Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)
Öz
Bu çalışada, hazine bonosu faiz oranlarıı vade yapııhesaplanmaktadı. Bunun için dönüşürülmüşbir modelden faydalanımışı. Ampirik modelde; 12 ay vadeli hazine bonolarıı volatilitesi bağılıdeğşen, 6, 3 ve 1 ay vadeli hazine bonolarıı volatilitesi ise bağısı değşen olarak kullanımışı. Makroekonomik politikalar sonucu olarak hazine bonosu faiz oranlarıyüksek volatiliteye sahip olmakla birlikte, bu çalışanı sonuçlarıfarklıvadelerin eşeğr volatilitesi gibi bir vade yapııönerileri teorisini destekler niteliktedir.
Anahtar Kelimeler
Faiz oranları, vade yapısı, Nelson/Siegel modeli, Swenson modeli, Hazine bonosu
Kaynakça
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