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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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References

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  1. Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009. "Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view," Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
  2. Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
  3. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  4. Martin T. Bohl & Pierre L. Siklos & David Sondermann, 2008. "European Stock Markets and the ECB's Monetary Policy Surprises," International Finance, Wiley Blackwell, vol. 11(2), pages 117-130, 08.
  5. Zelal Aktas & Harun Alp & Refet Gurkaynak & Mehtap Kesriyeli & Musa Orak, 2008. "Turkiye’de Para Politikasinin Aktarimi:Para Politikasinin Mali Piyasalara Etkisi," Working Papers 0811, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  6. 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.
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Citations

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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.
  2. Guray Kucukkocaoglu & Deren Unalmis & Ibrahim Unalmis, 2013. "How do Banks’ Stock Returns Respond to Monetary Policy Committee Announcements in Turkey? Evidence from Traditional versus New Monetary Policy Episodes," Working Papers 1330, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  3. Duran, Murat & Özcan, Gülserim & Özlü, Pınar & Ünalmış, Deren, 2012. "Measuring the impact of monetary policy on asset prices in Turkey," Economics Letters, Elsevier, vol. 114(1), pages 29-31.

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