RISIKO TINGKAT SUKU BUNGA DI PASAR KEUANGAN TURKI PADA PERIODE WAKTU YANG BERBEDA

  • Durmus Özdemir
  • Harald Schmidbauer

Abstract

A Measuring the risk associated with interest rates is important since it is beneficial in taking measures before negative effects can take place in an economy. We obtain a risk measure for interest rates by fitting the generalized Pareto distribution (GPD) to positive extreme day-to-day changes of the interest rate, using data from the Istanbul Stock Exchange (ISE) Second Hand Bond Market, namely Government Bond interest rate closing quotations, for the time period 2001 through 2009. Although the use of the GPD in the context of absolute interest rates is well  ocumented in literature, our approach is different insofar and contributes to the literature as changes in interest rates constitute the target of our analysis, reflecting the idea that risk arises from abrupt changes in interest rate rather than in interest rate levels themselves. Our study clearly shows that the GPD, when applied to interest rate changes, provides a good tool for interest rate risk assessment, and permit a period-specific risk evaluation.  Keyword: Interest rate risk; covered interest parity; Turkey; generalized Pareto distribution JEL Classification: G1; C1

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Author Biographies

Durmus Özdemir
Istanbul Bilgi University, Department of Economics, Dolapdere Campus, Kurtulus Deresi Cad., Yahya Köprüsü
Sok.No: 1, 34440 Beyoglu, Istanbul, Turkey
Harald Schmidbauer
Department of Business Administration, Bilgi University, Santral Campus, Eski Silahtaraga Elektrik Santrali, Kazım Karabekir Cad.
No: 2/13, 34060 Eyup, Istanbul, Turkey

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Published
2014-09-17
How to Cite
Özdemir, D., & Schmidbauer, H. (2014). RISIKO TINGKAT SUKU BUNGA DI PASAR KEUANGAN TURKI PADA PERIODE WAKTU YANG BERBEDA. Buletin Ekonomi Moneter Dan Perbankan, 16(3), 195-218. https://doi.org/10.21098/bemp.v16i3.21
Section
Articles