EconStor >
TÜSİAD-Koç University Economic Research Forum (ERF), Istanbul >
ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/45423
  
Title:Para politikası beklentilerinin sermaye piyasaları üzerindeki etkisi PDF Logo
Authors:Demiralp, Selva
Yilmaz, Kamil
Issue Date:2010
Series/Report no.:TÜSİAD-Koç University Economic Research Forum working paper series 1008
Abstract:In this paper, we investigate the responsiveness of financial markets to monetary policy expectations in Turkey. According to the efficient markets hypothesis, financial markets respond to anticipated policy actions prior to a policy announcement. As a result, they are expected to respond only to the unanticipated component of the interest rate change following the announcement. By measuring monetary policy expectations through surveys conducted by the Central Bank of the Republic of Turkey, we find that the bond market behaves in accordance with the efficient markets hypothesis in Turkey in the 2002-2009 period. Our results suggest that the same is not necessarily true for the stock market. We check the robustness of our results to different survey types in the post-2005 period.
Subjects:Monetary policy
Expectations survey
Financial Markets
JEL:E44
E52
Document Type:Working Paper
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

Files in This Item:
File Description SizeFormat
638351448.pdf386.38 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/45423

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.