Risiko Tingkat Suku Bunga di Pasar Keuangan Turki Pada Periode Waktu yang Berbeda  

Oleh:

Özdemir, Durmus ; Schmidbauer, Harald

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Bulletin of Monetary Economics and Banking (ex: Buletin Ekonomi Moneter dan Perbankan) vol. 16 no. 3 (Jan. 2014), page 195-218.
Topik: Interest rate risk; covered interest parity; Turkey; generalized Pareto distribution
Fulltext: Interest Rate Risk In Turkish Financial Markets Across Different Time Periods.pdf (609.38KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB62 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 documented 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

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