Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)
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
Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)
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,
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- http://www.tcmb.gov.tr
- http://www.hazine.gov.tr
- ISSN: 2564-6931
- Yayın Aralığı: Yılda 4 Sayı
- Başlangıç: 2008
- Yayıncı: NİĞDE ÖMER HALİSDEMİR ÜNİVERSİTESİ
Sayıdaki Diğer Makaleler
Dünyada ve Türkiye’de Yoksulluğun Analizi
Özge ARPACIOĞLU Metin YILDIRIM
Zeynep KARAÇOR Hüseyin ÖZER Taha Bahad SARAÇ
Estimating The Term Structure of Interest Rates: A Case of Turkey (1990 - 2001)
Erdinç KARADENİZ, Ayberk Nuri BERKMAN
Doğrudan Yabancı yatırımın İhracata Etkisi: Teorik Bir Yaklaşım
E. Yasemin BOZDAĞLIOĞLU Ömer ÖZPINAR, Nurgül CHAMBERS
Endeks Getirisi Yönünün İkili Sınıflandırma Yöntemiyle Tahmin Edilmesi: İMKB 100 Endeksi Örneği