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      •   BUIR Home
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      • Bilkent Theses
      • Theses - Department of Management
      • Dept. of Management - Ph.D. / Sc.D.
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      Analysis of fixed income securities in an emerging market

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      Author(s)
      Keleş, Gürsu
      Advisor
      Akdeniz, Levent
      Date
      2016-05
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      This thesis intends to analyze the yields of fixed income securities in an emerging market, Turkey. To this end, an international macroeconomic model is set up to capture the stylized facts in the interest rate dynamics of the local currency emerging country bonds while reconciling business cycle facts. The study also empirically analyzes the fundamentals that drive the wedge between the local currency government bond yield curve and the swap curve to better understand the fair pricing in an emerging country fixed income market. The thesis also introduces a novel methodology to extract the liquidity premium and inflation risk premium in Turkish lira denominated government bond yields. For robustness check, the proposed liquidity premium extraction methodology is applied to the US bond market.
      Keywords
      Bond Pricing
      Cross Currency Swaps
      Fixed Income Securities
      Inflation Linker Securities
      Liquidity Premium
      Permalink
      http://hdl.handle.net/11693/29153
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      • Dept. of Management - Ph.D. / Sc.D. 35
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