IDEAS home Printed from https://ideas.repec.org/a/iif/iifjrn/v22y2007i252p5-25.html
   My bibliography  Save this article

Devlet iç borçlanma senetleri için getiri eğrisi tahmini

Author

Listed:
  • Özge AKINCI

    (Columbia Üniversitesi)

  • Burcu GÜRCİHAN

    (Pompeu Fabra Üniversitesi)

  • Refet GÜRKAYNAK

    (Bilkent Üniversitesi)

  • Özgür ÖZEL

    (T.C. Merkez Bankası)

Abstract

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.

Suggested Citation

  • Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL, 2007. "Devlet iç borçlanma senetleri için getiri eğrisi tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 22(252), pages 5-25.
  • Handle: RePEc:iif:iifjrn:v:22:y:2007:i:252:p:5-25
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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, 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 1010, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. repec:ebl:ecbull:eb-17-00107 is not listed on IDEAS
    5. 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 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Oguzhan Cepni & Doruk Kucuksarac, 2017. "Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve," Economics Bulletin, AccessEcon, vol. 37(2), pages 1133-1142.

    More about this item

    Keywords

    bono ve tahvil piyasası; getiri eğrisi; vaka çalışması.;

    JEL classification:

    • 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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iif:iifjrn:v:22:y:2007:i:252:p:5-25. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ali Bilge). General contact details of provider: http://iif.com.tr .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.