Document Type
Article
Abstract
A Measuring the risk associated with interest rates is important since it is beneficial in taking measures before negative effects can take place in an economy. We obtain a risk measure for interest rates by fitting the generalized Pareto distribution (GPD) to positive extreme day-to-day changes of the interest rate, using data from the Istanbul Stock Exchange (ISE) Second Hand Bond Market, namely Government Bond interest rate closing quotations, for the time period 2001 through 2009. Although the use of the GPD in the context of absolute interest rates is well ocumented in literature, our approach is different insofar and contributes to the literature as changes in interest rates constitute the target of our analysis, reflecting the idea that risk arises from abrupt changes in interest rate rather than in interest rate levels themselves. Our study clearly shows that the GPD, when applied to interest rate changes, provides a good tool for interest rate risk assessment, and permit a period-specific risk evaluation. Keyword: Interest rate risk; covered interest parity; Turkey; generalized Pareto distribution JEL Classification: G1; C1
Recommended Citation
Özdemir, Durmus and Schmidbauer, Harald
(2014)
"RISIKO TINGKAT SUKU BUNGA DI PASAR KEUANGAN TURKI PADA PERIODE WAKTU YANG BERBEDA,"
Bulletin of Monetary Economics and Banking: Vol. 16:
No.
3, Article 8.
DOI: https://doi.org/10.21098/bemp.v16i3.21
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol16/iss3/8
First Page
195
Last Page
218
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
Turkey
Affiliation
Istanbul Bilgi University
