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Devlet iç borçlanma senetleri için getiri eğrisi tahmini

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Author Info

  • Özge AKINCI

    (Columbia Üniversitesi)

  • Burcu GÜRCİHAN

    (Pompeu Fabra Üniversitesi)

  • Refet GÜRKAYNAK

    (Bilkent Üniversitesi)

  • Özgür ÖZEL

    (T.C. Merkez Bankası)

Abstract

Piyasa katılımcılarının faiz beklentilerini yansıtan getiri eğrisinin tahmini mali analizin temel taşlarındandır. Bu makalede getiri eğrilerinin temel özelliklerini tanıtıp, bilgimiz dahilinde ilk defa, Türkiye için uzun vadeli sabit kuponlu tahvillerin de tahmine dahil edildiği yüksek frekansta getiri eğrisi tahminleri sunuyoruz. Günlük olarak tahmin edilen bu getiri eğrileri piyasa katılımcılarının makroekonomik gelişmelere tepkilerini ölçmek için uygun araçlardır. Bu makalede getiri eğrilerinden elde edilen sabit vadeli faizlerin para politikası, enflasyon verisi açıklaması, stopaj oranlarının değişmesi gibi olaylara verdikleri tepkiler vaka çalışması örnekleri olarak sunulmuştur.

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Bibliographic Info

Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

Volume (Year): 22 (2007)
Issue (Month): 252 ()
Pages: 5-25

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Handle: RePEc:iif:iifjrn:v:22:y:2007:i:252:p:5-25

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Web page: http://iif.com.tr

Related research

Keywords: bono ve tahvil piyasası; getiri eğrisi; vaka çalışması.;

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Cited by:
  1. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. Duran, Murat & Gülşen, Eda, 2013. "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, vol. 32(C), pages 592-601.
  3. Zelal AKTAŞ & Harun ALP & Refet GÜRKAYNAK & Mehtap KESRİYELİ & Musa ORAK, 2009. "Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(278), pages 9-24.
  4. H. Burcu Gurcihan & Ozgur Ozel, 2010. "Kuresel Finansal Kriz Doneminde Para Politikasi Kurulu Kararlarinin Piyasa Getirileri Uzerindeki Etkisi," CBT Research Notes in Economics 1010, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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