and Finance , 35, 1892-1906.
  • Cheung, Y.W., M.D. Chinn (1999) “Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders”, NBER Working Paper Series , 7417, 1-23.
  • Cheung, Y.W., C.Y.P. Wong (2000) “A Survey of Market Practitioners Views on Exchange Rate Dynamics”, Journal of International Economics , 51, 401- 419.
  • Cheung, Y.W., M.D. Chinn (2001) “Currency Traders and Exchange Rate Dynamics: A Survey of the US Market”, Journal of International Money and Finance , 20, 439-471.
  • Cheung, Y.M., M.D. Chinn, I.W. Marsh (2004) “How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?”, International Journal of Finance and Economics , 9, 289-306.
  • Chionis, D., R. MacDonald (1997) “Some Tests of Market Microstructure Hypotheses in the Foreign Exchange Market”, Journal of Multinational Financial Management, 7, 203-229.
  • Chinn, M.D., M.J. Moore (2011) “Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set”, Journal of Money, Credit and Banking, 43(8), 1599-1624.
  • Danielsson, J., R. Payne, J. Luo (2002) “Exhange Rate Determination and Intermarket Order Flow Effects ”, http://www9.georgetown.edu/faculty/evansm1/New%20Micro/DanPayneLui.pdf, Eriş im Tarihi: 08/01/2008.
  • Danielsson, J., J. Luo, R. Payne (2011) “ Exchange Rate Determination and Intermarket Order Flow Effects ”, http://www.riskresearch.org/files/JD-JL- RP-28.pdf, Eriş im Tarihi: 28/08/2013.
  • Dominguez, K.M.E. (2003) “The Market Microstructure of Central Bank Intervention”, Journal of International Economics , 59, 25-45.
  • Dominguez, K.M.E. (2006) “When do Central Bank Interventions Influence Intra-Daily and Longer-term Exchange Rate Movements?”, Journal of International Money and Finance , 25, 1051-1071.
  • Dornbusch, R. (1976) “Expectations and Exchange Rate Dynamics”, The Journal of Political Economy, 84(6), 1161-1176.
  • Dunne, P., H. Hau, M. Moore (2010) “International Order Flows: Explaining Equity and Exchange Rate Returns”, Journal of International Money and Finance , 29, 358-386.
  • Evans, M.D.D., R.K. Lyons (2001) “ Why Order Flow Explains Exchange Rates ”, http://irps.ucsd.edu/assets/006/5567.pdf, Eriş im Tarihi: 02/06/2011.
  • Evans, M.D.D., R.K. Lyons (2002) “ Order Flow and Exchange Rate Dynamics ”, www.bis.org/publ/bppdf/bispop02j.pdf, Eriş im Tarihi: 16/07/2013.
  • Evans, M.D.D., R.K. Lyons (2005a) “Understanding Order Flow”, NBER Working Paper Series , 11748, 1-34.
  • Evans, M.D.D., R.K. Lyons (2005b) “Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting”, The American Economic Review , 95(2), 405-414.
  • Evans, M.D.D., R.K. Lyons (2006) “Myths About the Micro Approach to Exchange Rates ”, http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/prog2005/esf/programm e/lyons _paper_myths.pdf, Eriş im Tarihi: 18/08/2007.
  • Evans, M.D.D. (1999) “ What are the Origins of Foreign Exchange Movements? ”, http://www9.georgetown.edu/faculty/evansm1/wpapers_files/fx1.pdf, Eriş im Tarihi: 16/08/2007.
  • Evans, M., R. Lyons (2004) “A New Micro Model of Exchange Rate Dynamics”, NBER Working Paper , 10379, March.
  • Evans, M.D.D. (2007) “ Foreign Exchange Market Microstructure”, http://www9.georgetown.edu/faculty/evansm1/wpapers_files/tour.pdf, Eriş im Tarihi: 10/08/2007.
  • Evans, M.D.D., R.K. Lyons (2007) “Exchange Rate Fundamentals and Order Flow”, NBER Working Paper Series , 13151, 1-47.
  • Evans, M.D.D., R.K. Lyons (2008) “How is Macro News Transmitted to Exchange Rates”, Journal of Financial Economics , 88, 26-50.
  • Evans, M.D.D. (2010) “Order Flows and the Exchange Rate Disconnect Puzzle”, Journal of International Economics , 80, 58-71.
  • Evans, M.D.D., D. Rime (2010) “Micro Approaches to Foreign Exchange Determination”, https://www9.georgetown.edu/faculty/evansm1/, Eriş im Tarihi: 07/12/2011.
  • Flood, R.P., A.K. Rose (1995) “Fixing Exchange Rates A Virtual Quest for Fundamentals ” , Journal of Monetary Economics , 36(1), 3-37.
  • Frankel, J.A., A.K. Rose. (1995) “A Survey of Empirical Research on Nominal Exchange Rates ” , CIDER Working Papers , C95-051.
  • Frömmel, M., A. Mende, L. Menkhoff (2008) “Order Flows, News and Exchange Rate Volatility”, Journal of International Money and Finance , 27, 904-1012.
  • Galac, T., A. Buric, I. Huljak (2006) “Microstructure of Foreign Exchange Market in Croatia”, Croatian National Bank, 15, 1-42.
  • Gereben, A.,G. Gyomai, N.M. Kiss (2005) “The Microstructure Approach to Exchange Rates: A Survey from A Central Bank’s Viewpoint”, Magyar Nemzeti Bank (MNB) Occasional Papers , 42, 1-41.
  • Iwatsubo, K., I.W. Marsh (2011) “ Order Flows, Fundamentals and Exchange Rates ”, http://www.econ.kabe-u.acjp/REPEC/koe/wpaper/2011/1120.pdf, Eriş im Tarihi: 09/12/2011.
  • Killeen, W.P., R.K. Lyons, M.J. Moore (2006) “Fixed Versus Flexible: Lessons from EMS Order Flow ” , Journal of International Money and Finance , 25(4), 551-579.
  • King, M.R., C. Osler, D. Rime (2012) “ The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward, http://www.brandeis.edu/economics/REPEC/brd/doc/Brandeis_WP54.pdf, Eriş im Tarihi: 15/05/2013.
  • Kyle, A.S. (1985) “Continuous Auctions and Insider Trading”, Econometrica, 53(6), 1315-1335.
  • Loucha, Y., A.P. Laborda (2010) “Is Exchange Rate- Customer Order Flow Relationship Linear? Evidence from the Hungarian FX Market”, MNB Working Papers , 2010/10, 1-31.
  • Love, R., R. Payne (2002) “Macroeconomic News , order Flow and Exchange Rates ”, http://faculty.haas.berkeley.edu/lyons/Love%20Payne20news%20order%20flo w.pdf, Eriş im Tarihi: 10/01/2008.
  • Luo, J. (2001) “ Market Conditions, Order Flow and Exchange Rates Determination”, http://faculty.haas.berkeley.edu/lyons/LuoorderflowLSE.pdf, Eriş im Tarihi: 16/07/2013.
  • Lyons, R.K. (2001a) “ The Microstructure Approach to Exchange Rates ”, Cambridge, England: The MIT Press.
  • Lyons, R.K. (2001b) “ Foreign Exchange: Macro Puzzles, Micro Tools , http://faculty.haas.berkeley.edu/lyons/pubabs/LyonsFRBSF.pdf, Eriş im Tarihi: 16/07/2013.
  • Rime, D. (2000) “Private or Public Information in Foreign Exchange Markets? An Empirical Analysis, University of Oslo, Memorandum, 14, 1-45.
  • Rime, D. (2006) “Order Flow Analysis of Exchange Rates, Economics Bulletin, 77, 147-152.
  • Rime, D., L. Sarno, E. Sojli (2010) “Exchange Rate Forecasting, Order Flow and Macroeconomic Information, Journal of International Economics , 80, 72-88.
  • Marsh, I.W. (2011) “Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market”, Journal of International Money and Finance , 30, 377-392.
  • Makoena, T.M., R. Gupta, R. Van Eyden (2007) “ Market Microstructure Approach to the Exchange Rate Determination Puzzle ”, www.africametrics.org/documents/conference07/Day3/Session7/Macoenamicr ostructure.pdf , Eriş im Tarihi: 15/05/2013.
  • Meese R.A., K. Rogoff (1983) “Empirical Exchange Rate Models of the Seventies, Do They Fit Out of Sample”, Journal of International Economics , 14, 3-24.
  • Neely, C.J., L. Sarno (2002) “How Well Do Monetary Fundamentals Forecast Exchange Rates?”, The Federal Reserve Bank of St. Louis , September/October, 51-74.
  • Nguyen, V.H., Y. Shin (2011) “Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics”, Melbourne Institute Working Paper Series , 14/11, 1-39.
  • Obstfeld, M., K. Rogoff (1995) “Exchange Rate Dynamics Redux” , Journal of Political Economy, 103(3), 624-60.
  • Osler, C. L. (2006) “Macro Lessons from Microstructure”, International Journal of Finance and Economics , 11(1), 55-80.
  • Sager, N.J., M.P. Taylor (2006) “Under the Microscope: The Structure of the Foreign Exchange Market”, Intenational Journal of Finance and Economics , 11, 81- 95.
  • Sarno, L., M.P. Taylor (2001) “The Microstructure of the Foreign Exchange Market: A Selective Survey of the Literature”, Princeton Studies in International Economics , 89, 1-66.
  • Smyth, N. (2009) “Order Flow and Exchange Rate Changes: A Look At the NZD/USD and AUD/USD”, Reserve Bank of New Zealand Discussion Paper Series , 2009/03, 1-42.
  • Vitale, P. (2004) “ A Guided Tour of the Market Micro Structure Approach to Exchange Rate Determination”, http://faculty.haas.berkeley.edu/lyons/vitale%20Survey%20Micro%20. FX. pdf, Eriş im Tarihi: 15/08/2007.

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © 2019 Tüm Hakları Saklıdır.