The response of TL interbank rates to weekly money supply announcements within the framework of market efficiency
Author
Bal, Yasemin
Advisor
Erol, Ümit
Date
1992Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
THE RESPONSE OF TL INTERBANK RATES TO WEEKLY MONEY SUPPLY
ANNOUNCEMENTS WITHIN THE FRAMEWORK OF MARKET EFFICIENCY
In th is study,the effects of weekly money supply
announcements on changes in TL interbank rates is tested in
terms of market efficiency. As a result of the model tested,
T urkish interbank market appeared to be an inefficient
financiai market. During th is study, ARIMA based generated
money suppiy survey data is used. Therefore a joint
hypothesis, market efficiency and effectiveness of ARIMA based
survey data, is tested. This leads to a weak rejection of
market efficiency in TL interbank market.
Keywords
Money suppiy annoucementsinterbank rates
anticipated component of money supply announcement
unanticipated component of money supply announcement
market efficiency hypothesis