Türkiye İçin Getiri Eğrileri Kullanılarak Enflasyon Telafisi Tahmin Edilmesi (Estimating Inflation Compensation for Turkey Using Yield Curves)

Türkiye İçin Getiri Eğrileri Kullanılarak Enflasyon Telafisi Tahmin Edilmesi (Estimating Inflation Compensation for Turkey Using Yield Curves)

Title : Estimating Inflation Compensation for Turkey Using Yield Curves
Number : 11/22
Author(s) : Murat Duran, Eda Gülşen, Refet Gürkaynak
Language : Turkish
Date : November 2011
Abstract : Inflation compensation derived from nominal and real bond yields contains market based, real time information regarding the inflation expectations and the pricing of inflation risks. In this study, we calculate inflation compensation by estimating nominal and real yield curves for Turkish data. Event studies on inflation compensation calculated by using yield curves indicate that changes in the term structure of inflation compensation contains information regarding the credibility of monetary authority. Moreover, we find that, at daily frequency, liquidity conditions have no significant effect on inflation compensation using Turkish data and hence the effects of events such as monetary policy decisions and inflation surprises on inflation compensation can be mainly attributed to changes in inflation expectations and pricing of inflation uncertainty.
Keywords : Inflation compensation, Real yield, Event study
JEL Codes : G12; G14; E43

Türkiye İçin Getiri Eğrileri Kullanılarak Enflasyon Telafisi Tahmin Edilmesi (Estimating Inflation Compensation for Turkey Using Yield Curves)
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