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

Bulletin of Monetary Economics and Banking

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Title RISIKO TINGKAT SUKU BUNGA DI PASAR KEUANGAN TURKI PADA PERIODE WAKTU YANG BERBEDA
 
Creator Özdemir, Durmus
Schmidbauer, Harald
 
Description 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
 
Publisher Bank Indonesia
 
Date 2014-09-17
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://www.bmeb-bi.org/index.php/BEMP/article/view/21
10.21098/bemp.v16i3.21
 
Source Buletin Ekonomi Moneter dan Perbankan; Vol 16 No 3 (2014): JANUARY; 195-218
Buletin Ekonomi Moneter dan Perbankan; Vol 16 No 3 (2014): JANUARY; 195-218
2460-9196
1410-8046
10.21098/bemp.v16i3
 
Language ind
 
Relation https://www.bmeb-bi.org/index.php/BEMP/article/view/21/14
 
Rights Copyright (c) 2015 Durmus Özdemir, Harald Schmidbauer