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Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi

Author

Listed:
  • Harun ALP

    (TCMB)

  • Refet GÜRKAYNAK

    (Bilkent Universitesi)

  • Hakan KARA

    (TCMB)

  • Gürsu KELEŞ

    (TCMB)

  • Musa ORAK

    (TCMB)

Abstract

Bu çalışmanın amacı, Türkiye’de hangi piyasa aracının para politikası kararlarına ilişkin beklentileri daha iyi yansıttığı sorusuna yanıt aramaktır. Bu amaçla, çeşitli piyasa araçları ve yöntemler kullanılarak para politikası faizi beklentileri hesaplanmış ve değişkenlerin para politikası kararlarını tahmin etme güçleri Temmuz 2006-Ekim 2009 dönemi için karşılaştırılmıştır. Ampirik sonuçlar, para politikası kararlarını en iyi tahmin etme gücüne sahip olan aracın bir hafta vadeli Türk Lirası Bankalararası Alış Oranı (TRLIBID) olduğunu göstermiştir.

Suggested Citation

  • 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.
  • Handle: RePEc:iif:iifjrn:v:25:y:2010:i:295:p:21-45
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    References listed on IDEAS

    as
    1. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
    2. 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.
    3. 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.
    4. 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.
    5. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
    6. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense? A Reply," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 943-948, November.
    7. William Poole & Robert Rasche, 2000. "Perfecting the Market's Knowledge of Monetary Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 255-298, December.
    8. Monika Piazzesi, 2002. "The Fed and Interest Rates - A High-Frequency Identification," American Economic Review, American Economic Association, vol. 92(2), pages 90-95, May.
    9. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 907-931, November.
    10. Brunner, Allan D, 2000. "On the Derivation of Monetary Policy Shocks: Should We Throw the VAR Out with the Bath Water?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(2), pages 254-279, May.
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    Citations

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    Cited by:

    1. 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.
    2. repec:boz:journl:v:31:y:2017:i:1:p:1-21 is not listed on IDEAS

    More about this item

    Keywords

    Para politikası; politika faiz oranı beklentileri; piyasa bazlı beklenti ölçümü.;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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