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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2013 / Cilt: 7 - Sayı: 2

The overnight currency swap rates and ISE overnight repo rates

Gecelik kur takası faizleri ve BIST gecelik repo faizleri

Doruk KÜÇÜKSARAÇ
Özgür ÖZEL
Pages
37–53
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Accordingly, empirical results confirm that the long run relation between these markets is consistent with the derived no arbitrage condition.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This empirical research explores the interaction between the overnight currency swap rates (Turkish lira rates) and BIST overnight repo rates.
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Key Findings & Data:In this context, the derived no arbitrage condition reveals that the differential between the two rates is determined by Libor, financial institutions foreign currency borrowing spread, required reserves on both Turkish lira and foreign currency.
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Conclusion & Impact:Accordingly, empirical results confirm that the long run relation between these markets is consistent with the derived no arbitrage condition.
🔬Design:Research Article
📍Scope:2001 Verileri
⚙️Variables:Domain Parameters

Abstract

This empirical research explores the interaction between the overnight currency swap rates (Turkish lira rates) and BIST overnight repo rates. In this context, the derived no arbitrage condition reveals that the differential between the two rates is determined by Libor, financial institutions foreign currency borrowing spread, required reserves on both Turkish lira and foreign currency. The empirical tests examine the long run relation between these two rates by using the cointegration method offered by Pesaran, Shin and Smith (PSS, 2001). Accordingly, empirical results confirm that the long run relation between these markets is consistent with the derived no arbitrage condition.

Özet

Bu çalışmada gecelik kur takası faizleri ile BIST Repo-Ters Repo Pazarı ndaki gecelik repo faizleri arasındaki ilişki incelenmektedir. Bu kapsamda öncelikle ele alınan piyasalar için arbitrajsız ilişki koşulu türetilmiştir. İki faiz arasındaki farkta; Libor, finansal kuruluşların ek borçlanma maliyeti ile Türk lirası ve yabancı para zorunlu karşılık oranlarının etkili olduğu gösterilmiştir. Çalışmanın devamında iki faiz seviyesi arasında uzun vadeli bir ilişki olup olmadığı Pesaran, Shin ve Smith (PSS,2001) eş bütünleşme yöntemiyle test edilmiştir. Ampirik bulgular uzun dönemde piyasalar arasında oluşması beklenen arbitrajsız ilişkiyle örtüşmektedir.

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Cite This Article

KÜÇÜKSARAÇ, D., ÖZEL, Ö. (2013). The overnight currency swap rates and ISE overnight repo rates. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 7 - Sayı: 2, 37–53. https://ajindex.com/articles/144239

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References (1)

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