Effects of Central Bank's Announcements on Financial Markets

Download

Buğrahan Hanikaz En_Son.pdf

Date

2022-12-19

Author

Hanikaz, Buğrahan

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

307
views

125
downloads

It has been stated in various studies that the Central Bank's announcements do not only affect the short-term interest rates, but also the long-term interest rates through different channels. In this study the effect of the decision of the Central Bank of Turkey on financial markets were examined via VAR with functional shocks method proposed by Inoue and Rossi (2018) . High frequency identification method was adopted to reduce the identification problem in the VAR model, impulse response functions were obtained via local projections. Two more similar VAR models were created to compare the model results. As a result of the study, monetary policy statements rarely have significant effects on the stock market in first few days, similarly, the effects on the exchange rate and implied volatility are generally insignificant, but significant results can be obtained regarding the effects on CDS. It has been observed that mostly unexpected interest rate hikes have a downward effect on CDS, while interest rate decreases have an upward effect. The effects on other financial variables cannot be interpreted as clearly as in CDS. With the established model, the short-term effects of the Central Bank's decisions on the financial markets in Turkey could only be examined for a few days, apart from the effects on first few days, some delayed effects were also observed.

Subject Keywords

Central Bank, Monetary Policy Shock, Vector Autoregression Models, Yield Curve

URI

https://hdl.handle.net/11511/101167

Collections

Graduate School of Applied Mathematics, Thesis

Suggestions

OpenMETU
Core

Effects of Dollarization on Bank Performance: Analysis for Turkey IŞIK, SENA; Şendeniz Yüncü, İlkay (2022-03-01) Dollarization has significant effects on the real sector, monetary policy, and financial system. In this study, the effects of dollarization on banks’ performance in Turkey for the period of 2012-2017 are investigated by using both static and dynamic panel data analyses. Our Generalized Method of Moments (GMM) results indicate the statistical significance of the negative impact of deposit dollarization on return on assets (ROA). Both the random effects regression and GMM results show a negative and signific...
Effects of monetary policy on banking interest rates: interest rate pass-through in Turkey Sağır, Serhat; Yıldırak, Şahap Kasırga; Department of Financial Mathematics (2011) In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the co...
The Impact of credit rating changes on the government cost of borrowing in Turkey Gürer, Murat; Derin Güre, Pınar; Department of Economics (2014) Standard and Poor’s (S&P), Moody’s and Fitch have been producing credit ratings for government bonds and corporate bonds. Changes in credit ratings affect the investors’ decisions and government cost of borrowing as well. 2008 global financial crisis is an important milestone for the credit rating agencies since during the crisis period high rated countries faced with deep economic fluctuations which decreased the creditworthiness of these agencies. This thesis investigates the relationship between sovereig...
Determinants of non-core liabilities in the turkish banking system Demirölmez, Beren; Tunç, Gül İpek; Department of Economics (2017) After the 2008 global financial crises, composition of bank liabilities has begun to draw more attention due to its important role in diagnosing financial vulnerability. According to literature, non-core liabilities are amongst the best indicators of financial crises and because of the more frequent data availability, they also provide real time signaling observation. Although there are various studies about non-core liabilities, there is only a very limited number of country specific studies. Therefore, ou...
Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the US Cömert, Hasan (2012-10-01) Cömert investigates the relationship between overnight interest rates and the long-term rates in the US from 1983q1 to 2007q3. He presents evidence supporting the argument that there was a gradual decoupling between the Fed interest rate and long-term interest rates even before the recent crisis. In other words, the Fed was gradually losing its control over long-term interest rates. As opposed to many economists’ claims, the period after 2001 was a continuation of a process which has surfaced since the end ...

Citation Formats

B. Hanikaz, “Effects of Central Bank’s Announcements on Financial Markets,” M.S. - Master of Science, Middle East Technical University, 2022.