Extracting market expectations for monetary policy stance using overnight index swap: evidence from Türkiye

Date

2023-9-04

Author

Özbek, İbrahim

Metadata

Show full item record

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

Item Usage Stats

343
views

433
downloads

Cite This

This thesis analyzes the monetary policy expectations of various market-based instruments and investigates which financial instrument best estimates monetary policy expectations for different periods in Türkiye. A new approach is adopted, and forward-term policy rates are obtained from the yield curve factors. The Nelson-Siegel method, widely used in literature, is preferred while fitting the yield curve. The predictive power of the implied yields of treasury bonds, foreign currency (FX) swap, and overnight index swap (OIS) are analyzed. Empirical findings reveal that instruments' success in estimating the Central Bank of the Republic of Türkiye (CBRT) policy rate has changed over time. The OIS yield curve successfully predicts the monetary policy stance after the Turkish Lira O/N Reference Rate (TLREF) market becomes active.

Subject Keywords

Monetary policy, Policy rate expectations, Market-based measures of expectations

URI

https://hdl.handle.net/11511/105592

Collections

Graduate School of Applied Mathematics, Thesis