IDEAS home Printed from https://ideas.repec.org/p/tcb/wpaper/1320.html
   My bibliography  Save this paper

Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri

Author

Listed:
  • Doruk Kucuksarac
  • Ozgur Ozel

Abstract

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, bankalarin 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.

Suggested Citation

  • 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.
  • Handle: RePEc:tcb:wpaper:1320
    as

    Download full text from publisher

    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2013/13-20
    Download Restriction: no

    References listed on IDEAS

    as
    1. L. Rachel Ngai & Christopher A. Pissarides, 2007. "Structural Change in a Multisector Model of Growth," American Economic Review, American Economic Association, pages 429-443.
    2. Head, Keith & Mayer, Thierry & Ries, John, 2009. "How remote is the offshoring threat?," European Economic Review, Elsevier, vol. 53(4), pages 429-444, May.
    3. Xavier Gabaix & Augustin Landier, 2008. "Why has CEO Pay Increased So Much?," The Quarterly Journal of Economics, Oxford University Press, vol. 123(1), pages 49-100.
    4. Daron Acemoglu, 1998. "Why Do New Technologies Complement Skills? Directed Technical Change and Wage Inequality," The Quarterly Journal of Economics, Oxford University Press, vol. 113(4), pages 1055-1089.
    5. Alexandra Spitz-Oener, 2006. "Technical Change, Job Tasks, and Rising Educational Demands: Looking outside the Wage Structure," Journal of Labor Economics, University of Chicago Press, vol. 24(2), pages 235-270, April.
    6. Anthony B. Atkinson & Thomas Piketty & Emmanuel Saez, 2011. "Top Incomes in the Long Run of History," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 3-71, March.
    7. Feenstra, Robert C & Hanson, Gordon H, 1996. "Globalization, Outsourcing, and Wage Inequality," American Economic Review, American Economic Association, vol. 86(2), pages 240-245, May.
    8. Steven N. Kaplan & Joshua Rauh, 2010. "Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes?," NBER Chapters,in: Corporate Governance National Bureau of Economic Research, Inc.
    9. David H. Autor & Frank Levy & Richard J. Murnane, 2003. "The skill content of recent technological change: an empirical exploration," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    10. Van Reenen, John, 2011. "Wage inequality, technology and trade: 21st century evidence," Labour Economics, Elsevier, vol. 18(6), pages 730-741.
    11. Eli Bekman & John Bound & Stephen Machin, 1998. "Implications of Skill-Biased Technological Change: International Evidence," The Quarterly Journal of Economics, Oxford University Press, vol. 113(4), pages 1245-1279.
    12. Christian Dustmann & Johannes Ludsteck & Uta Schönberg, 2009. "Revisiting the German Wage Structure," The Quarterly Journal of Economics, Oxford University Press, vol. 124(2), pages 843-881.
    13. Maarten Goos & Alan Manning, 2007. "Lousy and Lovely Jobs: The Rising Polarization of Work in Britain," The Review of Economics and Statistics, MIT Press, vol. 89(1), pages 118-133, February.
    14. İ. Akçomak & Lex Borghans & Bas Weel, 2011. "Measuring and Interpreting Trends in the Division of Labour in the Netherlands," De Economist, Springer, vol. 159(4), pages 435-482, December.
    15. David H. Autor & Lawrence F. Katz & Melissa S. Kearney, 2006. "The Polarization of the U.S. Labor Market," American Economic Review, American Economic Association, vol. 96(2), pages 189-194, May.
    16. Semih Akcomak & Suzanne Kok & Hugo Rojas-Romagosa, 2013. "The effects of technology and offshoring on changes in employment and task-content of occupations," CPB Discussion Paper 233, CPB Netherlands Bureau for Economic Policy Analysis.
    17. Glass, Amy Jocelyn & Saggi, Kamal, 2001. "Innovation and wage effects of international outsourcing," European Economic Review, Elsevier, vol. 45(1), pages 67-86, January.
    18. Gene M. Grossman & Esteban Rossi-Hansberg, 2008. "Trading Tasks: A Simple Theory of Offshoring," American Economic Review, American Economic Association, vol. 98(5), pages 1978-1997, December.
    19. Guzin Erlat & Haluk Erlat, 2006. "Intraindustry Trade and Labor Market Adjustment in Turkey: Another Piece of Puzzling Evidence?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(5), pages 5-27, October.
    20. David H. Autor & Frank Levy & Richard J. Murnane, 2002. "Upstairs, Downstairs: Computers and Skills on Two Floors of a Large Bank," ILR Review, Cornell University, ILR School, vol. 55(3), pages 432-447, April.
    21. Egger, Hartmut & Egger, Peter, 2005. "Labor market effects of outsourcing under industrial interdependence," International Review of Economics & Finance, Elsevier, vol. 14(3), pages 349-363.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hande Kucuk & Pinar Ozlu & Anil Talasli & Deren Unalmis & Canan Yuksel, 2013. "Likidite Yonetimi ve BIST Faiz Farki," CBT Research Notes in Economics 1325, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    Keywords

    Kur takasi; repo; arbitrajsiz iliski; es butunlesme; hata duzeltme modeli;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tcb:wpaper:1320. 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: (Ozlem Ekmekciler Ramalho Rocha) or (Ilker Cakar). General contact details of provider: http://edirc.repec.org/data/tcmgvtr.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.