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Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini

Listed author(s):
  • Ozge Akinci
  • Burcu Gurcihan
  • Refet Gurkaynak
  • Ozgur Ozel

Piyasa katilimcilarinin faiz beklentilerini yansitan getiri egrisinin tahmini mali analizin temel taslarindandir. Bu makalede getiri egrilerinin temel ozelliklerini tanitip, bilgimiz dahilinde ilk defa, Turkiye için uzun vadeli sabit kuponlu bonolarin da tahmine dahil edildigi yuksek frekansta getiri egrisi tahminleri sunuyoruz. Gunluk olarak tahmin edilen bu getiri egrileri piyasa katilimcilarinin makroekonomik gelismelere tepkilerini olcmek için uygun araclardir. Bu makalede getiri egrilerinden elde edilen sabit vadeli faizlerin para politikasi, enflasyon verisi açiklamasi, stopaj oranlarinin degismesi gibi olaylara verdikleri tepkiler vaka calismasi ornekleri olarak sunulmustur.

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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 0608.

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Date of creation: 2006
Handle: RePEc:tcb:wpaper:0608
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