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TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi

  • Murat Duran
  • Pinar Ozlu
  • Deren Unalmis

The transmission of policy decisions to financial markets is an integral part of the monetary transmission mechanism. However, one of the major problems in estimating the effect of monetary policy on asset prices is the simultaneous response of policy actions and the asset prices to each other. To overcome this problem, this study applies the heterokedasticity-based generalized method of moments (GMM) technique suggested by Rigobon and Sack (2004) to the Turkish stock market. The results show that an increase in the policy rate leads to a decline in stock prices, especially for the financial sector firms.

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File URL: https://www3.tcmb.gov.tr/cbr/index.php/cbreview/article/view/273/233
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Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

Volume (Year): 10 (2010)
Issue (Month): 2 ()
Pages: 23-32

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Handle: RePEc:tcb:cebare:v:10:y:2010:i:2:p:23-32
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  1. 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.
  2. Martin T. Bohl & Pierre L. Siklos & David Sondermann, 2008. "European Stock Markets and the ECB's Monetary Policy Surprises," International Finance, Wiley Blackwell, vol. 11(2), pages 117-130, 08.
  3. Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
  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. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  6. Konstantin Kholodilin & Alberto Montagnoli & Oreste Napolitano & Boriss Siliverstovs, 2008. "Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view," KOF Working papers 08-213, KOF Swiss Economic Institute, ETH Zurich.
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