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Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini

Author

Listed:
  • Ozge Akinci
  • Burcu Gurcihan
  • Refet Gurkaynak
  • Ozgur Ozel

Abstract

Piyasa katilimcilarinin faiz beklentilerini yansitan getiri egrisinin tahmini mali analizin temel taslarindandir. Bu makalede getiri egrilerinin temel ozelliklerini tanitip, bilgimiz dahilinde ilk defa, Turkiye i�in 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 i�in uygun araclardir. Bu makalede getiri egrilerinden elde edilen sabit vadeli faizlerin para politikasi, enflasyon verisi a�iklamasi, stopaj oranlarinin degismesi gibi olaylara verdikleri tepkiler vaka calismasi ornekleri olarak sunulmustur.

Suggested Citation

  • Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006. "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers 0608, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:0608
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2006/06-08
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    Cited by:

    1. Oguzhan Cepni & Doruk Kucuksarac, 2017. "Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve," Economics Bulletin, AccessEcon, vol. 37(2), pages 1133-1142.
    2. Zelal Aktas & Harun Alp & Refet Gurkaynak & Mehtap Kesriyeli & Musa Orak, 2008. "Turkiye�de Para Politikasinin Aktarimi:Para Politikasinin Mali Piyasalara Etkisi," Working Papers 0811, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Duran, Murat & Gülşen, Eda, 2013. "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, vol. 32(C), pages 592-601.
    4. H. Burcu Gurcihan & Ozgur Ozel, 2010. "Kuresel Finansal Kriz Doneminde Para Politikasi Kurulu Kararlarinin Piyasa Getirileri Uzerindeki Etkisi," CBT Research Notes in Economics 1010, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Doruk Kucuksarac & Abdullah Kazdal & Ibrahim Ethem Guney, 2018. "Estimation of Currency Swap Yield Curve," CBT Research Notes in Economics 1803, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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