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TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi

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Author Info

  • Murat Duran
  • Refet Gurkaynak
  • Pinar Ozlu
  • Deren Unalmis

Abstract

Para politikasinin mali piyasalara etkisi parasal aktarim mekanizmasinin ilk adimidir. Politika faizinin varlik fiyatlari uzerine etkisi tahmin edilirken karsilasilan onemli sorunlardan biri politika faizleri ve varlik fiyatlari arasindaki eszamanli etkilesimdir. Bu calismada, para politikasinin Turkiye’deki hisse senedi fiyatlari ve piyasa faizleri uzerindeki etkisi, eszamanlilik sorununa etkili bir cozum olan Rigobon ve Sack (2004) tarafindan onerilen degisen oynakliga dayali genellestirilmis beklemler yontemi (GMM) ile tahmin edilmistir. Bulgular daha once de vaka calismasi ile elde edilen sonuclar ile uyumludur. Politika faizlerindeki artislar, hisse senedi fiyatlarini dusurmekte, daha uzun vadeli faizleri ise vadeye gore asamali olarak azalan bir olcude artirmaktadir.

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File URL: http://www.tcmb.gov.tr/research/ekonominotlari/2010/tr/EN1008.php
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Bibliographic Info

Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series CBT Research Notes in Economics with number 1008.

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Date of creation: 2010
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Handle: RePEc:tcb:econot:1008

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References

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  1. Refet Gürkaynak & Brian Sack & Eric Swanson, 2004. "Do actions speak louder than words? the response of asset prices to monetary policy actions and statements," Finance and Economics Discussion Series 2004-66, Board of Governors of the Federal Reserve System (U.S.).
  2. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  3. Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
  4. Tore Ellingsen & Ulf Soderstrom, 2001. "Monetary Policy and Market Interest Rates," American Economic Review, American Economic Association, vol. 91(5), pages 1594-1607, December.
  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. Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006. "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers 0608, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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Cited by:
  1. Murat Duran & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(2), pages 23-32.

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