TERM STRUCTURE OF INTEREST RATE AND MACROECONOMIC VARIABLES: THE TURKISH CASE

Year 2010, Volume: 2 Issue: 1, 77 - 85, 01.06.2010

Huseyin Kaya

Abstract

This study includes very initial analyses of ongoing research which investigate the relationship between term structure of interest rate and macro variables in Turkey. Initial .ndings indicate that corresponding relation has structural break around 2002 which coincides with new mon- etary policy namey in.ation targeting. In pre2002 period role of macro- economic variables in yield curve is limited however in post 2002 period macro variables play very crucial role in term structure of interest rate. We found that in.ation and exchange rate are two majar macro variables that determine the shape of yield curve

Keywords

term structure, interest rate, latent factor, yield curve

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