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Which Money Market Instrument is Better at Representing Market Expectations on Short-Term Rates? (Para Piyasasi Enstrumanlarinin Kisa Vadeli Faize Dair Piyasa Beklentilerini Temsil Kabiliyetleri)

İbrahim Kanlı

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

Abstract: [EN] This note aims to serve two purposes. First, it evaluates the ability of various financial market instruments to capture market expectations on short-term rate. Second, it utilizes an alternative approach to obtain estimates of term premium inherent in alternative returns. Empirical results reveal that Turkish lira (TRY) returns implied by USD/TRY forward rates dominate all other return types for predicting the overnight interbank repo rate, followed closely by TRY returns in USD/TRY swap agreements and TRY interbank bid rate. Moreover, these return types are found to contain the lowest and least volatile term premium. However, forecasting ability of returns declines significantly with the introduction of the new policy framework by the Central Bank of Turkey, which utilizes “controlled degree of uncertainty” in o/n rates as an additional tool. In the recent period TRY interbank bid and ask rates stand out as returns with the highest ability to represent market expectations at short horizon. [TR] Bu not iki amaca odaklanmaktadir. Ilk olarak, cesitli finansal enstrumanlarin kisa vadeli para piyasasi faizine dair piyasa beklentilerini temsil yetenekleri incelenmektedir. Ikinci olarak ise, analize dahil edilen getirilerin icerdikleri vade priminin elde edilmesine yonelik alternatif bir yontem sunulmaktadir. Sonuclar ABD dolari/Turk lirasi (TL) vadeli doviz sozlesmelerinden elde edilen TL getirilerinin gecelik para piyasasi faizini tahmin gucunun diger getiri cesitlerinin uzerinde oldugunu; bu getiri cesidini ABD dolari/TL kur takasi sozlesmelerinden elde edilen TL getirisinin ve TL Bankalararasi Alis Oraninin (TRLIBID) takip ettigini ortaya koymaktadir. Buna ek olarak, soz konusu getiri cesitlerinin icerdikleri vade priminin, diger getirilere kiyasla daha dusuk ve istikrarli olduklari sonucuna ulasilmistir. Ne var ki, Turkiye Cumhuriyet Merkez Bankasi’nin, gecelik para piyasasinda “kontrollu belirsizligi” bir arac olarak kullanmaya basladigi yeni para politikasi cercevesiyle birlikte getirilerin tahmin gucleri belirgin bicimde azalmaktadir. Soz konusu donemde TL Bankalararasi Alis ve Satis Oranlari (TRLIBID ve TRLIBOR) kisa vadede piyasa beklentilerini temsil gucu en yuksek getiri cesitleri olarak on plana cikmaktadir.

Date: 2012
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