Browsing by Subject "Interest rates."

Now showing 1 - 3 of 3

Open Access
The Adjustment of security prices to the release of stock dividend/rights offering information
(1990) Çadırcı, Begüm
This study investiga.tes market adjustment to the release of stock dividend/rights offering information for the stocks listed in IMKB First market for the period 1986-1989. The adjustment of security prices is analyzed in the context of a market model which takes market related factors into account. Direction and speed of adjustment are measured through residual analysis. Weekly security returns are regressed against returns in the market to find average and cumulative residuals around the event date. The regression model and beta coefficients are found to be significant. The results indicate that the adjustment process is slow and positive cumulative average abnormal returns are observed after the event date. This leads to the rejection of market efficiency in semi strong sense and possibility of an above normal profit.
Open Access
Essays on forward guidance
(2014) Akkaya, Yıldız
This dissertation consists of three essays on forward guidance, central bank verbal guidance on future policy rates, and shows how economies respond to it both theoretically and empirically. In the first essay the effects of forward guidance on real economy through interest rate uncertainty is studied as explicit numerical guidance lowers the uncertainty around future interest rates. To analyze the effects of such a policy a New Keynesian model framework incorporating interest rate uncertainty is developed. The results show that a decrease in the uncertainty of interest rates is expansionary in its own right, independent of the level of interest rates the central bank commits to. Thus, distinct from the literature, a new channel for the effectiveness of forward guidance is suggested. The second essay studies the question of whether the optimal amount of interest rate uncertainty is always zero, or whether monetary policy makers may benefit from an increase in the uncertainty. For this purpose a two-country open economy New Keynesian model with interest rate uncertainty is developed, and the effects of interest rate uncertainty on capital flows and exchange rates are studied. The results emphasize that the impact of an increase in the volatility of interest rate mimics the impacts of an increase in the level of the interest rate, and this suggests that uncertainty about the policy rate path can be used by the central bank as a policy tool. The third essay is empirical, and analyses the sensitivity of the interest rates of various maturities to monetary policy uncertainty, which depends on the language used in the monetary policy statements. To measure market responses to the announcements, I first calculate monetary policy surprises and uncertainty surprises by using Federal Funds Futures and Eurodollar Options, respectively. In the event-study analysis it is shown that the reduction in the variability of monetary policy rate expectations due to the explicit content of the statements, has significant effect on the long-term treasury notes.
Open Access
The Fisher hypothesis: a multi-country analysis
(1999) Jelassi, Mohamed Mehdi
There is a long tradition of testing the Fisher hypothesis on the long run relationship between inflation and nominal interest rates. In this study, we examine the before tax strong version of the Fisher hypothesis for a sample of countries, in an attempt to extend the available literature. Using an error correction modeling approach suggested by Moazzarni [30] which allows for direct estimates of the long run coefflcients, we show that the strong version of the Fisher hypothesis tends to hold for more than half of the countries under study. In addition to that we point to the fact that under complete financial deregulation, there is a higher chance for the Fisher hypothesis to hold in line with the suggestion of Olekalns [33].