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TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi

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Author Info

  • Murat Duran
  • Pinar Ozlu
  • Deren Unalmis

Abstract

The 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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File URL: http://www.tcmb.gov.tr/research/cbreview/july10-3.pdf
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Bibliographic Info

Article 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 ()
Pages: 23-32

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Handle: RePEc:tcb:cebare:v:10:y:2010:i:2:p:23-32

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Related research

Keywords: Monetary policy; Stock market; Identification through heteroskedasticity;

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Cited by:
  1. Murat Duran & Gulserim Ozcan & Pinar Ozlu & Deren Unalmis, 2010. "Measuring the Impact of Monetary Policy on Asset Prices in Turkey (Turkiye’de Para Politikasinin Finansal Varlik Fiyatlari Uzerine Etkisi)," Working Papers 1017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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