How do Banks’ Stock Returns Respond to Monetary Policy Committee Announcements in Turkey? Evidence from Traditional versus New Monetary Policy Episodes
AbstractUsing a methodology that is robust to endogeneity and omitted variables problems, it is found that the stock returns of all banks that are listed in Borsa Istanbul respond significantly to the monetary policy surprises on Monetary Policy Committee (MPC) meeting days prior to May 2010. It is shown that stock returns of banks for which interest payments constitute an important share in their balance sheets respond more aggressively to the changes in policy rates. In addition, foreign banks and participation banks give relatively less responses to monetary policy surprises. Estimation results differ between traditional and new monetary policy episodes.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1330.
Date of creation: 2013
Date of revision:
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Monetary Policy; Stock Market; Banking System; Emerging Markets; Identification through Heteroscedasticity;
Other versions of this item:
- Küçükkocaoğlu, Güray & Ünalmış, Deren & Ünalmış, İbrahim, 2013. "How do banks' stock returns respond to monetary policy committee announcements in Turkey? Evidence from traditional versus new monetary policy episodes," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 536-545.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-ARA-2013-08-05 (MENA - Middle East & North Africa)
- NEP-BAN-2013-08-05 (Banking)
- NEP-CBA-2013-08-05 (Central Banking)
- NEP-FMK-2013-08-05 (Financial Markets)
- NEP-MAC-2013-08-05 (Macroeconomics)
- NEP-MON-2013-08-05 (Monetary Economics)
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