Research Article
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Year 2020, , 308 - 323, 31.12.2020
https://doi.org/10.17261/Pressacademia.2020.1305

Abstract

References

  • Ahmad, N., Joriah M. ve Tajul, A. M. (2009), “Factors Influencıng Yield Spreads of The Malaysian Bonds”, Asian Academy of Management Journal, Vol: 14, No: 2, Malaysia, pp. 95-114
  • Barışık, S., Kesikoğlu, F. (2006). “Türkiye’de Bütçe Açıklarının Makro EkonomikDeğişkenler Üzerine Etkisi (1987-2003 Var, Etki-Tepki Analizi, Varyans Ayrıştırması).” Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 61(4).
  • Barr, D.G. and B. Pesaran, (1997),” An Assessment of the Relative Importance of Realinterest Rates, Inflation, and Term Premium in Determining the Prices of Real andNominal U.K. Bonds,” Review of Economics and Statistics, vol.79, 362-66.
  • Berument, H., & Malatyalı, K. (1999). Determinants of Interest Rates in Turkey, Discussion Papers No. 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Brooks, C. (2014). Introductory Econometrics for Finance (3rd edition), Cambridge
  • Calvo, G.A., L. Leiderman, and C.M. Reinhart, (1992)” Capital Inflows and Real Exchange RateAppreciation in Latin America: The Role of External Factors,” IMF Staff Papers, 40. N.o 1,108-51.
  • Chowdhury, Z., Bayar Y.ve Kiliç C., (2013), “Effects of Major Macroeconomıc Indıcators On Emergıng Markets Bond Index”, Afyon Kocatepe Üniversitesi İİBF Dergisi, Cilt:15, Sayı:2, Afyonkarahisar, ss. 15-30
  • Clare, A.and lekkos, I. (2000), “An Analysis of the Relationship Between İnternational Bond Markets”, London, pp. 1-39
  • Demir, M. & Sever, E. (2008). Kamu İç Borçlanmasının Büyüme, Faiz ve Enflasyon Oranı Üzerindeki Etkileri, Elektronik Sosyal Bilimler Dergisi, 7(25), 170-196.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
  • Dooley, M.P., E. Fernandez-Arias, and K. M. Kletzer, (1996),” Is the Debt-crisis History? Recent Private Capital inflows to Developing Countries,” World Bank Economic Review,10, no 1, 27-50.
  • Fen, A.B., Lau S.Y., Lee C., Oon C., and Siew K.Y., (2014), “The Determınants of Malaysıa Government Bond Yields from Year 1996: Q1 to 2013: Q4”, Unıversıty Tunku Abdul Rahman, Faculty of Busıness and Fınance Department of Fınance, Malaysia.
  • Frankel, J., (1994),” Why Haven’t Interest Rates in Latin American and AsianCountries Converged to World Levels? Recent Portfolio Capital Inflows andStabilization” (unpublished).
  • Hsing, Y. (2015), “Determinants of The Government Bond Yield İn Spain: A Creditable Funds Model”, International Journal of Financial Studies, No:3, USA, pp. 342-350
  • https://www.tcmb.gov.tr/, 01,09.2020 ................................................................
  • https://tr.investing.com/, 01.09.2020 .................................................................
  • Lebedeff, A. (2014), “The Spillover Effect of Macroeconomic News On Bond Yields-Evidence from Scandinavian Government Bond Markets and European Corporate Bond İndex”, Master's Thesis, Department of Finance Aalto University School of Business, Finland.
  • Masatçı, K. & Darıcı, B. (2006). Türkiye’de Faiz Oranlarının Belirlenmesinde İçsel ve Dışsal Faktörlerin Rolü. Akademik Fener Dergisi, (6), 18-31.
  • Norliza, A. & Muhammad, J. & Masron, T. A. (2009). Factors Influencing Yield Spreads of the Malaysian Bonds. Asian Academy of Management Journal. 14.
  • Özgen, F. B., Güloğlu, B. (2004). "Türkiye'de İç Borçların İktisadi Etkilerinin VAR Tekniği İle Analizi," Metu Studies in Development, 1, 93-114.
  • Poghosyan, T. (2012), “Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies”, Fiscal Affairs Department, IMF Working Paper.
  • Rodionova, A. (2010), “Investigation of Factors Affecting the Russian Government Bond Yields”, Higher School of Economics, Moscow.
  • Sachs, J. D., (1981),” The Current Account and the Macroeconomic Adjustment in the1970s,” Brookings Papers on Economic Activities, 1, 201-268
  • Şenkesen, E. (2009), “Davranışsal Finans ve Yatırımcı Duyarlılığının Tahvil Verimi Üzerindeki Etkisi: İMKB Tahvil Ve Bono Piyasasında Bir Uygulama”, Doktora Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
  • Yavuz, H. (2012), “Tahvil Piyasası Oynaklığının Belirlenmesinde Makroekonomik Değişkenlerin Oynaklığının Analizi”, Maliye Finans Yazıları, Yıl: 26, Sayı: 96, ss. 15-33
  • Ngo, T.& Phong, N& NGUYEN, A. (2020). Determinants of Vietnam Government Bond Yield Volatility: A GARCH Approach. The Journal of Asian Finance, Economics and Business. 7. 10.13106/jafeb.2020.vol7.no7.015.
  • Lin, F.L., Yang, S.Y., Marsh, T., & Chen, Y.F. (2018). Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. International Review of Economics & Finance, 55, 285–294
  • Simoski, S. (2019) "A Keynesian Exploration of the Determinants of Government Bond Yields for Brazil, Colombia, and Mexico" Masters of Science in Economic Theory and Policy. 16. https://digitalcommons.bard.edu/levy_ms/16

DETERMINANTS OF BENCHMARK INTEREST RATE: EVIDENCE FROM TURKISH BOND MARKETS

Year 2020, , 308 - 323, 31.12.2020
https://doi.org/10.17261/Pressacademia.2020.1305

Abstract

Purpose- The aim of this study is to analyze the determinants of benchmark interest rate for Turkey that on framework of Turkey's economic and financial determinants of the political cycle of Turkey and examine their relationships and the interactions of indicators to determined benchmark interest rates.
Methodology- In this study, Augmented Dickey Fuller unit root test was applied to select the method by which long and short term relationships will be determined. Since the series are stationary at the same level, the VAR model was established and the short-term relationships were examined with the long-term vector error correction model with the Johansen cointegration test. Impulse-response analysis, variance decomposition and historical decomposition tests were carried out within the framework of the Granger test test in order to determine the interactions between variables.
Findings- The benchmark interest rate is balanced in the short and long term with the selected variables and the deviations in the short term can be corrected in the long term. The variables that affect the benchmark interest the most are gold, inflation and US 10-year bond rates.
Conclusion- The sensitivity of the benchmark rate is high against the shock waves arising from gold prices, inflation and US 10-year bond rates. Central bank Weighted average funding cost is more determinant in the formation of market rates than real interest rates. In short, the central bank monetary policy, inflation expectations and interest rates and gold prices abroad determines the formation of market interest for Turkey.

References

  • Ahmad, N., Joriah M. ve Tajul, A. M. (2009), “Factors Influencıng Yield Spreads of The Malaysian Bonds”, Asian Academy of Management Journal, Vol: 14, No: 2, Malaysia, pp. 95-114
  • Barışık, S., Kesikoğlu, F. (2006). “Türkiye’de Bütçe Açıklarının Makro EkonomikDeğişkenler Üzerine Etkisi (1987-2003 Var, Etki-Tepki Analizi, Varyans Ayrıştırması).” Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 61(4).
  • Barr, D.G. and B. Pesaran, (1997),” An Assessment of the Relative Importance of Realinterest Rates, Inflation, and Term Premium in Determining the Prices of Real andNominal U.K. Bonds,” Review of Economics and Statistics, vol.79, 362-66.
  • Berument, H., & Malatyalı, K. (1999). Determinants of Interest Rates in Turkey, Discussion Papers No. 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  • Brooks, C. (2014). Introductory Econometrics for Finance (3rd edition), Cambridge
  • Calvo, G.A., L. Leiderman, and C.M. Reinhart, (1992)” Capital Inflows and Real Exchange RateAppreciation in Latin America: The Role of External Factors,” IMF Staff Papers, 40. N.o 1,108-51.
  • Chowdhury, Z., Bayar Y.ve Kiliç C., (2013), “Effects of Major Macroeconomıc Indıcators On Emergıng Markets Bond Index”, Afyon Kocatepe Üniversitesi İİBF Dergisi, Cilt:15, Sayı:2, Afyonkarahisar, ss. 15-30
  • Clare, A.and lekkos, I. (2000), “An Analysis of the Relationship Between İnternational Bond Markets”, London, pp. 1-39
  • Demir, M. & Sever, E. (2008). Kamu İç Borçlanmasının Büyüme, Faiz ve Enflasyon Oranı Üzerindeki Etkileri, Elektronik Sosyal Bilimler Dergisi, 7(25), 170-196.
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
  • Dooley, M.P., E. Fernandez-Arias, and K. M. Kletzer, (1996),” Is the Debt-crisis History? Recent Private Capital inflows to Developing Countries,” World Bank Economic Review,10, no 1, 27-50.
  • Fen, A.B., Lau S.Y., Lee C., Oon C., and Siew K.Y., (2014), “The Determınants of Malaysıa Government Bond Yields from Year 1996: Q1 to 2013: Q4”, Unıversıty Tunku Abdul Rahman, Faculty of Busıness and Fınance Department of Fınance, Malaysia.
  • Frankel, J., (1994),” Why Haven’t Interest Rates in Latin American and AsianCountries Converged to World Levels? Recent Portfolio Capital Inflows andStabilization” (unpublished).
  • Hsing, Y. (2015), “Determinants of The Government Bond Yield İn Spain: A Creditable Funds Model”, International Journal of Financial Studies, No:3, USA, pp. 342-350
  • https://www.tcmb.gov.tr/, 01,09.2020 ................................................................
  • https://tr.investing.com/, 01.09.2020 .................................................................
  • Lebedeff, A. (2014), “The Spillover Effect of Macroeconomic News On Bond Yields-Evidence from Scandinavian Government Bond Markets and European Corporate Bond İndex”, Master's Thesis, Department of Finance Aalto University School of Business, Finland.
  • Masatçı, K. & Darıcı, B. (2006). Türkiye’de Faiz Oranlarının Belirlenmesinde İçsel ve Dışsal Faktörlerin Rolü. Akademik Fener Dergisi, (6), 18-31.
  • Norliza, A. & Muhammad, J. & Masron, T. A. (2009). Factors Influencing Yield Spreads of the Malaysian Bonds. Asian Academy of Management Journal. 14.
  • Özgen, F. B., Güloğlu, B. (2004). "Türkiye'de İç Borçların İktisadi Etkilerinin VAR Tekniği İle Analizi," Metu Studies in Development, 1, 93-114.
  • Poghosyan, T. (2012), “Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies”, Fiscal Affairs Department, IMF Working Paper.
  • Rodionova, A. (2010), “Investigation of Factors Affecting the Russian Government Bond Yields”, Higher School of Economics, Moscow.
  • Sachs, J. D., (1981),” The Current Account and the Macroeconomic Adjustment in the1970s,” Brookings Papers on Economic Activities, 1, 201-268
  • Şenkesen, E. (2009), “Davranışsal Finans ve Yatırımcı Duyarlılığının Tahvil Verimi Üzerindeki Etkisi: İMKB Tahvil Ve Bono Piyasasında Bir Uygulama”, Doktora Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
  • Yavuz, H. (2012), “Tahvil Piyasası Oynaklığının Belirlenmesinde Makroekonomik Değişkenlerin Oynaklığının Analizi”, Maliye Finans Yazıları, Yıl: 26, Sayı: 96, ss. 15-33
  • Ngo, T.& Phong, N& NGUYEN, A. (2020). Determinants of Vietnam Government Bond Yield Volatility: A GARCH Approach. The Journal of Asian Finance, Economics and Business. 7. 10.13106/jafeb.2020.vol7.no7.015.
  • Lin, F.L., Yang, S.Y., Marsh, T., & Chen, Y.F. (2018). Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. International Review of Economics & Finance, 55, 285–294
  • Simoski, S. (2019) "A Keynesian Exploration of the Determinants of Government Bond Yields for Brazil, Colombia, and Mexico" Masters of Science in Economic Theory and Policy. 16. https://digitalcommons.bard.edu/levy_ms/16
There are 28 citations in total.

Details

Primary Language English
Subjects Economics, Finance, Business Administration
Journal Section Articles
Authors

Mehmet Kuzu This is me 0000-0001-5354-4368

Publication Date December 31, 2020
Published in Issue Year 2020

Cite

APA Kuzu, M. (2020). DETERMINANTS OF BENCHMARK INTEREST RATE: EVIDENCE FROM TURKISH BOND MARKETS. Journal of Economics Finance and Accounting, 7(4), 308-323. https://doi.org/10.17261/Pressacademia.2020.1305

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