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Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz

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  • Eda Gulsen
  • Ibrahim Burak Kanli
  • Neslihan Kaya

Abstract

Bu not, son yasanan kriz surecinde Turkiye Cumhuriyet Merkez Bankasi’nin (TCMB) faiz kararlari ile Turk lirasinin (TL) deger degisimi arasindaki iliskiyi incelemektedir. Bu kapsamda, TCMB’nin aldigi faiz kararlarinin Turk lirasinin performansi uzerindeki etkisi vaka analizi yontemi kullanilarak analiz edilmistir. Ilk olarak kriz surecinde faiz kararlarinin hemen ardindan Turk lirasinin goreli performansi incelenmistir. Elde edilen sonuclara gore, surpriz kararlar sonrasinda dahi, soklarin TL uzerindeki etkisi sinirli ve kisa sureli olmaktadir. Bunun yani sira, politika faizi surprizlerinin kur uzerindeki etkisinin zamana gore seyrini incelemek amaciyla karar sonrasi faiz sokunun, TL’nin ABD dolari karsisindaki deger degisimi uzerine etkisi kayan pencereler seklinde tahmin edilmistir. Sonuclar, ilk kisimdaki analizi destekler bicimde kriz sureciyle birlikte faiz soklarinin kur üzerindeki etkisini kaybettigine isaret etmektedir. Bunun baslica sebebinin, risk algilamalarinin sira disi bicimde arttigi kriz süreclerinde yatirimcilarin karar alirken ek getiri imkanlarindan ziyade ulke riskliligini goz onunde bulundurmalari oldugu dusunulmektedir.

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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 1011.

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Date of creation: 2010
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Handle: RePEc:tcb:econot:1011

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  1. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003. "Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity," CEIS Research Paper 23, Tor Vergata University, CEIS.
  2. Jeromin Zettelmeyer, 2000. "The Impact of Monetary Policy on the Exchange Rate - Evidence from Three Small Open Economies," IMF Working Papers 00/141, International Monetary Fund.
  3. David M. Gould & Steven B. Kamin, 2000. "The impact of monetary policy on exchange rates during financial crises," International Finance Discussion Papers 669, Board of Governors of the Federal Reserve System (U.S.).
  4. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
  5. 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.
  6. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," American Economic Review, American Economic Association, vol. 99(2), pages 466-72, May.
  7. Roberto Rigobon & Brian Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
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