PARA POLİTİKASI KARARLARININ HİSSE SENETLERİNİN FİYATLARI ÜZERİNDEKİ ETKİLERİ

Yıl 2016, Cilt: 21 Sayı: 4, 1379 - 1396, 30.10.2016

Bekir Tamer Gökalp

Öz

Merkez bankaları tarafından belirlenen para politikası kararlarının etkilerinin en hızlı hissedildiği piyasa, hisse senedi piyasasıdır. Faiz oranlarında meydana gelen değişiklikler, hisse senetlerinin fiyatlarını etkileyerek para politikası kararlarının ekonomiye aktarılmasına imkân verir. Bu çalışmada Türkiye Cumhuriyet Merkez Bankası (TCMB) tarafından alınan faiz kararlarının hisse senetlerinin getirileri üzerinde etkili olup olmadığı araştırılmıştır. 2010 yılında yapılan politika değişikliği sonrası uygulamaya konan faiz koridorunun üst ve alt sınırı, çalışmada ele alınan faiz değişkenleridir. Çalışmada vaka çalışması ve GMM yöntemleriyle yapılan tahmin sonuçları, koridorun üst sınırında meydana gelen artışların hisse senetleri fiyatlarında düşüşe, alt sınırında meydana gelen azalışların ise artışa neden olduğu sonucuna ulaşmıştır. Sektörler ayrımına bakıldığında ise faiz koridorunun üst ve alt sınırının etkisinin sektörlere göre farklılaştığı tespit edilmiştir.

Anahtar Kelimeler

Para Politikası, Hisse Senedi Piyasası, Vaka Çalışması, GMM

THE EFFECT OF MONETARY POLICY DECISIONS ON STOCK PRICES

Öz

Monetary policy decisions may affect the prices of the stock very quickly and strongly. Changes in interest rates enable to transmit the effect of monetary policy decisions via changing stock prices. In this study, we investigated whether the policy interest rate decisions of the Central Bank of the Republic of Turkey (CBRT) are effective on the returns of the stocks. Upper and lower bound of the interest rate corridor which was established just after the change in the monetary policy process in 2010 are the main interest rate variables in our study. Estimation results from Case Study and the GMM indicate that rises in upper bound of the corridor decrease the stock prices while the cuts in the lower bound increases them. In the subsector base, we found that the results of the changes in the upper and lower bound of the interest rate corridor may change in terms of the sectoral structure of the stocks.

Anahtar Kelimeler

Monetary Policy, Stock Market, Case Study, GMM

Kaynakça

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