The efficiency of the new reference rate in Türkiye

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE Borsa Istanbul Review Pub Date : 2023-12-29 DOI:10.1016/j.bir.2023.12.009
Remzi Gök, Burak Pirgaip, Elie Bouri
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Abstract

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.

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土耳其新参考汇率的效率
在土耳其,从基于银行同业拆借利率的参考利率(如土耳其里拉银行同业拆借利率 (TRLIBOR))向无风险利率(RfR)(即土耳其里拉隔夜参考利率 (TLREF))的过渡是一个关键时刻,但目前还不清楚它如何影响市场准确、及时地吸收信息的能力。根据适应性市场假说 (AMH),我们研究了从 TRLIBOR 过渡到 TLREF 对土耳其金融市场效率的影响。我们的研究结果揭示了这两种参考利率明显的时变持续模式,并突出了其效率的异质性,这似乎受到国家政治条件和货币政策波动的影响。TLREF 的市场效率始终高于 TRLIBOR。研究结果有助于深入了解土耳其市场效率的动态变化,并强调了转而采用基于参考利率的参考利率制度的广泛影响。
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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