IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Likidite Yonetimi ve BIST Faiz Farki

Listed author(s):
  • Hande Kucuk
  • Pinar Ozlu
  • Anil Talasli
  • Deren Unalmis
  • Canan Yuksel

[TR] Turkiye’de para politikasi aktarim mekanizmasinda Borsa Istanbul Repo/Ters Repo Pazari’nda olusan gecelik faiz (BIST gecelik faizi) kritik onem tasimaktadir. Geleneksel enflasyon hedeflemesi uygulanan donemde BIST gecelik faizi politika faizini oldukca yakindan takip ederken, 2010 yilindan itibaren devreye giren yeni politika cercevesinde BIST gecelik faizi ve diger kisa vadeli faizler politika faizi disindaki diger politika araclarindan da etkilenmeye baslamistir. Yeni donemde, TCMB’nin doviz kuru ve kredi kanallarini ayri ayri etkileyebilmek amaciyla uyguladigi likidite politikalari ve genis faiz koridorunun etkisiyle BIST gecelik faizi ile TCMB ortalama fonlama faizi arasindaki fark (BIST faiz farki) genislemis ve daha dalgali hale gelmistir. Bu calismada gecelik piyasa faizi dinamiklerinin daha iyi anlasilmasi amaciyla BIST faiz farkinin belirleyicileri arastirilmakta ve likidite yonetimi ile faiz koridorunun soz konusu faiz farki uzerinde etkili oldugu gosterilmektedir. Ayrica, TCMB politikalariyla dogrudan veya dolayli yoldan iliskili diger bircok faktorun de bu faiz farki uzerinde etkili oldugu gosterilmektedir. [EN] The overnight rate observed in the BIST Repo/Reverse Repo Market (BIST O/N rate) plays a crucial role in the transmission of monetary policy in Turkey. The BIST O/N rate, which was tightly linked to the policy rate in the period of conventional inflation targeting, has started to be affected by other policy instruments following the adoption of the new monetary policy framework in 2010. In the new period, the spread between the BIST O/N rate and CBRT’s average funding rate (the BIST spread) has become wider and more volatile due to CBRT’s liquidity policies and the interest rate corridor, which have been actively used with a view to affect exchange rate and credit channels separately. In this study, we analyze the determinants of the BIST spread to shed light on the dynamics of the overnight interest rates in Turkey, and empirically document the importance of liquidity management and interest rate corridor for determining the spread. Our results show that the spread has also been influenced by various other factors which are directly or indirectly related to the recent liquidity policy of the CBRT.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tcmb.gov.tr/wps/wcm/connect/d5292363-267f-4e21-b234-913cd8d2c07a/EN1325.pdf?MOD=AJPERES&CACHEID=d5292363-267f-4e21-b234-913cd8d2c07a
Download Restriction: no

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 1325.

as
in new window

Length:
Date of creation: 2013
Handle: RePEc:tcb:econot:1325
Contact details of provider: Postal:
Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara

Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011. "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2053-2083.
  2. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
  3. Beirne, John, 2012. "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 534-551.
  4. Tobias Linzert & Sandra Schmidt, 2011. "What explains the spread between the Euro overnight rate and the ECB's policy rate?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(3), pages 275-289, 07.
  5. A.Hakan KARA, 2012. "Küresel kriz sonrası para politikası," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(315), pages 09-36.
  6. Doruk Kucuksarac & Ozgur Ozel, 2013. "Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri," Working Papers 1320, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tcb:econot:1325. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.