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Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz

  • Eda Gulsen
  • Ibrahim Burak Kanli
  • Neslihan Kaya

Bu not, son yasanan kriz surecinde Turkiye Cumhuriyet Merkez Bankasi’nin (TCMB) faiz kararlari ile Turk lirasinin (TL) deger degisimi arasindaki iliskiyi incelemektedir. Bu kapsamda, TCMB’nin aldigi faiz kararlarinin Turk lirasinin performansi uzerindeki etkisi vaka analizi yontemi kullanilarak analiz edilmistir. Ilk olarak kriz surecinde faiz kararlarinin hemen ardindan Turk lirasinin goreli performansi incelenmistir. Elde edilen sonuclara gore, surpriz kararlar sonrasinda dahi, soklarin TL uzerindeki etkisi sinirli ve kisa sureli olmaktadir. Bunun yani sira, politika faizi surprizlerinin kur uzerindeki etkisinin zamana gore seyrini incelemek amaciyla karar sonrasi faiz sokunun, TL’nin ABD dolari karsisindaki deger degisimi uzerine etkisi kayan pencereler seklinde tahmin edilmistir. Sonuclar, ilk kisimdaki analizi destekler bicimde kriz sureciyle birlikte faiz soklarinin kur üzerindeki etkisini kaybettigine isaret etmektedir. Bunun baslica sebebinin, risk algilamalarinin sira disi bicimde arttigi kriz süreclerinde yatirimcilarin karar alirken ek getiri imkanlarindan ziyade ulke riskliligini goz onunde bulundurmalari oldugu dusunulmektedir.

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File URL: http://www.tcmb.gov.tr/wps/wcm/connect/7504f9be-13ce-4d50-9d99-7fb669198972/EN1011.pdf?MOD=AJPERES&CACHEID=7504f9be-13ce-4d50-9d99-7fb669198972
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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series CBT Research Notes in Economics with number 1011.

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Date of creation: 2010
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Handle: RePEc:tcb:econot:1011
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  1. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
  2. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003. "Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity," CEIS Research Paper 23, Tor Vergata University, CEIS.
  3. 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.
  4. Roberto Rigobon & Brian Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
  5. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
  6. David M. Gould & Steven B. Kamin, 2000. "The impact of monetary policy on exchange rates during financial crises," International Finance Discussion Papers 669, Board of Governors of the Federal Reserve System (U.S.).
  7. Zettelmeyer, Jeromin, 2004. "The impact of monetary policy on the exchange rate: evidence from three small open economies," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 635-652, April.
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