Estimation of term premia in term structure of Turkish government bond yields
Date
2017-09
Authors
Editor(s)
Advisor
Gürkaynak, Refet Soykan
Supervisor
Co-Advisor
Co-Supervisor
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Abstract
In 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.
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Course
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Degree Discipline
Economics
Degree Level
Master's
Degree Name
MA (Master of Arts)
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Published Version (Please cite this version)
Language
English