Para Politikasi Faizlerinin ve Durusunun Kisa Vadeli Piyasa Faizlerine Geciskenligi

Doruk Küçüksaraç

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

Abstract: [TR] Para politikasi durusu ve para politikasina dair beklentiler piyasa faizlerinin temel belirleyicilerindendir. Turkiye Cumhuriyet Merkez Bankasi (TCMB) tarafindan 2011 yili basindan itibaren uygulanmakta olan para politikasi kapsaminda, bir hafta vadeli repo ihale faizi, faiz koridorunun ust ve alt bandi ile likidite politikasi aktif olarak kullanilmaktadir. Bu politika cercevesi piyasa faizlerinin sadece tek bir para politikasi faizinden degil, tum politika faizleri, bu politika faizlerinin oynakligi ve saglanan likidite kompozisyonundan da etkilenmesine imkan tanimaktadir. Bu notta kisa vadeli Hazine bonosu ve kur takasi faiz oranlarinin para politikasi faizlerinden ne olcude etkilendigi 2011 Ekim ile 2015 Temmuz arasi haftalik veri kullanilarak incelenmistir. Sonuclar, modellerde kullanilan tum para politikasi araclarina iliskin degiskenlerin kisa vadeli piyasa faizleri uzerinde istatistiksel olarak anlamli oldugunu gostermektedir. Ayrica, faiz geciskenligi 2011 oncesine dair donemle kiyaslandiginda, likidite durusuna dair gostergenin 2011 oncesi donemde istatistiksel olarak anlamsiz oldugu ve TCMB ortalama fonlama faizinin etkisinin 2011 sonrasi donemde azaldigi dikkat cekmektedir. Bu durum, TCMB’nin mevcut durumda likidite politikalari ile 2011 oncesi doneme gore piyasa faizlerini farkli sekilde etkiledigini gostermektedir. [EN] Monetary policy rates and expectations about them are one of the main determinants of short term market rates. Since 2011, Central Bank of Turkey (CBT) has been implementing a new policy mix; usage of one week repo rate, interest rate corridor and liquidity management. This policy complicates the relation between monetary policy tools and market yields since the market yields are now affected by the combination of all policy rates, uncertainty about each component and liquidity management. This note explores the extent to which the short term government bonds and currency swap rates are influenced by the monetary policy using the weekly data between 2011 October and 2015 July. The results show that CBT policy rates and their combinations are statistically significant in explaining the variations in short term bond and currency swap rates. Besides, when we compare interest rate pass through with the period before 2011, it is observed that the indicator for liquidity stance is statistically insignificant in the period before 2011 and the impact of CBRT average funding cost decrease after 2011 period. This shows that CBRT now affects the market rates differently through its liquidity policies compared to the period before 2011.

Date: 2016
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