TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi
AbstractThe transmission of policy decisions to financial markets is an integral part of the monetary transmission mechanism. However, one of the major problems in estimating the effect of monetary policy on asset prices is the simultaneous response of policy actions and the asset prices to each other. To overcome this problem, this study applies the heterokedasticity-based generalized method of moments (GMM) technique suggested by Rigobon and Sack (2004) to the Turkish stock market. The results show that an increase in the policy rate leads to a decline in stock prices, especially for the financial sector firms.
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Bibliographic InfoArticle provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.
Volume (Year): 10 (2010)
Issue (Month): 2 ()
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Monetary policy; Stock market; Identification through heteroskedasticity;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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