DETERMINANTS OF BENCHMARK INTEREST RATE: EVIDENCE FROM TURKISH BOND MARKETS

Mehmet KUZU

doi:https://doi.org/10.17261/Pressacademia.2020.1305

Makale detayları

DETERMINANTS OF BENCHMARK INTEREST RATE: EVIDENCE FROM TURKISH BOND MARKETS

Yazarlar:

Mehmet KUZU

Yayıncı:

PressAcademia

Ana Başlıklar:

Ekonomi ve Maliye | Yönetim | Genel yönetim

Dergi:

Journal of Economics Finance and Accounting 2020 Vol.7 Issue 4, pp.308-323

Belge Tipi:

Makale

Yayın Tarihi:

12/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000738445

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2020.1305

Özet:

 

Purpose- The aim of this study is to analyze the determinants of benchmark interest rate for Turkey that on framework of Turkey's economic and financial determinants of the political cycle of Turkey and examine their relationships and the interactions of indicators to determined benchmark interest rates.
Methodology- In this study, Augmented Dickey Fuller unit root test was applied to select the method by which long and short term relationships will be determined. Since the series are stationary at the same level, the VAR model was established and the short-term relationships were examined with the long-term vector error correction model with the Johansen cointegration test. Impulse-response analysis, variance decomposition and historical decomposition tests were carried out within the framework of the Granger test test in order to determine the interactions between variables.
Findings- The benchmark interest rate is balanced in the short and long term with the selected variables and the deviations in the short term can be corrected in the long term. The variables that affect the benchmark interest the most are gold, inflation and US 10-year bond rates.
Conclusion- The sensitivity of the benchmark rate is high against the shock waves arising from gold prices, inflation and US 10-year bond rates. Central bank Weighted average funding cost is more determinant in the formation of market rates than real interest rates. In short, the central bank monetary policy, inflation expectations and interest rates and gold prices abroad determines the formation of market interest for Turkey.

Makale detayları

DETERMINANTS OF BENCHMARK INTEREST RATE: EVIDENCE FROM TURKISH BOND MARKETS

Yazarlar: Mehmet KUZU

Yayıncı: PressAcademia

Ana Başlıklar: Ekonomi ve Maliye | Yönetim | Genel yönetim

Dergi: Journal of Economics Finance and Accounting 2020 Vol.7 Issue 4, pp.308-323

Belge Tipi: Makale

Yayın Tarihi: 12/2020

Belge Dili: İngilizce

Document ID (Org No.): 2000738445

Sıklık: Üç Aylık

eISSN: 2148-6697

DOI: https://doi.org/10.17261/Pressacademia.2020.1305

Sayı

Yazarlar:

Mehmet KUZU

Yayıncı:

PressAcademia

Ana Başlıklar:

Ekonomi ve Maliye | Yönetim | Genel yönetim

Dergi:

Journal of Economics Finance and Accounting 2020 Vol.7 Issue 4, pp.308-323

Belge Tipi:

Makale

Yayın Tarihi:

12/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000738445

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2020.1305