Abstract This study discusses various types of market-based instruments and tries to find which financial instrument is the best in predicting monetary policy expectations for different time horizons in Turkey. Consistent with the existing literature on this subject, we adopt an approach that comes from expectations theory of term structure of interest rates, which implies that short term forward interest rates reflect market expectations of short term rates in the future. By using this methodology, we treat upcoming monthly, 3-months, 6-months, 9-months, 12-months, and 24-months average of daily CBRT effective policy rates as alternative dependent variables; and market rates with corresponding maturities as independent variables. We aim to assess which market rate has the best predictive power for CBRT effective policy rates. We find that FX forward implied rates dominate all other instruments for 3, 6, 9, 12 and 24 months horizons while Borsa Istanbul overnight repo rate expectation from CBRT’s Survey of Expectations is the best for 1-month horizon in forecasting future policy rates. We also note that CBRT’s monetary policy predictability also changes with CBRT’s choice of monetary policy implementation.

中文翻译：

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基于市场的土耳其货币政策预期

摘要 本研究讨论了各种类型的基于市场的工具，并试图找出哪种金融工具最能预测土耳其不同时间范围的货币政策预期。与有关该主题的现有文献一致，我们采用了利率期限结构预期理论的方法，这意味着短期远期利率反映了市场对未来短期利率的预期。通过使用这种方法，我们将即将到来的每月、3 个月、6 个月、9 个月、12 个月和 24 个月的每日 CBRT 有效政策利率作为替代因变量；和以相应期限作为自变量的市场利率。我们旨在评估哪个市场利率对 CBRT 有效政策利率具有最佳预测能力。我们发现外汇远期隐含利率在 3、6、9、12 和 24 个月的范围内主导所有其他工具，而 CBRT 的预期调查得出的伊斯坦布尔证券交易所隔夜回购利率预期是 1 个月范围内预测未来政策利率的最佳选择。我们还注意到，CBRT 的货币政策可预测性也随着 CBRT 对货币政策实施的选择而变化。