Reel sektör hazineleri için hedging stratejileri
Abstract
2000'li senelerin başından beri dünyadaki likidite fazlalığı, 2007 yılı sonunda geri dönülmesi güç bir yola girmiştir. 2001 krizinden yeni atlatmış Türkiye, 2002 senesinden bu yana; enflasyon kademeli olarak düşmüş, faizler düşüş trendine girmiş, özelleştirme yoğun bir talep gerçekleşmiş ve mali ve sermaye piyasalarına etkisi belli olacak kadar güçlü yabancı sermaye girişleri gerçekleşmiştir. Reel sektör ve özellikle üretim sektörüne, piyasalarda yaşanan olumlu durumların etkisiyle amatör risk yönetimi anlayışından uzaklaşmamıştır, süreklilik sağlayıcı gayri safi milli hasılada büyüme, dövizli kredi sağlanması ve yeni yatırımlarla bir borç yoğunluğunun içine girmiştir. Diğer yandan enerji fiyatlarındaki ve emtia fiyatlarındaki oynaklık kur ve döviz paritelerindeki oynaklıklar da eklendiğinde piyasalar için belirsizlikler endişe verici oranda artış göstermiştir. Finans dışı sektörlerde bazlı kullanılan krediler; kısa vadeli, orta vadeli ve uzun vadeli yerel para cinsinden ve yabancı para cinsinden kredilerdir. Yabancı para cinsinden olan krediler yüzünden şirketler döviz kuru riskine bağlı kalırlar. İthalat ve ihracat gerçekleştiren şirketler döviz riski üstlenmekte ve korunma (hedging) uygulamaları konusunda bilgi ve tecrübe açısından çok yetersizlerdir. Bu araştırmada, finans dışı sektörün döviz riskinden korunmada kullanılabileceği önemli finansal ürünlerinden; forward, option, swap, yapılandırılmış finansal araçlar, spread, faiz koridoru ve çift para birimli kredi örneklem yoluyla anlatılmıştır. Yapılan örnekler forward, opsiyon, swap, yapılandırılmış finansal araçlar, spread, faiz koridoru ve çift para birimli kredi gerçek zamanlı piyasa verileri ile fiyatlama yapılmıştır. Bu kapsamda Temmuz 2017 ve Ağustos 2017 tarihleri arasındaki bir ve ay bazlı olan hesaplamalarda USD/TRY için algılanan volatility (belirsizlik) verisi ve TRY ve USD cinsi bir ve üç aylık depo oranları Bloomberg Terminal olan veri sağlıyıcısından alınmıştır. Yapılandırılmış finansal ürünler ise Jp Morgan Markets ve Morgan Stanley'in data sağlayıcısından alınmıştır. Anahtar Kelimeler: Likidite, Döviz Riski, Türev Ürünler, Hedging
Since the beginning of the 2000s, the excess liquidity in the world has taken a difficult path to return at the end of 2007. 2001, a new crisis jumped from Turkey, since 2002; inflation gradually decreased, interest rates entered a downward trend, intense privatization was realized and foreign capital inflows were strong enough to have a certain impact on financial and capital markets. The real sector, and especially the production sector, did not move away from the amateur risk management approach due to the positive conditions experienced in the markets, and entered into a debt concentration with sustained growth in gross national product, provision of foreign currency loans and new investments. On the other hand, the volatility in energy prices and commodity prices and the volatility in exchange rate parities added uncertainties to the markets. Loans used in non-financial sectors based on; short-term, medium-term and long-term loans in local currency and foreign currency. Foreign currency denominated loans because the companies adhere to the currency risk. Import and export companies undertake foreign exchange risk and are inadequate in terms of their knowledge and experience in hedging practices. In this study, the most important non-financial sector's foreign currency financial products can be used in hedges; forward, option, swaps, structured financial instruments, spreads, interest rate corridor has been described by way of dual-currency credit and samples. Examples are forward, option, swap, structured financial instruments, spread, interest rate corridor and dual currency loan real-time market data is pricing. In this context, in one and months based on the calculation between July 2017 and August, 2017 USD / TRY perceived volatility (uncertainty) data and TRY and USD denominated one and threemonth storage rates are taken from the Bloomberg terminal that data sever. Structured financial products are taken from the JP Morgan Markets and Morgan Stanley's data provider. Keywords: Liquidity, FX Risk, Derivatives Products, Hedging
Since the beginning of the 2000s, the excess liquidity in the world has taken a difficult path to return at the end of 2007. 2001, a new crisis jumped from Turkey, since 2002; inflation gradually decreased, interest rates entered a downward trend, intense privatization was realized and foreign capital inflows were strong enough to have a certain impact on financial and capital markets. The real sector, and especially the production sector, did not move away from the amateur risk management approach due to the positive conditions experienced in the markets, and entered into a debt concentration with sustained growth in gross national product, provision of foreign currency loans and new investments. On the other hand, the volatility in energy prices and commodity prices and the volatility in exchange rate parities added uncertainties to the markets. Loans used in non-financial sectors based on; short-term, medium-term and long-term loans in local currency and foreign currency. Foreign currency denominated loans because the companies adhere to the currency risk. Import and export companies undertake foreign exchange risk and are inadequate in terms of their knowledge and experience in hedging practices. In this study, the most important non-financial sector's foreign currency financial products can be used in hedges; forward, option, swaps, structured financial instruments, spreads, interest rate corridor has been described by way of dual-currency credit and samples. Examples are forward, option, swap, structured financial instruments, spread, interest rate corridor and dual currency loan real-time market data is pricing. In this context, in one and months based on the calculation between July 2017 and August, 2017 USD / TRY perceived volatility (uncertainty) data and TRY and USD denominated one and threemonth storage rates are taken from the Bloomberg terminal that data sever. Structured financial products are taken from the JP Morgan Markets and Morgan Stanley's data provider. Keywords: Liquidity, FX Risk, Derivatives Products, Hedging
Description
Keywords
Maliye, Döviz riski, Hedge muhasebesi, Finance, Currency risk, Reel sektör, Hedge accounting, Riskten korunma, Real sector, Protection from risk, Vadeli işlem piyasaları, Futures markets