Reserve Options Mechanism and Computation of Reserve Options Coefficients (Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi)

Doruk Küçüksaraç and Ozgur Ozel

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [EN] This note evaluates the option to hold Turkish lira reserves in foreign currency and gold within the context of reserve options mechanism (ROM). We exemplify calculation of reserve options coefficient(s) leaving banks indifferent between the reserve option and other main funding sources that can be used for holding reserve requirements. The breakeven reserve options coefficient(s) mainly depends on interest rates on foreign currency and Turkish lira funds, Libor, Turkish lira swap rates and reserve requirement ratio on foreign funds. The breakeven reserve options coefficient(s) are highly sensitive to changes in interest rates on funds denominated in foreign currency. [TR] Bu notta son donemde TCMB tarafindan aktif bir politika araci olarak kullanilan rezerv opsiyonu mekanizmasi (ROM) kapsaminda TCMB’nin Turk lirasi zorunlu karsiliklar icin doviz ve altin bulundurma imkani degerlendirilmistir. Daha sonra imkani diger fonlama maliyetleriyle kayitsiz birakan rezerv opsiyonu katsayi degerlerinin hesaplanma yontemi ele alinmis ve bu hususta bir ornek sunulmustur. Kritik katsayi degerlerinin temel olarak; yabanci para ve Turk lirasi fon bulma maliyetlerine, Libor faiz oranina, Turk lirasi swap faiz oranina ve yabanci para zorunlu karsilik oranina bagli oldugu gozlenmektedir. Katsayi degerinin ozellikle yabanci para cinsi borclanma maliyetlerine hassas oldugu dikkat cekmektedir.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1233

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