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Devlet iç borçlanma senetleri için getiri eğrisi tahmini

  • Özge AKINCI

    (Columbia Üniversitesi)

  • Burcu GÜRCİHAN

    (Pompeu Fabra Üniversitesi)


    (Bilkent Üniversitesi)

  • Özgür ÖZEL

    (T.C. Merkez Bankası)

Piyasa katılımcılarının faiz beklentilerini yansıtan getiri eğrisinin tahmini mali analizin temel taşlarındandır. Bu makalede getiri eğrilerinin temel özelliklerini tanıtıp, bilgimiz dahilinde ilk defa, Türkiye için uzun vadeli sabit kuponlu tahvillerin de tahmine dahil edildiği yüksek frekansta getiri eğrisi tahminleri sunuyoruz. Günlük olarak tahmin edilen bu getiri eğrileri piyasa katılımcılarının makroekonomik gelişmelere tepkilerini ölçmek için uygun araçlardır. Bu makalede getiri eğrilerinden elde edilen sabit vadeli faizlerin para politikası, enflasyon verisi açıklaması, stopaj oranlarının değişmesi gibi olaylara verdikleri tepkiler vaka çalışması örnekleri olarak sunulmuştur.

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Article provided by Bilgesel Yayincilik in its journal İktisat İşletme ve Finans.

Volume (Year): 22 (2007)
Issue (Month): 252 ()
Pages: 5-25

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Handle: RePEc:iif:iifjrn:v:22:y:2007:i:252:p:5-25
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