Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)

Year 2011, Volume: 4 Issue: 2, 1 - 10, 01.08.2011

Erdinç Karadeniz Ayberk Nuri Berkman

Abstract

This study estimates the term structure of interest rates with treasury bills. A transformed model is used for this measurement. In the empirical model, volatility of 12 month maturity treasury bills are used for dependent variable, and volatility of 1, 3, 6 month maturity treasury bills are used for independent variables. Due to macroeconomic policy, treasury bills interest rates and maturities carry a high volatility but, the evidence of this study supported theory of the term structure suggestions such as equivalent volatility of different maturities.

Keywords

Term structure, Interest rates, Nelson/Siegel model, Swenson model, Treasury bills

Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)

Abstract

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.

Keywords

Faiz oranları, vade yapısı, Nelson/Siegel modeli, Swenson modeli, Hazine bonosu

References

• Balduzzi, P. (1997). A model of Target Changes and the Term Structure of Interest Rates. Journal of Monetary Economics 24, 371 – 399.
• Favero, A. C. and F. Mosca (2000). Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates. Economics Letters (71), 369 – 375
• Geyer, A. and R. Mader (1999). Estimation of the Term Structure of Interest Rates. Working paper (37) http://www.oenb.co.at/ workpaper/pubwork.htm
• Heller D. (1997). Monetary Policy and Estimating the Term Structure of Interest Rate. Working Paper of Switzerland National Bank, 97-2.
• Mankiv, N. G. and J. A. Miron (1986). The Changing Behavior of the Term Structure of Interest Rates. Quarterly Journal of Economics (101), 221 – 221.
• Meier, I. (1999). Estimating the Term Structure of Interest Rates. University of Bern.
• Meredith G and M.D. Chinn (1998). Long – Horizon Uncovered Interest Rate Parity. National Bureau of Economic Research Working Paper 6797.
• Li, M. and Y. Yan (2006). A Robust Approach to the Interest Rate Term Structure Estimation, Journal of Data Science, v.4, no.2, p. 189-205.
• Gasha, G., H.Y., Medeiros, C., Rodriguez, M., Salvati, J. and Yi, J. (2010). On the Estimation of Term Structure Models and An Application to the United States, IMF Working Paper WP/10/258, International Monetary Fund.
• Nelson, C. R. S. and Siegel A. F. (1987). Parsimonious Modelling of Yield Curves. Journal of Business, (60), 47-55.
• Ogaki M. and J. A. Santanella, (1999). The Exchange Rate and the Term Structure of Interest Rates in Mexico. Ohio State University Department of Economics Working Paper 99-21.
• Rudebusch, G.D. (1995). Federal Reserve Interest Rate Targeting, Rational Expectations and the Term Structure. Journal of Monetary Economics 35, 245 - 274.
• Rudebusch, G. D. and Wu, T. (2008). ‘Macro-finance Model of the Term Structure, Monetary Policy and the Economy’, Economic Journal, (118), 906–926.
• Swenson, L.E.O. (1994). Estimating and Interpreting Forward Interest Rates. NBER Working paper No:4871
• http://www.tcmb.gov.tr
• http://www.hazine.gov.tr