TCMB Faiz Kararlarinin Hisse Senedi Piyasalari Uzerine Etkisi

Murat Duran (), Pınar Özbay Özlü and Deren Ünalmış

Central Bank Review, 2010, vol. 10, issue 2, 23-32

Abstract: The transmission of policy decisions to financial markets is an integral part of the monetary transmission mechanism. However, one of the major problems in estimating the effect of monetary policy on asset prices is the simultaneous response of policy actions and the asset prices to each other. To overcome this problem, this study applies the heterokedasticity-based generalized method of moments (GMM) technique suggested by Rigobon and Sack (2004) to the Turkish stock market. The results show that an increase in the policy rate leads to a decline in stock prices, especially for the financial sector firms.

Keywords: Monetary policy; Stock market; Identification through heteroskedasticity (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:10:y:2010:i:2:p:23-32

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