International Conference on Eurasian Economies
10-12 July 2017 – Istanbul, TURKEY
Paper detail
Paper ID : 1884
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter: Ph.D. candidate H. Muhammet Kekeç
Session : 3B Finans I
Analysis of the Effect of Weighted Average Cost of the CBRT Funding on BIST100 Index, BISTXBANK Index and Exchange Rate
Ağırlıklı Ortalama Fonlama Maliyetinin BIST100, BISTXBANK ve Döviz Kuru Üzerine Etkisinin Analiz Edilmesi
- Asst. Prof. Dr. Serdar Kuzu (Istanbul University, Türkiye)
- Ph.D. candidate H. Muhammet Kekeç (Istanbul University , Türkiye)
Abstract
This study is found to find out how Weighted Average Funding Cost, which is new policy tool implemented by The Central Bank of Turkey (CBRT) in 2011, weighted average funding cost -aiming at removing the ambiguities seen in the financial variables and minimizing the effect of capital movements on these variables is reviewed. In this study, the effects of the interest rate policy of the Central Bank of the Republic of Turkey (CBRT) on BIST100 index, BISTXBANK index and exchange rate are tested by Augmented Dickey Fuller Test (ADF), ML-GARCH and DCC GARCH models based on ENGLE, R.F. and SHEPPARD, K. (2001). According to the findings obtained, it is concluded that the decisions of the Weighted Average Funding Cost related to Central Bank of the Republic of Turkey (CBTR) lending and borrowing interest rates are direct effective on BIST100 index, BISTXBANK index but indirect with Exchange rate.
JEL codes: E31, E58, E43
Kuzu, Serdar, Kekeç, H. Muhammet (2017). "Analysis of the Effect of Weighted Average Cost of the CBRT Funding on BIST100 Index, BISTXBANK Index and Exchange Rate" in Proceedings of International Conference of Eurasian Economies 2017, pp.223-230, Istanbul, TURKEY.
DOI: https://doi.org/10.36880/C08.01884
