The efficiency of the new reference rate in Türkiye
Yükleniyor...
Tarih
2024
Yazarlar
Gök, Remzi
Pirgaip, Burak
Bouri, Elie
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Borsa İstanbul Anonim Şirketi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The transition from the reference rate based on interbank offered rates, such as the Turkish lira interbank offer rate (TRLIBOR), to the risk-free rate (RfR), the Turkish lira overnight reference rate (TLREF), in Türkiye is a critical juncture, but it is not clear how it affects the market's ability to incorporate information precisely and promptly. Drawing on the adaptive market hypothesis (AMH), we examine the impact of transitioning from TRLIBOR to TLREF on the efficiency of Turkish financial markets. Our results reveal pronounced and time-varying persistence patterns in both reference rates and highlight heterogeneity in their efficiency, which seems influenced by fluctuations in national political conditions and monetary policies. TLREF consistently demonstrates higher market efficiency than TRLIBOR. The findings offer insights into the dynamics of market efficiency in Türkiye and highlight the broader implications of switching to RfR-based reference rate regimes.
Açıklama
Anahtar Kelimeler
Generalized hurst exponent, Interest rates, Long-range dependence, Market efficiency, TLREF, TRLIBOR
Kaynak
Borsa Istanbul Review
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
