Browsing by Subject "Bond Pricing"

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    Analysis of fixed income securities in an emerging market
    (2016-05) Keleş, Gürsu
    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.