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Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri

Author

Listed:
  • Doruk Kucuksarac
  • Ozgur Ozel

Abstract

Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari�ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye�de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin ortaya cikarilmasi onem arz etmektedir. Bu amac dogrultusunda oncelikle ele alinan piyasalardaki arbitrajsiz iliskinin hangi faktorlere bagli oldugu incelenmistir. Soz konusu iki faiz arasindaki farkta ; Libor, bankalarin ek borclanma maliyeti ile Turk lirasi ve yabanci para zorunlu karsilik oranlarinin etkili oldugu gosterilmistir. Calismanin devaminda iki faiz seviyesi arasinda uzun vadeli bir iliski olup olmadigi Pesaran, Shin ve Smith es butunlesme yontemiyle test edilmistir. Buna gore elde edilen ampirik bulgular uzun donemde piyasalar arasinda olusmasi beklenen arbitrajsiz iliskiyle ortusmektedir.

Suggested Citation

  • Doruk Kucuksarac & Ozgur Ozel, 2013. "Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri," Working Papers 1320, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1320
    as

    Download full text from publisher

    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2013/13-20
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    Citations

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    Cited by:

    1. Hande Kucuk & Pinar Ozlu & Anil Talasli & Deren Unalmis & Canan Yuksel, 2013. "Likidite Yonetimi ve BIST Faiz Farki," CBT Research Notes in Economics 1325, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Kur takasi; repo; arbitrajsiz iliski; es butunlesme; hata duzeltme modeli;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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