TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi

Year 2016, Volume: 11 Issue: 44, 263 - 277, 24.10.2016

Osman Tüzün , Ramazan Ekinci , Fatih Ceylan Hakan Kahyaoğlu

https://doi.org/10.19168/jyu.10880

Cited By: 6

Abstract

Merkez Bankalarının para politikası araçlarının etkinliği ve bu araçların piyasa üzerindeki etkisi;  para politikası araçlarının hedeflenen değişkenleri ile para ve finansal piyasaların göstergelerinin oynaklıkları üzerindeki etkisine bağlı olarak analiz edilmektedir. Genel kabule göre merkez bankalarının uyguladıkları veya açıkladıkları önlemler finansal göstergelerde oynaklık düşüşüne neden olmalıdır.

Bu çalışmada Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) uygulamış olduğu faiz politikasının Borsa İstanbul-100 (BİST100) endeksi üzerindeki etkisi Moon ve Yu (2010)’un yaklaşımına dayalı olarak simetrik ve asimetrik GARCH modelleriyle test edilmektedir. Elde edilen sonuçlara göre ağırlıklı ortalama fonlama maliyetinden kaynaklanan bir şok simetriktir ve bu simetrik şok oynaklık yayılımına yol açmamaktadır. Sonuç olarak, Türkiye’de ağırlıklı ortalama fonlama maliyetinin Bist100 üzerinde bir etkisinin olmadığı ifade edilebilir.

 

Anahtar Kelimeler: AOFM, BİST100, MV-GARCH, Oynaklık Yayılımı.

Jel Sınıflandırması: C58, E43, E58

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