PROGRAMI
DERS TANITIM VE UYGULAMA BİLGİLERİ

Ders AdıKoduVerildiği YılVerildiği YarıyılSüresi (T+U)Yerel KredisiAKTS Kredisi
Uluslararası Finans TeorisiMAN 6526113 + 037,50
 
Ders Bilgileri
Dersin Öğretim DiliTürkçe
Dersin SeviyesiDoktora
Dersin TürüSeçmeli
Dersin Veriliş BiçimiYüz Yüze
 
Dersin Öğrenme Kazanımları:

Bu dersi başarı ile tamamlayan öğrenciler:
1. 1. Döviz kuru belirlenme ve denge modellerini; ekonomi ve şirket performansı üzerindeki etkilerini ;
2. Uluslararası finans teorilerini bilecekler ve literatürü takip edebilecekler.
3. Uluslararası finans alanında uygulama yapabileceklerdir.
4. 2. Uluslararası piyasalarda işlem yapan firma ve ülkeler için riks kavramını ve korunma yollarını öğrenmiş olacaklar.
 
Dersin Önkoşulları ve Birlikte Alınması Gereken DerslerYok
Daha Önce Alınmış Olması Önerilen DerslerYok
 
Dersin Tanımı:

Bu ders klasik uluslararası finans teorilerini ve güncel araştırma konularını incelemek amacıyla oluşturulmuştur. Bu dersin amacı da öğrencilerin uluslararası finans literatüründeki klasik literatüre hakim olmalarını ve güncel gelişmeleri takip etmelerini sağlamaktır. Bu ders döviz kuru belirlenmesi, satınalma gücü paritesi, döviz kuru geçişkenliği, uluslararası finans ile ilgili risk ve riskden kaçınma yöntemlerini, tahmin ve oynaklık modelleri gibi konuları ele alacaktır.
 
Dersin İçeriği (Haftalık Konu Dağılımı):
 
HaftaKonu
1Uluslararası finansal piyasalar ve döviz kurları: Temel teoriler
2Uluslararası finansal piyasalar ve döviz kurları: Temel teoriler II Enflasyon, Faiz oranı ve Döviz Kurları ilişkisi
3Döviz kurları ve faiz oranı paritesi: • Sager, Michael J. and Mark P. Taylor, 2006, “Under the Microscope: The Structure of the Foreign Exchange Market,” International Journal of Finance and Economics 11, pp. 81- 95. • Baba, N., and F. Packer, 2009, “Interpreting Deviations from Covered Interest Parity during the Financial Market Turmoil of 2007–08,” Journal of Banking & Finance 33, 1953-1962. • Baba, N., and F. Packer, 2009, “From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers,” Journal of International Money and Finance 28, 1350-1374. • Andersen, Torben, Tim Bollerslev, Francis X. Diebold and Clara Vega, 2003, “Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange Markets,” American Economic Review, pp. 38-62. • Frankel, J.A., 1979. On the mark: a theory of floating exchange rates based on real interest differentials. American Economic Review 69, 610–622. Tartışma 1: Engel, C., and K. West, 2005, “Exchange Rates and Fundamentals.” Journal of Political Economy 113, 485-517. Araştırma Projesi Konu savunması: Öğrenciler en az 3 hipotez ve bu hipotezlerin neden önemli olduğunu savunmaya hazır olmalıdır.
4Satınalma Gücü Paritesi (PPP), Reel Döviz Kurları • Dornbusch, Rudiger, 1987, “Exchange Rates and Prices,” American Economic Review 77, 93- 106 • Engel, C., 2000, “Long Run PPP May Not Hold After All,” Journal of International Economics 51, 243-273. • Rogoff, K., 1996, “The Purchasing Power Parity Puzzle.” Journal of Economic Literature 34, 647-668. • Gopinath, Gita, Pierre-Olivier Gourinchas, Chang-Tai Hsieh, and Nicholas Li, 2011, “International Prices, Costs, and Markup Differences,” American Economic Review 101, 2450-86. • Engel, Charles and John Rogers, 1996, "How Wide is the Border?" American Economic Review, 86, 1112-1125. Tartışma 2: Broda, Christian and David Weinstein, 2008, “Understanding International Price Differences Using Barcode Data,” NBER Working Paper No. 14017
5Döviz Kuru Geçişkenliği • Nakamura, Emi and Dawit Zerom, 2010, “Accounting for Incomplete Pass-Through,” Review of Economic Studies, 77(3), 1192-1230. • José Manuel Campa and Linda S. Goldberg, “Exchange Rate Pass-Through into Import Prices,” Review of Economics and Statistics, Volume 87, Issue 4, November 2005, 679-690. • J. Menon, “Exchange rate pass-through,” Journal of Economic Surveys, 1995, 9/2, 197-231. • C. Tunc and M. Kılınc, “Exchange rate pass-through in a small open economy: A structural VAR approach,” Bulletin of Economic Research, 2018, 70/4, 410-422.
6Forward (vadeli kur) Döviz Kuru Piyasa: Market: “Unbiasedness” hipotezi ve Carry Trade • Lars Peter Hansen and Hodrick, Robert J., 1980, “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis,” Journal of Political Economy 88, 829-853. • Jordà, Òscar and Alan Taylor, 2009, “The Carry Trade and Fundamentals: Nothing to Fear but FEER Itself” NBER Working Paper 15518 • Frankel, Jeffrey and Jumana Poonawala, 2010, “The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies,” Journal of International Money and Finance 29, 585-598. • Frankel, Jeffrey A. and Kenneth A. Froot, 1985, “Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations,”NBER working paper no. 1672.. • Froot, Kenneth A. and Jeffrey A. Frankel, 1989, “Forward Discount Bias: Is it an Exchange Risk Premium?” Quarterly Journal of Economics 104, 139-161. • Della Corte, Pasquale, Lucio Sarno, and Ilias Tsiakas, 2010, “Spot and Forward Volatility in Foreign Exchange,” Journal of Financial Economics Tartışma 3: • Fama, Eugene, 1984, “Forward and Spot Exchange Rates,” Journal of Monetary Economics, pp. 319-338. • Froot, Kenneth, and Richard Thaler, 1990, “Anomalies: Foreign Exchange,” Journal of Economic Perspectives 4, 179-192.
7Ara sınav; Araştırma çalışması literatür özeti ve sunum 1
8Döviz kuru risk pirimi (fiyatlandırma) • Sarno, L., P. Schneider, and C. Wagner, 2012, “Properties of Foreign Exchange Risk Premia,” f Journal of Financial Economics, 105/202, 279-310. • P. Corte, T. Ramadorai, and L. Sarno, “Volatility risk premia and exchange rate predictability,” Journal of Financial Economics, 120/1, 2016, 21-40 • Verdelhan, Adrien, 2010, “A Habit-Based Explanation of the Exchange Rate Risk Premium,” Journal of Finance 65, 123-45 • Iwata, Shigeru and Shu Wu, 2005, “What International Risks Are (Not) Shared by International Investors,” Journal of Money, Credit and Banking 37, 6, 1121-1141
9Döviz kuru ampirik modelleri • Mark, N., 1995, Exchange rates and fundamentals: evidence on long-horizon predictability, American Economic Review, March, 201-218 • Engel, Charles, and Kenneth D. West, 2005, “Exchange Rates and Fundamentals,” Journal of Political Economy 113, 485-517. • Meese, Richard, and Kenneth Rogoff, 1983a. “Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? The Journal of International Economics 14, 3–24. • Cheung, Yin-Wong, Menzie Chinn, and Antonio Garcia Pascual. (2005) “Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?” Journal of International Money and Finance, 24, 1150–75. Tartışma 4: Engel, Charles, Nelson C. Mark, and Kenneth D. West, 2007, “Exchange Rate Models Are Not as Bad as You Think,” NBER Macroeconomics Annual 2007, 381-441
10Uluslararası çeşitlendirme ve yurtiçine öncelik verme (home bias) • Dumas B. C. R. Harvey and P. Ruiz, 2003. Are Correlations in International Stock Returns Justified by Subsequent Changes in National Outputs?, The Journal of International Money and Finance, 22 (2003), 777-811. • Brandt, Michael W., John H. Cochrane, and Pedro Santa-Clara, International Risk Sharing is Better Than You Think, or Exchange Rates are Too Smooth, Journal of Monetary Economics 53, 2006, 671-698. • Bekaert, Geert, Robert Hodrick, and Xiaoyan Zhang, 2009, “International Stock Return Comovements,” Journal of Finance 64, 2591-2626. • Heston, Steve and Geert Rouwenhorst, 1994, “Does Industrial Structure Explain the Benefits of International Diversification,” Journal of Financial Economics 36, 3-27. • Hau, Harald, Massimo Massa, and Joel Peress, 2010, “Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,” Review of Financial Studies 23, 1681-1717 • Gagnon, Louis and G. Andrew Karolyi, 2009, “Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks,” Journal of Financial and Quantitative Analysis 44, 953-986. • Errunza, V., K. Hogan and M-W. Hung, 1999, “Can the Gains from International Diversification be Achieved Without Trading Abroad”, Journal of Finance, 54, 2075-2107. Tartışma 5: • Lewis, Karen, 2006, “Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US,” NBER Working Paper No. 12697. • Christoffersen, P., V. Errunza, K. Jacobs and H. Langlois, 2012, “Is the Potential for International Diversification Disappearing?”, Review of Financial Studies. Vol. 25, No. 12, , 3711-3751.
11Ülke risk modelleri (sovereign risk) • Acharya, Viral, and Raghuram G. Rajan, 2011, “Sovereign debt, government myopia, and the financial sector,” NBER Working Paper No. 17542. • Longstaff, Francis, Jun Pan, Lasse Pedersen, and Kenneth Singleton, 2011, “How Sovereign Is Sovereign Credit Risk,” American Economic Journal: Macroeconomics 3, 75-103. • Hilsher, Jens, and Yves Nosbusch, 2010, “Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,” Review of Finance 14, 235-262. • Panizza, Ugo, Federico Sturzenegger, and Jeromin Zettelmeyer, 2009, “The Economics and Law of Sovereign Debt and Default,” Journal of Economic Literature 47, 651-698.
12FDI ve Gelişmekte olan piyasalar üzerine tartışmalar • Uribe, M. and V. Yue. 2005. “Country Spreads and Emerging Countries: Who Drives Whom?” Journal of International Economics. • Engel, C., and J. Rogers, 1996, “How Wide Is the Border? The American Economic Review 86, 1112-1125 • Arellano C., 2008, “Default Risk and Fluctuations in Emerging Economies” American Economic Review, 98, 690-712. • Bekaert, Geert, Campbell R. Harvey and Chris Lundblad, 2007, “Liquidity and Expected Returns: Lessons from Emerging Markets,” Review of Financial Studies 20, pp. 1783- 1832. • Bekaert, Geert and Campbell R. Harvey, 2003, "Emerging Markets Finance," Journal of Empirical Finance 10, 1-217. • Bekaert, Geert and Campbell R. Harvey, 1997, “Emerging Equity Market Volatility,” Journal of Financial Economics 43, 29-77 • Errunza, Vihang, and Etienne Losq, 1985, “International Asset Pricing Under Mild Segmentation: Theory and Tests”, Journal of Finance 40, 105-124. • Chaieb, Ines and Vihang Errunza, 2007, “International Asset Pricing under Segmentation and PPP Deviations,” Journal of Financial Economics 86, pp. 543-578. • Kumar, M., U. Moorthy and W. Perraudin, 2003, “Predicting Emerging Market Currency Crashes,” Journal of Empirical Finance 10, 427-454. • Helpman, E., M. Melitz, and S. Yeaple, 2003, “Exports vs. FDI with Heterogeneous Firms”, American Economic Review, 94, 300-316. Tartışma 6: • Alfaro, Laura, Sebnem Kalemli-Ozcan and Vadym Volosovych, 2008, “Why Doesn’t Capital Flow from Rich Countries to Poor Countries? An Empirical Investigation,” Review of Economics and Statistics 90, 347-368. • Lucas, R., 1990, “Why doesn't capital flow from rich to poor countries?” American Economic Review, 1990.
13Country Risk Analysis • Damodaran, Aswath, “Country Risk and Company Exposure: Theory and Practice,” Journal of Applied Finance, Fall/Winter 2003. Cari Açık ve Ödemeler Dengesi Döviz kuru oynaklığı ve türev araçlar
14Döviz kuru oynaklığı, modeller, ve makroekonomik faktörler • Bollerslev, T ,“Generalized Autoregressive Conditional Heteroskedaticity,” Journal of Econometrics, 1986 31, pp. 307-27. • Engle, R.F. , “Autoregressive Conditional Heteroscedaticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica,1982. 50/4, pp. 987-1006. • Jorion, P., “Predicting Volatility in the Foreign Exchange Market,” The Journal of Finance, 1995, Vol. L, No. 2, June, pp. 507-528. • Poon, SH and CWJ Granger, “ Forecasting volatility in financial markets: A review,” Journal of economic literature, 2003, 41/2, 478-539. • Almeida, A., Goodhart, C., Payne, R., 1998. The effects of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis 33, 383–408. • Andersen, T., Bollerslev, T., 1998. Deutsche Mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance 53, 219–265. • Andersen, T., Bollerslev, T., Diebold, F.X., Vega, C., 2003. Micro effects of macro announcements: real-time price • discovery in foreign exchange. American Economic Review 93, 38–62. • Hakkio, C.S., Pearce, D.K., 1985. The reaction of exchange rates to economic news. Economic Inquiry 23, 621–636. • D.K. Pearce and M.N. Solakoglu, “Macroeconomic news and exchange rates,” Journal of İnternational Financial Markets, Institutions and Money, 17, 307-325. • Christopher J. Neely and S. Rubun Dey, “A Survey of Announcement Effects on Foreign Exchange Returns,” Federal Reserve Bank of St. Louis Review, September/October 2010, 92(5), pp. 417-463.
 
Kaynaklar:
Uluslararası Finans alanında yayınlanmış temel makaleler.
 
Diğer Kaynaklar:
-
 
Öğretim Yöntem ve Teknikleri:
Haftalık üç saatlik ders, makale sunumları, ödev ve tartışmalar.
 
Değerlendirme Sistemi:
YöntemAdetKatkı (%)
Ara sınav1%20
Final sınavı1%20
Ödev6%30
Dönem Ödevi1%30
 
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