Recent innovation in benchmark rates (BMR):evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms

作     者：Öer Depren Mustafa Tevfik Kartal Serpil KılıçDepren 

作者机构：YapıKredi BankIstanbulTurkey Borsaİstanbul Financial Reporting and Subsidiaries DirectorateReşitpaşa Mahallesi Borsaİstanbul CaddesiNo:434467 IstanbulTurkey Department of StatisticsYildiz Technical UniversityIstanbulTurkey 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2021年第7卷第1期

页      面：942-961页

核心收录：

学科分类：0502[文学-外国语言文学] 050201[文学-英语语言文学] 05[文学] 

主　　题：Benchmark rate Determinants Machine learning algorithms Turkey 

摘      要：Some countries have announced national benchmark rates,while others have been working on the recent trend in which the London Interbank Offered Rate will be retired at the end of *** that Turkey announced the Turkish Lira Overnight Reference Interest Rate(TLREF),this study examines the determinants of *** this context,three global determinants,five country-level macroeconomic determinants,and the COVID-19 pandemic are considered by using daily data between December 28,2018,and December 31,2020,by performing machine learning algorithms and Ordinary Least *** empirical results show that(1)the most significant determinant is the amount of securities bought by Central Banks;(2)country-level macroeconomic factors have a higher impact whereas global factors are less important,and the pandemic does not have a significant effect;(3)Random Forest is the most accurate prediction *** action by considering the study’s findings can help support economic growth by achieving low-level benchmark rates.