Kripto Döngüsü ve ABD Para Politikası: Faktör Temelli VAR ve EKK Analizi
DOI:
https://doi.org/10.63556/tisej.2026.1921Anahtar Kelimeler:
ABD Para Politikası- Kripto Para Fiyatları- Kriptofaktör- VAR Modeli- Küresel Finansal DöngüÖz
Bu çalışma, ABD para politikası ve küresel finansal koşulların kripto varlık fiyatları üzerindeki etkisini Nisan 2020–Mayıs 2026 dönemi için incelemektedir. Dokuz kripto paranın ortak fiyat hareketi Temel Bileşenler Analizi ile kriptofaktöre dönüştürülmüştür. Birinci bileşenin toplam varyansın yüzde 74’ünü açıklaması kripto para piyasaları için baskın sistemik bir bileşenin varlığını teyit etmektedir. Kısa dönemli dinamikler VAR Modeli, uzun dönemli seviye ilişkileri ise Newey-West HAC düzeltmeli En Küçük Kareler yöntemiyle tahmin edilmiştir. Model güvenilirliği AR karakteristik polinom ve Bai-Perron çoklu yapısal kırılmalar testleriyle doğrulanmıştır. VAR etki tepki analizi, SOFR ve 2 yıl vadeli ABD Hazine tahvil faizindeki pozitif şokların kriptofaktör üzerinde kalıcı bir negatif tepkiyle ilişkili olduğunu ortaya koymaktadır. Kriptofaktörün kendi şoklarına verdiği tepki otuzuncu döneme kadar negatif seyrederek ortalamaya dönüş dinamizmini yansıtmaktadır. Varyans ayrıştırması, kriptofaktör varyansının yüzde 98,89’inin içsel şoklardan kaynaklandığını ve emtia değişkenlerinin para politikası değişkenlerinden daha yüksek bir dışsal pay taşıdığını göstermektedir. EKK bulguları, altın ve Brent petrolün kriptofaktör fiyatlamaları üzerinde istatistiksel olarak güçlü ve anlamlı etkiler taşırken para politikası değişkenlerinin gecikmeli ve şok odaklı bir yapı sergilediğini ortaya koymaktadır. Bulgular, kripto paraların kısa vadede içsel momentum, orta vadede para politikası şokları ve uzun vadede küresel emtia döngüsü ile yapısal büyüme trendi tarafından biçimlenen çok katmanlı bir fiyatlama yapısı sergilediğini göstermektedir.
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Telif Hakkı (c) 2026 Üçüncü Sektör Sosyal Ekonomi Dergisi
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