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Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini

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  • Ozge Akinci
  • Burcu Gurcihan
  • Refet Gurkaynak
  • Ozgur Ozel

Abstract

Piyasa katilimcilarinin faiz beklentilerini yansitan getiri egrisinin tahmini mali analizin temel taslarindandir. Bu makalede getiri egrilerinin temel ozelliklerini tanitip, bilgimiz dahilinde ilk defa, Turkiye için uzun vadeli sabit kuponlu bonolarin da tahmine dahil edildigi yuksek frekansta getiri egrisi tahminleri sunuyoruz. Gunluk olarak tahmin edilen bu getiri egrileri piyasa katilimcilarinin makroekonomik gelismelere tepkilerini olcmek için uygun araclardir. Bu makalede getiri egrilerinden elde edilen sabit vadeli faizlerin para politikasi, enflasyon verisi açiklamasi, stopaj oranlarinin degismesi gibi olaylara verdikleri tepkiler vaka calismasi ornekleri olarak sunulmustur.

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File URL: http://www.tcmb.gov.tr/research/discus/WP0608.pdf
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Bibliographic Info

Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 0608.

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Date of creation: 2006
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Handle: RePEc:tcb:wpaper:0608

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Cited by:
  1. 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, Bilgesel Yayincilik, vol. 24(278), pages 9-24.
  2. Duran, Murat & Gülşen, Eda, 2013. "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, vol. 32(C), pages 592-601.
  3. H. Burcu Gurcihan & Ozgur Ozel, 2010. "Kuresel Finansal Kriz Doneminde Para Politikasi Kurulu Kararlarinin Piyasa Getirileri Uzerindeki Etkisi," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 1010, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. 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, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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