How do Banks� Stock Returns Respond to Monetary Policy Committee Announcements in Turkey? Evidence from Traditional versus New Monetary Policy Episodes

Guray Kucukkocaoglu, Deren Ünalmış and Ibrahim Unalmis

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: Using a methodology that is robust to endogeneity and omitted variables problems, it is found that the stock returns of all banks that are listed in Borsa Istanbul respond significantly to the monetary policy surprises on Monetary Policy Committee (MPC) meeting days prior to May 2010. It is shown that stock returns of banks for which interest payments constitute an important share in their balance sheets respond more aggressively to the changes in policy rates. In addition, foreign banks and participation banks give relatively less responses to monetary policy surprises. Estimation results differ between traditional and new monetary policy episodes.

Keywords: Monetary Policy; Stock Market; Banking System; Emerging Markets; Identification through Heteroscedasticity (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ara, nep-ban, nep-cba, nep-fmk, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1330

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