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Yıldız Akkaya

Monetary Policy

Division

Monetary Policy Strategy

Current Position

Senior Economist

Fields of interest

Macroeconomics and Monetary Economics

Email

yildiz.akkaya_blake@ecb.europa.eu

Education
2009-2014

PhD in Economics, Bilkent University

2012

Visiting Scholar, Department of Economics, Boston University

Professional experience
2020-2022

Senior Economist, Monetary Policy Department, Sveriges Riksbank

2018-2020

Economist, Macroeconomic Research Division, The National Institute of Economic Research

2016-2018

Economist, Modelling Division, Sveriges Riksbank

2014-2016

Research Associate, The University of Cambridge

Teaching experience
2014-2016

Macroeconomics (Part 1 and 2A Paper 2), University of Cambridge

31 October 2024
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 7, 2024
Details
Abstract
This box analyses the revisions in policy rate path expectations observed in the Survey of Monetary Analysts (SMA) and identifies key drivers of these revisions. Amid the interest rate hikes of 2022 and 2023, financial markets and analysts made frequent and sizeable adjustments to their expectations for ECB policy rate levels. SMA participants’ macroeconomic expectations, particularly changes regarding headline inflation and GDP growth, played a significant role in shaping revisions to expectations for deposit facility rate (DFR) levels, especially during the surge in inflation. At the same time, financial market expectations, as reflected in forward rates, accounted for another sizeable share of revisions. Over time, the relative importance of macroeconomic expectations in driving expectations for the policy rate path diminished, with financial market expectations playing a dominant role by 2023.
JEL Code
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
23 October 2024
WORKING PAPER SERIES - No. 2994
Details
Abstract
We construct monetary policy indicators from high-frequency asset price changes following policy announcements, emphasising the concentration of asset price responses along specific dimensions and their leptokurtic distribution. Traditionally, these dimensions are identified by rotating principal components based on economic assumptions that overlook information in excess kurtosis. We employ Varimax rotation, leveraging excess kurtosis without using economic restrictions. Within a set of euro-area risk-free assets Varimax validates policy news along dimensions previously derived from structural identification approaches and rejects evidence of macroinformation shocks. Yet, once adding risky assets Varimax identifies only one risk-free factor in medium- to long-term yields and instead points to additional risk-shift factors.
JEL Code
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
C46 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Specific Distributions, Specific Statistics
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
8 February 2024
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 1, 2024
Details
Abstract
Financial markets and analysts significantly underestimated the pace and size of the recent increases in the key ECB interest rates. This box measures the size and dynamics of policy expectation errors. Based on information from the ECB’s Survey of Monetary Analysts, it suggests that these expectation errors were driven mainly by revisions to macroeconomic expectations, indicating that analysts perceived a broadly consistent policy reaction to macroeconomic developments.
JEL Code
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
2023
Sveriges Riksbank Staff Memo
  • Akkaya, Y., Belfrage, C. J., Di Casola, P., Strid, I.
2023
Sveriges Riksbank Working Paper Series, No 421
  • Akkaya, Y., Belfrage, C. J., Di Casola, P., Strid, I.
2020
Sveriges Riksbank Economic Commentaries
  • Akkaya, Y., Belfrage, C. J., Di Casola, P., Corbo, V.
2012
Iktisat Isletme ve Finans
  • Akkaya, Y., Gürkaynak , R.