Browsing by Author "Ulussever, Talat"

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    Relationship between monetary policy and financial asset returns in Türkiye: Time- frequency- and quantile-based effects
    (ELSEVIER, 2024) Tevfik Kartal; Ugur Korkut Pata; Dilvin Taskin; Talat Ulussever; Taskin, Dilvin; Pata, Ugur Korkut; Ulussever, Talat; Kartal, Mustafa Tevfik
    This study analyzes the effect of monetary policy which are proxied by weighted average cost of funding (WACF) and Borsa Istanbul repurchase interest rate (REPO) on the returns of the main financial assets of monetary policy in T & uuml,rkiye. Using daily data between January 4 2011 and August 31 2023 the study applies novel nonlinear time-series methods such as wavelet coherence (WC) and quantile-on-quantile regression (QQ) as baseline methods and quantile regression (QR) for robustness. The findings demonstrate that (i) monetary policy has a stronger effect on financial asset returns at middle and higher frequencies across different periods, (ii) monetary policy has mainly declines (increases) effect on financial asset returns at lower and middle (higher) quantiles, (iii) the robustness of the outcomes is confirmed. Thus the outcomes show that monetary policy has a significant effect on financial asset returns and the effects vary across times across frequencies quantiles and financial assets.