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Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi

Author

Listed:
  • Murat Duran
  • Eda Gulsen
  • Refet Gurkaynak

Abstract

Reel ve nominal getirilerin kiyaslanmasiyla elde edilen enflasyon telafisi enflasyon beklentileri ve enflasyon risklerinin fiyatlanmasina iliskin piyasa bazli, gercek zamanli bilgi icerir. Bu calismada, nominal ve reel getiri egrileri tahmin edilerek Turkiye icin enflasyon telafisi hesaplanmistir. Bu sekilde hesaplanan enflasyon telafisi vade yapisindaki degisikliklerin para otoritesinin kredibilitesine dair verdigi bilgi vaka calismalari ile aciga cikarilmistir. Calismada, Turkiye icin hesaplanan enflasyon telafilerinin uzerinde likidite kosullarinin gunluk frekansta kayda deger bir etkisinin olmadigi belirlenmis, dolayisiyla enflasyon surprizleri, para politikasi kararlari ve iletisimi gibi cesitli vakalarin enflasyon telafisi uzerindeki etkilerinin buyuk olcude enflasyon beklentileri ve belirsizliginin fiyatlanmasinda meydana gelen degismelere atfedilebilecegi gosterilmistir.

Suggested Citation

  • Murat Duran & Eda Gulsen & Refet Gurkaynak, 2011. "Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi," Working Papers 1122, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1122
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2011/11-22
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    More about this item

    Keywords

    Enflasyon telafisi; Reel getiri; Vaka calismasi;
    All these keywords.

    JEL classification:

    • 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
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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