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TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi

Author

Listed:
  • Murat Duran
  • Refet Gurkaynak
  • Pinar Ozlu
  • Deren Unalmis

Abstract

Para politikasinin mali piyasalara etkisi parasal aktarim mekanizmasinin ilk adimidir. Politika faizinin varlik fiyatlari uzerine etkisi tahmin edilirken karsilasilan onemli sorunlardan biri politika faizleri ve varlik fiyatlari arasindaki eszamanli etkilesimdir. Bu calismada, para politikasinin Turkiye’deki hisse senedi fiyatlari ve piyasa faizleri uzerindeki etkisi, eszamanlilik sorununa etkili bir cozum olan Rigobon ve Sack (2004) tarafindan onerilen degisen oynakliga dayali genellestirilmis beklemler yontemi (GMM) ile tahmin edilmistir. Bulgular daha once de vaka calismasi ile elde edilen sonuclar ile uyumludur. Politika faizlerindeki artislar, hisse senedi fiyatlarini dusurmekte, daha uzun vadeli faizleri ise vadeye gore asamali olarak azalan bir olcude artirmaktadir.

Suggested Citation

  • 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.
  • Handle: RePEc:tcb:econot:1008
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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/1748e876-0fba-4562-96f8-db11482bab9c/EN1008eng.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-1748e876-0fba-4562-96f8-db11482bab9c-m3fw4Ui
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    References listed on IDEAS

    as
    1. 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, September.
    2. 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.
    3. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    4. Roberto Rigobon & Brian Sack, 2001. "Measuring the Reaction of Monetary Policy to the Stock Market," NBER Working Papers 8350, National Bureau of Economic Research, Inc.
    5. 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.
    6. 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.
    7. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
    8. Tore Ellingsen & Ulf Soderstrom, 2001. "Monetary Policy and Market Interest Rates," American Economic Review, American Economic Association, vol. 91(5), pages 1594-1607, December.
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    Cited by:

    1. 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.
    2. 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.

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