Rezerv Opsiyonu Mekanizması ve Optimal Rezerv Opsiyonu Katsayılarının Hesaplanması (Reserve Option Mechanism and Computation of Optimal Reserve Option Coefficients)

Rezerv Opsiyonu Mekanizması ve Optimal Rezerv Opsiyonu Katsayılarının Hesaplanması (Reserve Option Mechanism and Computation of Optimal Reserve Option Coefficients)

Title : Reserve Option Mechanism and Computation of Optimal Reserve Option Coefficients
Number : 12/32
Author(s) : Doruk Küçüksaraç, Özgür Özel
Language : Turkish
Date : November 2012
Abstract : Recently, the CBRT has been actively using reserve option mechanism (ROM). Reserve option mechanism may help to lower the volatility of Turkish lira and sensitivity of credits to the fluctuations in capital flows. ROM can also be used for controlling credit growth. Another contribution of ROM is that it boosts gross foreign currency reserves of the CBRT. In this study, the costs of different sources that can be used for holding reserve requirements are computed. Based on the calculations, it is observed that it is optimal for banks to use the reserve option mechanism. In other part of the study, we calculate the reserve option coefficients leaving banks indifferent between reserve option and other funding sources that can be used for holding reserve requirements. The breakeven reserve option coefficient mainly depends on interest rates on foreign currency/gold and Turkish lira funds, Libor, Turkish lira swap rates and reserve requirement ratio on foreign funds. The breakeven reserve option coefficient is highly sensitive to changes in interest rates on foreign/gold funds.
Keywords : Reserve option mechanism, Reserve option coefficient, Rapid capital inflow and outflows, Volatility of exchange rate, Arbitrage.
JEL Codes : F31; F32; G12

Rezerv Opsiyonu Mekanizması ve Optimal Rezerv Opsiyonu Katsayılarının Hesaplanması (Reserve Option Mechanism and Computation of Optimal Reserve Option Coefficients)
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