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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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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
Handle: RePEc:tcb:econot:1011
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  1. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000. "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics 00/11, Department of Economics, University of Leicester, revised Feb 2002.
  2. 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.).
  3. Reinhart, Carmen M. & Rogoff, Kenneth S., 2009. "The Aftermath of Financial Crises," Scholarly Articles 11129155, Harvard University Department of Economics.
  4. 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.
  5. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
  6. Zelal Aktas & Harun Alp & Refet Gurkaynak & Mehtap Kesriyeli & Musa Orak, 2008. "Turkiye’de Para Politikasinin Aktarimi:Para Politikasinin Mali Piyasalara Etkisi," Working Papers 0811, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Roberto Rigobon & Brian P. 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.).
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