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TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi

Year 2016, Volume: 11 Issue: 44, 263 - 277, 24.10.2016
https://doi.org/10.19168/jyu.10880

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

References

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  • Alaganar, V., & Bhar, R. 2003. “An international study of causality-in-variance: Interest rate and financial sector returns.” Journal of Economics and Finance, 27, 39–55.
  • Ballester, L., Ferrer, R., & González, C. 2011. “Linear and nonlinear interest rate sensitivity of Spanish banks.” Spanish Review of Financial Economics, 9, 35–48.
  • Bartram, S. M. 2002. “The interest rate exposure of nonfinancial corporations.” Review of Finance, 6, 101–125.
  • Bjørnland, H. C., & Leitemo, K. 2009. “Identifying the interdependence between US monetary policy and the stock market.” Journal of Monetary Economics, 56, 275–282
  • Bohl, M.T., P.L. Siklos ve D. Sondermann. 2007. “European stock markets and the ECB's monetary policy surprises.” International Finance 11 (2), 117-130.
  • Bollerslev, T. 1986. “Generalized autoregressive conditional heteroscedasticity”. Journal of Econometrics, 3,pp. 233-253.
  • Bollerslev, T. 1987. “A conditionally heteroskedastic time series model for speculative prices and rates of returns”. Review of Economics and Statistics, 69, pp. 542-547.
  • Brockwell, P. J. & Davis, R. A. 1987. Time Series: Theory and Methods. Springer Series in Statistics. New York, USA: Springer Verlag.
  • Campbell, J. Y., & Ammer, J. 1993. “What moves the stock and bond markets? A variance decomposition for long-term asset returns.” The Journal of Finance, 48, 3–37.
  • Chan, K. C., Norrbin, S. C., & Lai, P. 1997. “Are stock and bond prices collinear in the long run?” International Review of Economics and Finance, 6, 193–201.
  • Chris, Brooks. 2014. Introduction to Econometrics for Finance, Cambridge University Press.
  • Czaja, M., Scholz, H., & Wilkens, M. 2009. “Interest rate risk of German financial institutions: The impact of level, slope, and curvature of the term structure.” Review of Quantitative Finance and Accounting, 33, 1–26.
  • Das, A. (2005). “Do stock prices and interest rates possess a common trend?” Louvain Economic Review, 71, 383–390.
  • Dinenis, E., & Staikouras, S. K. 1998. “Interest rate changes and common stock returns of financial institutions: Evidence from the UK.” European Journal of Finance, 4, 113–127.
  • Duran, M., P. Özlü ve D. Ünalmış. 2010. “TCMB faiz kararlarının ve hisse senedi piyasaları üzerine etkisi.” Central Bank Review, Vol. 10 (July 2010), pp.23-32
  • Ehrmann, M., M. Fratzscher ve R. Rigobon. 2005. “Stocks, bonds, money markets and exchange rates: Measuring international financial transmission.” NBER working paper no.11166.
  • Elyasiani, E., & Mansur, I. 1998. “Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model.” Journal of Banking & Finance, 22, 535–563.
  • Engle, R. 1982. “Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation”. Econometrica, 50, pp. 987-1008.
  • Engle, R. ve Ng, V. 1993. “Measuring and testing the impact of news on volatility.” Journal of Finance, 48(5), pp. 1749-1778.
  • Engle, R., Lilien, D. ve Robins, R. .1987. “Estimating time varying risk premia in the term structure: the ARCH-M model.” Econometrica, 55, pp. 391-407.
  • Faff, R. W., Hodgson, A., & Kremmer, M. L. 2005. “An investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions.” Journal of Business, Finance & Accounting, 32, 1001–1032.
  • Ferrer, R., Bolos, V. J., & Benitez, R. 2016. “Interest rate changes and stock returns: A European multi-country study with wavelets.” International Review of Economics and Finance, 44, 1-12.
  • Flannery, M. J., & James, C. 1984. “The effect of interest rate changes on the common stock returns of financial institutions.” The Journal of Finance, 39, 1141–1153.
  • Glosten, L., Jagannathan, R. ve Runkle, D. 1993. “On the relation between the expected value and the volatility of the nominal excess return on stocks”. Journal of Finance, 48(5), pp. 1779-1801.
  • Gyu-Hyun Moon ve Wei-Choun Yu. 2010. “Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches”. Global Economic Review, Cilt: 39, Sayı:2, June.
  • Hatemi-J, A., & Roca, E. D. 2008. “Estimating banks' equity duration: A panel cointegration approach.” Applied Financial Economics, 18, 1173–1180.
  • Hsu D. A. 1979. “Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis.” Journal of the American Statistical Association, 74, 31–40.
  • Kasman, S., Vardar, G., & Tunç, G. 2011. “The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey.” Economic Modelling, 28, 1328–1334.
  • Kholodilin, K., A. Montagnoli, O. Napolitano ve B. Siliverstovs. 2009. “Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view.” Economics Letters 105, 211-213.
  • Korkeamäki, T. 2011. “Interest rate sensitivity of the European stock markets before and after the euro introduction.” Journal of International Financial Markets Institutions and Money, 21, 811–831.
  • Laopodis, N. T. 2010. “Dynamic linkages between monetary policy and the stock market.” Review of Quantitative Finance and Accounting, 35, 271–293.
  • Panda, C. 2008. “Do interest rates matter for stock markets?” Economic and Political Weekly, 43, 107–115.
  • Prasad, A. M., & Rajan, M. 1995. “The role of exchange and interest risk in equity valuation: a comparative study of international stock markets.” Journal of Economics and Business, 47, 457–472.
  • Reilly, F. K., Wright, D. J., & Johnson, R. R. 2007. “Analysis of the interest rate sensitivity of common stocks.” Journal of Portfolio Management, 33, 85–107.
  • Rigobon, R. ve B. Sack. 2004. “The impact of monetary policy on asset prices.” Journal of Monetary Economics 51, 1553-1575.
  • Sensoy, A., & Sobacı, C. 2014. “Effects of volatility shocks on the dynamic linkages between Exchange rate, interest rate and stock market: The case of Turkey.” Economic Modelling, 43, 448-457.
  • Shah, A., Rehman, J. U., Kamal, Y., & Abbas, Z. 2012. “The interest rates-stock prices nexus in highly volatile markets: Evidence from Pakistan.” Journal of Basic and Applied Scientific Research, 2, 2589–2598.
  • Sweeney, R. J., & Warga, A. D. 1986. “The pricing of interest rate risk: evidence from the stock market.” The Journal of Finance, 41, 393–410.
  • Tong, H. 1990. Non-linear Time Series: A Dynamical System Approach, Oxford University Press, New York
Year 2016, Volume: 11 Issue: 44, 263 - 277, 24.10.2016
https://doi.org/10.19168/jyu.10880

Abstract

References

  • KAYNAKÇA
  • Alaganar, V., & Bhar, R. 2003. “An international study of causality-in-variance: Interest rate and financial sector returns.” Journal of Economics and Finance, 27, 39–55.
  • Ballester, L., Ferrer, R., & González, C. 2011. “Linear and nonlinear interest rate sensitivity of Spanish banks.” Spanish Review of Financial Economics, 9, 35–48.
  • Bartram, S. M. 2002. “The interest rate exposure of nonfinancial corporations.” Review of Finance, 6, 101–125.
  • Bjørnland, H. C., & Leitemo, K. 2009. “Identifying the interdependence between US monetary policy and the stock market.” Journal of Monetary Economics, 56, 275–282
  • Bohl, M.T., P.L. Siklos ve D. Sondermann. 2007. “European stock markets and the ECB's monetary policy surprises.” International Finance 11 (2), 117-130.
  • Bollerslev, T. 1986. “Generalized autoregressive conditional heteroscedasticity”. Journal of Econometrics, 3,pp. 233-253.
  • Bollerslev, T. 1987. “A conditionally heteroskedastic time series model for speculative prices and rates of returns”. Review of Economics and Statistics, 69, pp. 542-547.
  • Brockwell, P. J. & Davis, R. A. 1987. Time Series: Theory and Methods. Springer Series in Statistics. New York, USA: Springer Verlag.
  • Campbell, J. Y., & Ammer, J. 1993. “What moves the stock and bond markets? A variance decomposition for long-term asset returns.” The Journal of Finance, 48, 3–37.
  • Chan, K. C., Norrbin, S. C., & Lai, P. 1997. “Are stock and bond prices collinear in the long run?” International Review of Economics and Finance, 6, 193–201.
  • Chris, Brooks. 2014. Introduction to Econometrics for Finance, Cambridge University Press.
  • Czaja, M., Scholz, H., & Wilkens, M. 2009. “Interest rate risk of German financial institutions: The impact of level, slope, and curvature of the term structure.” Review of Quantitative Finance and Accounting, 33, 1–26.
  • Das, A. (2005). “Do stock prices and interest rates possess a common trend?” Louvain Economic Review, 71, 383–390.
  • Dinenis, E., & Staikouras, S. K. 1998. “Interest rate changes and common stock returns of financial institutions: Evidence from the UK.” European Journal of Finance, 4, 113–127.
  • Duran, M., P. Özlü ve D. Ünalmış. 2010. “TCMB faiz kararlarının ve hisse senedi piyasaları üzerine etkisi.” Central Bank Review, Vol. 10 (July 2010), pp.23-32
  • Ehrmann, M., M. Fratzscher ve R. Rigobon. 2005. “Stocks, bonds, money markets and exchange rates: Measuring international financial transmission.” NBER working paper no.11166.
  • Elyasiani, E., & Mansur, I. 1998. “Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model.” Journal of Banking & Finance, 22, 535–563.
  • Engle, R. 1982. “Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation”. Econometrica, 50, pp. 987-1008.
  • Engle, R. ve Ng, V. 1993. “Measuring and testing the impact of news on volatility.” Journal of Finance, 48(5), pp. 1749-1778.
  • Engle, R., Lilien, D. ve Robins, R. .1987. “Estimating time varying risk premia in the term structure: the ARCH-M model.” Econometrica, 55, pp. 391-407.
  • Faff, R. W., Hodgson, A., & Kremmer, M. L. 2005. “An investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions.” Journal of Business, Finance & Accounting, 32, 1001–1032.
  • Ferrer, R., Bolos, V. J., & Benitez, R. 2016. “Interest rate changes and stock returns: A European multi-country study with wavelets.” International Review of Economics and Finance, 44, 1-12.
  • Flannery, M. J., & James, C. 1984. “The effect of interest rate changes on the common stock returns of financial institutions.” The Journal of Finance, 39, 1141–1153.
  • Glosten, L., Jagannathan, R. ve Runkle, D. 1993. “On the relation between the expected value and the volatility of the nominal excess return on stocks”. Journal of Finance, 48(5), pp. 1779-1801.
  • Gyu-Hyun Moon ve Wei-Choun Yu. 2010. “Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches”. Global Economic Review, Cilt: 39, Sayı:2, June.
  • Hatemi-J, A., & Roca, E. D. 2008. “Estimating banks' equity duration: A panel cointegration approach.” Applied Financial Economics, 18, 1173–1180.
  • Hsu D. A. 1979. “Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis.” Journal of the American Statistical Association, 74, 31–40.
  • Kasman, S., Vardar, G., & Tunç, G. 2011. “The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey.” Economic Modelling, 28, 1328–1334.
  • Kholodilin, K., A. Montagnoli, O. Napolitano ve B. Siliverstovs. 2009. “Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view.” Economics Letters 105, 211-213.
  • Korkeamäki, T. 2011. “Interest rate sensitivity of the European stock markets before and after the euro introduction.” Journal of International Financial Markets Institutions and Money, 21, 811–831.
  • Laopodis, N. T. 2010. “Dynamic linkages between monetary policy and the stock market.” Review of Quantitative Finance and Accounting, 35, 271–293.
  • Panda, C. 2008. “Do interest rates matter for stock markets?” Economic and Political Weekly, 43, 107–115.
  • Prasad, A. M., & Rajan, M. 1995. “The role of exchange and interest risk in equity valuation: a comparative study of international stock markets.” Journal of Economics and Business, 47, 457–472.
  • Reilly, F. K., Wright, D. J., & Johnson, R. R. 2007. “Analysis of the interest rate sensitivity of common stocks.” Journal of Portfolio Management, 33, 85–107.
  • Rigobon, R. ve B. Sack. 2004. “The impact of monetary policy on asset prices.” Journal of Monetary Economics 51, 1553-1575.
  • Sensoy, A., & Sobacı, C. 2014. “Effects of volatility shocks on the dynamic linkages between Exchange rate, interest rate and stock market: The case of Turkey.” Economic Modelling, 43, 448-457.
  • Shah, A., Rehman, J. U., Kamal, Y., & Abbas, Z. 2012. “The interest rates-stock prices nexus in highly volatile markets: Evidence from Pakistan.” Journal of Basic and Applied Scientific Research, 2, 2589–2598.
  • Sweeney, R. J., & Warga, A. D. 1986. “The pricing of interest rate risk: evidence from the stock market.” The Journal of Finance, 41, 393–410.
  • Tong, H. 1990. Non-linear Time Series: A Dynamical System Approach, Oxford University Press, New York
There are 40 citations in total.

Details

Journal Section Articles
Authors

Osman Tüzün

Ramazan Ekinci

Fatih Ceylan This is me

Hakan Kahyaoğlu

Publication Date October 24, 2016
Published in Issue Year 2016 Volume: 11 Issue: 44

Cite

APA Tüzün, O., Ekinci, R., Ceylan, F., Kahyaoğlu, H. (2016). TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Yaşar Üniversitesi E-Dergisi, 11(44), 263-277. https://doi.org/10.19168/jyu.10880
AMA Tüzün O, Ekinci R, Ceylan F, Kahyaoğlu H. TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Yaşar Üniversitesi E-Dergisi. October 2016;11(44):263-277. doi:10.19168/jyu.10880
Chicago Tüzün, Osman, Ramazan Ekinci, Fatih Ceylan, and Hakan Kahyaoğlu. “TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi”. Yaşar Üniversitesi E-Dergisi 11, no. 44 (October 2016): 263-77. https://doi.org/10.19168/jyu.10880.
EndNote Tüzün O, Ekinci R, Ceylan F, Kahyaoğlu H (October 1, 2016) TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Yaşar Üniversitesi E-Dergisi 11 44 263–277.
IEEE O. Tüzün, R. Ekinci, F. Ceylan, and H. Kahyaoğlu, “TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi”, Yaşar Üniversitesi E-Dergisi, vol. 11, no. 44, pp. 263–277, 2016, doi: 10.19168/jyu.10880.
ISNAD Tüzün, Osman et al. “TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi”. Yaşar Üniversitesi E-Dergisi 11/44 (October 2016), 263-277. https://doi.org/10.19168/jyu.10880.
JAMA Tüzün O, Ekinci R, Ceylan F, Kahyaoğlu H. TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Yaşar Üniversitesi E-Dergisi. 2016;11:263–277.
MLA Tüzün, Osman et al. “TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi”. Yaşar Üniversitesi E-Dergisi, vol. 11, no. 44, 2016, pp. 263-77, doi:10.19168/jyu.10880.
Vancouver Tüzün O, Ekinci R, Ceylan F, Kahyaoğlu H. TCMB Ağırlıklı Ortalama Fonlama Maliyeti’nin BİST100 Üzerindeki Etkisi. Yaşar Üniversitesi E-Dergisi. 2016;11(44):263-77.