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Gecelik Vadede Kur Takasi ve BIST Repo Faizleri Arasindaki Iliski

Listed author(s):
  • Doruk Kucuksarac
  • Ozgur Ozel

[TR] Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari’ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye’de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin ortaya cikarilmasi onem arz etmektedir. Bu amac dogrultusunda oncelikle ele alinan piyasalardaki arbitrajsiz iliskinin hangi faktorlere bagli oldugu incelenmistir. Soz konusu iki faiz arasindaki farkta ; Libor, finansal kuruluslarin ek borclanma maliyeti ile Turk lirasi ve yabanci para zorunlu karsilik oranlarinin etkili oldugu gosterilmistir. Calismanin devaminda iki faiz seviyesi arasinda uzun vadeli bir iliski olup olmadigi Pesaran, Shin ve Smith es butunlesme yontemiyle test edilmistir. Buna gore elde edilen ampirik bulgular uzun donemde piyasalar arasinda olusmasi beklenen arbitrajsiz iliskiyle ortusmektedir. [EN] This note explores the interaction between the overnight currency swap rates (Turkish lira rates) and BIST overnight repo rates. This relation is worth analyzing due to the prominence of these rates in the monetary transmission mechanism in Turkey. In this context, firstly a no arbitrage condition is derived between the aforementioned markets. The derivation reveals that the differential between the two rates is determined by Libor, financial institutions’ foreign currency borrowing spread, required reserves on both Turkish lira and foreign currency. Secondly, the note tests the long run relation between these two rates by using the cointegration method offered by Pesaran, Shin and Smith. Accordingly, empirical results confirm that the long run relation between these markets is consistent with the no arbitrage condition derived in the first part.

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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 1315.

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Date of creation: 2013
Handle: RePEc:tcb:econot:1315
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