Thesis Defense - Gizem Ece Yurttaş (MSFE)

Gizem Ece Yurttaş - M.Sc. Financial Engineering

Dr. Öğretim Üyesi Emrah Ahi, Advisor

Date: 29.12.2021

Time: 14.00

Location: Özyeğin University Altunizade Campus - ALT 102 

FX MARKETS CO-MOVEMENT DYNAMICS AND GLOBAL FACTORS:

EVIDENCE FROM EMERGING MARKETS

Asst. Prof. Emrah Ahi, Özyeğin University

Asst. Prof. Levent Güntay,  Özyeğin University

Asst. Prof. Gamze Öztürk Danışman, Kadir Has University

Abstract:

Emerging markets are particularly different from developed markets as they possess vulnerability, easily disturbed by financial crises, and not completely liberalized. Some global shocks such as Covid-19 and 2018 global financial crisis easily affect the emerging markets in especially currency-based systems. Therefore, it is important to investigate the impacts of global factors on their currencies in the last few decades.

The main purpose of this thesis is to investigate the effects of global factors on emerging markets between the years of 2009-2021. The cluster was narrowed by PCA analysis and regression analysis was performed on the factors obtained as a result of the analysis. Then, the analysis was made to minimize the average loss that will occur due to restructuring with the factors included in the PCA analysis results and to compare the movements of the currencies of developing countries within themselves with the regression results. Empirical tests are implemented into three different time periods to understand the effects of global factors:

• High Liquidity Market Regime (January 2009 – June 2013)
• Monetary Tightening Market Regime (July 2013 – December 2019)
• The Emerging Markets in Pandemic (January 2020 – August 2021)

The findings show that the currencies of the developing countries are highly correlated with the Dollar Index, MSCI World Index and EURUSD parity, but also it is observed that they are correlated with the commodity markets in times of crisis. On the other hand, even the emerging markets countries do not diverge from each other much during the global financial crisis, it is analyzed that the currencies of the countries that have difficulties in their domestic monetary and fiscal policies such as Turkey and Argentina are decomposed from the emerging markets currencies in all periods regardless of the type of crises.

Bio:

After graduating from International Finance (with a full scholarship) at Bahçeşehir University in 2013, she started her career at Şekerbank within Management Trainee Program. Meanwhile, she did a Master’s Degree in Capital&Stocks Market at Marmara University. Then she transferred to Treasury Department. 4 years improving herself,  she decided to widen her viewpoint in finance and continued her career at Oyak Maden Metalurji, first and largest integrated flat steel producer of Turkey also known as Erdemir in the market. Throughout her years at Erdemir, she learned how to meet business needs, actively played a role analyzing group cash liquidity and credit management and succesfully managed the foreign exchange risk. Meanwhile, she was a part of forming a company policy included risk management in terms of currencies, credits and cash and took strong responsibility on that project. Currently, she is working at Şişecam, the second largest producer of glassware and the fifth largest producer of glass packaging and flat glass in the world today, and managing the FX positions for group companies expanded more than 10 countries in the world. She defines the financial risks and creates the structures for hedging.