Artikel

Market-based monetary policy expectations for Turkey

This study discusses various types of market-based instruments and tries to find which financial instrument is the best in predicting monetary policy expectations for different time horizons in Turkey. Consistent with the existing literature on this subject, we adopt an approach that comes from expectations theory of term structure of interest rates, which implies that short term forward interest rates reflect market expectations of short term rates in the future. By using this methodology, we treat upcoming monthly, 3-months, 6-months, 9-months, 12-months, and 24-months average of daily CBRT effective policy rates as alternative dependent variables; and market rates with corresponding maturities as independent variables. We aim to assess which market rate has the best predictive power for CBRT effective policy rates. We find that FX forward implied rates dominate all other instruments for 3, 6, 9, 12 and 24 months horizons while Borsa Istanbul overnight repo rate expectation from CBRT’s Survey of Expectations is the best for 1-month horizon in forecasting future policy rates. We also note that CBRT’s monetary policy predictability also changes with CBRT’s choice of monetary policy implementation.

Sprache
Englisch

Erschienen in
Journal: Central Bank Review (CBR) ; ISSN: 1303-0702 ; Volume: 20 ; Year: 2020 ; Issue: 1 ; Pages: 9-19 ; Amsterdam: Elsevier

Klassifikation
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
Monetary policy
Policy rate expectations
Market-based measures of expectations

Ereignis
Geistige Schöpfung
(wer)
Akçelik, Fatih
Talaslı, Anıl
Ereignis
Veröffentlichung
(wer)
Elsevier
(wo)
Amsterdam
(wann)
2020

DOI
doi:10.1016/j.cbrev.2019.11.001
Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Akçelik, Fatih
  • Talaslı, Anıl
  • Elsevier

Entstanden

  • 2020

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