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Global Finansal Krizde Kredi Marjı: Japon Tahvil Piyasası Örneği

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dc.contributor.authorYüksel, Aslı
dc.contributor.authorYüksel, Aydın
dc.contributor.institutionBahçeşehir Üniversitesi
dc.contributor.institutionIşık Üniversitesi
dc.date.accessioned2025-09-20T20:03:18Z
dc.date.issued2014
dc.date.submitted29.07.2022
dc.description.abstractBu makale Ağustos 2007 tarihinde ortaya çıkan global kriz nedeniyle Japon tahvil endekslerinin kredi marjlarını etkileyen faktörlerde bir değişiklik olup olmadığını günlük veri kullanarak analiz etmektedir. Çalışmada literatürde kredi marjı değişimi ile ilişkili olduğu tespit edilmiş olan hazine tahvili piyasası, hisse senedi piyasası ve likidite faktörlerini içeren bir GARCH modeli kullanılmıştır. Analiz sonuçları kredi marjı değişiminin modelde kullanılan hazine tahvili piyasası değişkenleri olan spot faiz oranındaki değişim ve tahvil getiri eğrisinin eğimindeki değişim ile literatürdeki diğer çalışmaların bulgularıyla tutarlı bir ilişki içinde bulunduğuna işaret etmektedir. Kriz dönemi kriz öncesi ile kıyaslandığında hazine tahvili piyasası faktörlerinin tahmin edilen katsayılarında büyüklük olarak farklılıklar gözlemlense bile işaret olarak dikkat çekici bir değişiklik olmadığı görülmektedir. Öte yandan, hisse senedi piyasası faktörleri olan hisse senedi endeksi getiri oranı ve endeksin zımni (implied) volatilitesindeki değişimin kredi marjı değişimiyle genel olarak hem zayıf, hem de incelenen döneme göre farklılık gösteren bir ilişki sergilediği gözlemlenmiştir. Likidite faktörü için iki dönemde de zayıf bir ilişki tespit edilmiştir. Kullanılan ampirik modelin açıklayıcılık gücünün kriz döneminde önemli miktarda düşmesi dikkat çekicidir.
dc.identifier.endpage88
dc.identifier.issn1309-2448
dc.identifier.issue4
dc.identifier.startpage71
dc.identifier.urihttps://hdl.handle.net/20.500.14719/5791
dc.identifier.volume5
dc.language.isotr
dc.relation.journalİşletme ve Ekonomi Araştırmaları Dergisi
dc.subjectİktisat
dc.subjectİşletme Finans
dc.titleGlobal Finansal Krizde Kredi Marjı: Japon Tahvil Piyasası Örneği
dc.typeResearch Article
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