{"id":2874,"date":"2014-11-02T21:18:44","date_gmt":"2014-11-02T19:18:44","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2874"},"modified":"2014-11-02T21:18:44","modified_gmt":"2014-11-02T19:18:44","slug":"global-finansal-krizde-kredi-marji-japon-tahvil-piyasasi-ornegi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/global-finansal-krizde-kredi-marji-japon-tahvil-piyasasi-ornegi","title":{"rendered":"Global Finansal Krizde Kredi Marj\u0131: Japon Tahvil Piyasas\u0131 \u00d6rne\u011fi"},"content":{"rendered":"\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nGlobal Finansal Krizde Kredi Marj\u0131: Japon Tahvil Piyasas\u0131 \u00d6rne\u011fi<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nAyd\u0131n Y\u00fcksel,\u00a0Asl\u0131 Y\u00fcksel<\/td>\n<\/tr>\n
Cilt:<\/td>\n5<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2014<\/td>\n<\/tr>\n
Sayfa:<\/td>\n71-88<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6zet<\/td>\n<\/tr>\n
Bu makale A\u011fustos 2007 tarihinde ortaya \u00e7\u0131kan global kriz nedeniyle Japon tahvil endekslerinin kredi marjlar\u0131n\u0131 etkileyen fakt\u00f6rlerde bir de\u011fi\u015fiklik olup olmad\u0131\u011f\u0131n\u0131 g\u00fcnl\u00fck veri kullanarak analiz etmektedir. \u00c7al\u0131\u015fmada literat\u00fcrde kredi marj\u0131 de\u011fi\u015fimi ile ili\u015fkili oldu\u011fu tespit edilmi\u015f olan hazine tahvili piyasas\u0131, hisse senedi piyasas\u0131 ve likidite fakt\u00f6rlerini i\u00e7eren bir GARCH modeli kullan\u0131lm\u0131\u015ft\u0131r. Analiz sonu\u00e7lar\u0131 kredi marj\u0131 de\u011fi\u015fiminin modelde kullan\u0131lan hazine tahvili piyasas\u0131 de\u011fi\u015fkenleri olan spot faiz oran\u0131ndaki de\u011fi\u015fim ve tahvil getiri e\u011frisinin e\u011fimindeki de\u011fi\u015fim ile literat\u00fcrdeki di\u011fer \u00e7al\u0131\u015fmalar\u0131n bulgular\u0131yla tutarl\u0131 bir ili\u015fki i\u00e7inde bulundu\u011funa i\u015faret etmektedir. Kriz d\u00f6nemi kriz \u00f6ncesi ile k\u0131yasland\u0131\u011f\u0131nda hazine tahvili piyasas\u0131 fakt\u00f6rlerinin tahmin edilen katsay\u0131lar\u0131nda b\u00fcy\u00fckl\u00fck olarak farkl\u0131l\u0131klar g\u00f6zlemlense bile i\u015faret olarak dikkat \u00e7ekici bir de\u011fi\u015fiklik olmad\u0131\u011f\u0131 g\u00f6r\u00fclmektedir. \u00d6te yandan, hisse senedi piyasas\u0131 fakt\u00f6rleri olan hisse senedi endeksi getiri oran\u0131 ve endeksin z\u0131mni (implied) volatilitesindeki de\u011fi\u015fimin kredi marj\u0131 de\u011fi\u015fimiyle genel olarak hem zay\u0131f, hem de incelenen d\u00f6neme g\u00f6re farkl\u0131l\u0131k g\u00f6steren bir ili\u015fki sergiledi\u011fi g\u00f6zlemlenmi\u015ftir. Likidite fakt\u00f6r\u00fc i\u00e7in iki d\u00f6nemde de zay\u0131f bir ili\u015fki tespit edilmi\u015ftir. Kullan\u0131lan ampirik modelin a\u00e7\u0131klay\u0131c\u0131l\u0131k g\u00fcc\u00fcn\u00fcn kriz d\u00f6neminde \u00f6nemli miktarda d\u00fc\u015fmesi dikkat \u00e7ekicidir.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nKredi marj\u0131, Japon tahvil piyasas\u0131, global finansal kriz, likidite riski, GARCH<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG12, G01<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Global Finansal Krizde Kredi Marj\u0131: Japon Tahvil Piyasas\u0131 \u00d6rne\u011fi Yazar(lar): Ayd\u0131n Y\u00fcksel,\u00a0Asl\u0131 Y\u00fcksel Cilt: 5 Say\u0131: 4 Y\u0131l: 2014 Sayfa: 71-88 ISSN: 1309-2448 \u00d6zet Bu makale A\u011fustos 2007 tarihinde ortaya \u00e7\u0131kan global kriz nedeniyle Japon tahvil endekslerinin kredi marjlar\u0131n\u0131 etkileyen fakt\u00f6rlerde bir de\u011fi\u015fiklik olup olmad\u0131\u011f\u0131n\u0131 […]<\/p>\n

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