Publication: Turkish treasury auctions and estimation of average compounded interest rate of discounted TL denominated treasury auctions
Abstract
Devlet tahvilleri başta olmak üzere finansal enstrümanlar genellikle hazine otoriteleri tarafından düzenlenen ihalelerle ihraç edilirler. Bu nedenle hazine ihaleleri, ekonomi üzerindeki etkileri açısından bütün ihale türlerinin en önemlisidir. Türkiye Hazinesi de borç senedi satışıyla yüksek miktarlarda para toplamaktadır. Bu genellikle devletin gelir açıklarının finansmanı için gerekli olmaktadır. Diğer taraftan, ihale yöntemiyle ihraç edilen borçlanma senetleri yatırımcılar, özellikle de kendi adlarına veya müşterilerinin adlarına işlem yapan ticari bankalar, açısından en önemli finansal enstrümanlar arasında yer almaktadır.Hazine tarafından ihraç edilen bu enstrümanları uygun bir fiyattan satın almanın yanı sıra, fiyatlarının, yani faiz oranlarının, tahmin edilmesi, Hazine İhalelerinde mümkün olan en yüksek miktarda borçlanma senedini en uygun fiyattan satın almak isteyen yatırımcılar için büyük önem teşkil etmektedir. Bu koşulların dikkate alınması sonrasında, ekonomik sosyal ve politik temelleri ileTürk Hazine İhaleleri olgusu, borçlanma senetleri, kamu finansmanı, menkul kıymet ihalelerinin Türkiye’deki uygulamaları çalışmanın ilk bölümlerinde analiz edilmektedir. Çalışmanın son bölümünde, Türk Lirası iskontolu hazine ihalelerinin ortalama bileşik faiz oranları incelenmekte ve ortalama faiz oranının tahminine en iyi uyan bir ekonometrik modelin kurulmasına çalışılmaktadır. Zaman serisi analizlerine uygunluğu açısından en küçük kareler yöntemi modele uygulanmıştır. Ayrıca, modelde devlet borçlanma senetlerine alternatif teşkil eden yatırım araçları ve referans değişkenler üzerinde durulmaktadır.
Financial assets, especially government bonds, are mainly issued through auctions by treasury authorities of countries. Therefore treasury auctions are the most important of all auctions in terms of their impact on the economy. Treasury of Turkey also raises huge amounts of money through sales of the debt securities. This is mainly required to finance the income gap of the state. On the other side, the debt securities issued through the auctions are among the most important financial instruments for the investors, especially the commercial banks who trade these instruments both on their own and their customer behalves. Therefore, while buying these instruments on a suitable price is very important for the investors, estimation of the price, namely the interest rates of the debt securities that auctioned by the Turkish Treasury is also important for investors as they participate in the Treasury Auctions to bid for the largest possible amount of bonds in the best price. Taking into consideration of these situations, in first parts of this study, the phenomena ofthe Turkish Treasury Auctions was analyzed considering economic social and political ground, debt securities, public finance and auctioning securities with its practices in Turkey. In the last section of the study average compounded interest rate of discounted TL denominated treasury auctions were observed and an econometric model which best suits for estimation of the average interest rate was tried to be developed. Ordinary least squares method was applied to the model due to its appropriateness for time series analysis. Alternative investment instruments for the treasury bond and the reference variables were emphasized in the model, as well.
Financial assets, especially government bonds, are mainly issued through auctions by treasury authorities of countries. Therefore treasury auctions are the most important of all auctions in terms of their impact on the economy. Treasury of Turkey also raises huge amounts of money through sales of the debt securities. This is mainly required to finance the income gap of the state. On the other side, the debt securities issued through the auctions are among the most important financial instruments for the investors, especially the commercial banks who trade these instruments both on their own and their customer behalves. Therefore, while buying these instruments on a suitable price is very important for the investors, estimation of the price, namely the interest rates of the debt securities that auctioned by the Turkish Treasury is also important for investors as they participate in the Treasury Auctions to bid for the largest possible amount of bonds in the best price. Taking into consideration of these situations, in first parts of this study, the phenomena ofthe Turkish Treasury Auctions was analyzed considering economic social and political ground, debt securities, public finance and auctioning securities with its practices in Turkey. In the last section of the study average compounded interest rate of discounted TL denominated treasury auctions were observed and an econometric model which best suits for estimation of the average interest rate was tried to be developed. Ordinary least squares method was applied to the model due to its appropriateness for time series analysis. Alternative investment instruments for the treasury bond and the reference variables were emphasized in the model, as well.