Browsing by Subject "Yield Curve Fitting"
Now showing 1 - 2 of 2
Results Per Page
Sort Options
Item Open Access Dynamic interaction between liquidity and sovereign credit risk : evidence from Turkey(Bilkent University, 2017-06) Ahçı, MustafaIn this thesis, the dynamic interaction between liquidity and credit risk for Turkey, which highly needs capital inflow to finance its current account deficit, is examined. A firm/country defaults when it is unable to pay the lender (buyer of its bond) expected cash flows it committed to pay. Bond holders expect to be compensated by a premium in exchange for bearing default risk. Liquidity, on the other hand, is basically defined as the ease of trading a security, especially in large quantities quickly, at low cost and without moving the price. The investors require a premium for a possible difficulty in selling the securities in question. Although, there is a vast literature on the question of how to measure liquidity and default (credit) risk and the pricing impact of these two risk factors on financial assets, the dynamic interaction between these two has received very little attention, especially for sovereign (government) securities. If it turns out that credit (liquidity) risk affects liquidity (credit) risk, then any (precautionary) measures to improve one of these risks may alleviate the severe implication of the other. To this end, we used a model proposed in the literature to observe the dynamic interaction between liquidity and credit risk for Turkey. Using sovereign bond market data of Turkey, we build three different measures for liquidity and exploit sovereign Credit Default Swap (CDS) spreads to proxy credit risk in order to observe lead-lag relation between these two risk factors in a Vector Auto Regressive (VAR) setting. We find significant evidence of Granger-causality in both daily and monthly terms.Item Open Access Estimation of term premia in term structure of Turkish government bond yields(Bilkent University, 2017-09) Yıldız, Murat Adil CanIn this thesis, the Turkish Treasury yield curve is estimated by the Nelson-Siegel- Svensson method between January 2010 and December 2016 in a daily frequency. Interest rates taken from estimated yield curves can be used as a benchmark rate to determine the present value of any future cash flow. The main goal of this study is to measure expected future expectations of interest rates and the term premium. After the yield curves are estimated, a multifactor no-arbitrage affine term structure model is used to decompose the yield curve to its term premium and future expected interest rate components.