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Para Politikasi Belirsizligi Altinda Aktarim Mekanizmasi : Turkiye ornegi

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  • Mustafa Bulut
  • Hatice Gokce Karasoy

Abstract

[TR] Bu calisma, para politikasina iliskin belirsizligin arttigi ya da azaldigi donemlerde politika kararlarinin finansal piyasalara aktarimini incelemektedir. Turkiye icin Haziran 2010-Ocak 2015 donemi, vaka analizi yontemiyle incelenmis; para politikasina iliskin belirsizlik TCMB Beklenti Anketi katilimcilarinin beklenti uyusmazligi ile olculmustur. Ampirik bulgular para politikasinin aktarim mekanizmasinin politikaya iliskin belirsizlik ile yakindan iliskili olabilecegini gostermektedir. Ornegin, surpriz politika faizi artisi dusuk belirsizlik ortaminda Turk lirasinin ABD dolari karsisinda deger kazanmasini saglarken yuksek belirsizlik ortaminda deger kaybetmesine sebep olabilmektedir. Ayrica temel politika araci olan bir hafta vadeli repo faizinde surpriz bir artis, tum belirsizlik duzeyleri icin getiri egrisini yataylastirmaktadir. Ote yandan getiri egrisindeki yataylasma dusuk belirsizlik ortaminda daha belirgin olmakta ve uzun vadeli faizler pozitif para politikasi surprizine yaygin kaninin aksine dusus yonunde tepki vermektedir. Para politikasina iliskin belirsizligin dusuk oldugu donemlerde, pozitif para politikasi surprizinin enflasyon beklentileri araciligiyla uzun vadeli faizleri etkiledigi dusunulmektedir. [EN] This study investigates the transmission of monetary policy decisions to financial markets under varying levels of monetary policy uncertainty. We conducted an event study for the period June 2010-January 2015. The uncertainty regarding to monetary policy is measured by the disagreement of expectations in the CBRT Survey of Expectations. Empirical findings indicate that the effectiveness of monetary transmission mechanism is highly affected by policy uncertainty. For example, a positive policy surprise leads to an appreciation of Turkish lira against US dollar under low levels of uncertainty, whereas Turkish lira depreciates when uncertainty is high. Furthermore, an increase in the main policy rate flattens the yield curve for all uncertainty levels. On the other hand, this pattern is more pronounced while uncertainty is low and contrary to expectations, long term rates decreases after a positive policy surprise. During the periods when uncertainty regarding monetary policy is low, positive policy surprise decreases long term rates via anchoring inflation expectations.

Suggested Citation

  • Mustafa Bulut & Hatice Gokce Karasoy, 2016. "Para Politikasi Belirsizligi Altinda Aktarim Mekanizmasi : Turkiye ornegi," CBT Research Notes in Economics 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:econot:1621
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    References listed on IDEAS

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    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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