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

  • 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)

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.

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

Volume (Year): 24 (2009)
Issue (Month): 278 ()
Pages: 9-24

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Handle: RePEc:iif:iifjrn:v:24:y:2009:i:278:p:9-24
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  1. Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006. "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers 0608, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  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. 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.
  4. 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.
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