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Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi

Author

Listed:
  • Zelal AKTAŞ

    (Türkiye Cumhuriyet Merkez Bankası)

  • Harun ALP

    (Türkiye Cumhuriyet Merkez Bankası)

  • Refet GÜRKAYNAK

    (Bilkent Üniversitesi)

  • Mehtap KESRİYELİ

    (Türkiye Cumhuriyet Merkez Bankası)

  • Musa ORAK

    (Türkiye Cumhuriyet Merkez Bankası)

Abstract

Bu çalışmada, para politikası kararlarının piyasalar tarafından beklenen ve beklenmeyen kısımları ayrıştırılarak, Merkez Bankası'nın faiz kararlarının finansal piyasalardaki göreli uzun vadeli faiz oranları ve İMKB-100, İMKB-Mali, döviz kuru, risk primi gibi değişkenler üzerindeki etkisi incelenmiştir. Elde edilen bulgular, politika faizi değişikliklerinin mali piyasalarda, özellikle tahvil-bono faizleri üzerinde, etkili olduğunu göstermektedir. Öte yandan, hisse senedi fiyatlarının para politikası sürprizlerine istatistiksel olarak anlamlı bir tepki vermedikleri, döviz kuru tepkisinin ise küçük olduğu bulunmaktadır. Dolayısıyla, para politikası aktarım mekanizmasının faiz kanalının, temel olarak, piyasa faizleri aracılığıyla etkili olduğu ortaya çıkmaktadır.

Suggested Citation

  • 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.
  • Handle: RePEc:iif:iifjrn:v:24:y:2009:i:278:p:9-24
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    References listed on IDEAS

    as
    1. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    2. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    3. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
    4. 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.
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    Citations

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    Cited by:

    1. Pinar Ozlu & Deren Unalmis, 2012. "Makroekonomik Gostergelerin Doviz Kurlari Uzerine Etkisi," CBT Research Notes in Economics 1221, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Refet S. Gürkaynak & Jonathan H. Wright, 2013. "Identification and Inference Using Event Studies," Manchester School, University of Manchester, vol. 81, pages 48-65, September.
    3. Refet S. GÜRKAYNAK & Zeynep KANTUR & M.Anıl TAŞ & Seçil YILDIRIM-KARAMAN, 2015. "Monetary Policy in Turkey after Central Bank Independence," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 30(356), pages 09-38.
    4. Murat Duran & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(2), pages 23-32.
    5. Umut UYAR & Sinem KANGALLI UYAR & Altan GOKCE, 2016. "Gosterge Faiz Orani Dalgalanmalari Ve Bist Endeksleri Arasindaki Iliskinin Esanli Kantil Regresyon Ile Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 16(4), pages 587-598.
    6. Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010. "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 25(295), pages 21-45.
    7. Duran, Murat & Özcan, Gülserim & Özlü, Pınar & Ünalmış, Deren, 2012. "Measuring the impact of monetary policy on asset prices in Turkey," Economics Letters, Elsevier, vol. 114(1), pages 29-31.
    8. Selva Demiralp & Hakan Kara & Pýnar Özlü, 2011. "Monetary policy communication under inflation targeting: Do words speak louder than actions?," Koç University-TUSIAD Economic Research Forum Working Papers 1128, Koc University-TUSIAD Economic Research Forum.
    9. Bulut, Mustafa & Karasoy, Hatice Gökçe, 2016. "Para Politikası Belirsizliği Altında Aktarım Mekanizması: Türkiye Örneği
      [Transmission Mechanism Under Monetary Policy Uncertainty: The Case of Turkey]
      ," MPRA Paper 71215, University Library of Munich, Germany.
    10. Yıldız AKKAYA & Refet S. GÜRKAYNAK, 2012. "Cari açık, bütçe dengesi, finansal istikrar ve para politikası: Heyecanlı bir dönemin izi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(315), pages 93-119.
    11. K. Azim Ozdemir, 2015. "Interest Rate Surprises and Transmission Mechanism in Turkey: Evidence from Impulse Response Analysis," Working Papers 1504, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    12. 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.
    13. Eda Gulsen & Ibrahim Burak Kanli & Neslihan Kaya, 2010. "Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz," CBT Research Notes in Economics 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    14. 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.
    15. Murat Duran & Gulserim Ozcan & Pinar Ozlu & Deren Unalmis, 2010. "Measuring the Impact of Monetary Policy on Asset Prices in Turkey (Turkiye’de Para Politikasinin Finansal Varlik Fiyatlari Uzerine Etkisi)," Working Papers 1017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Para politikası; faiz sürprizi; mali piyasalar;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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