Estimation of term premia in term structure of Turkish government bond yields
| buir.advisor | Gürkaynak, Refet Soykan | |
| dc.contributor.author | Yıldız, Murat Adil Can | |
| dc.date.accessioned | 2017-10-12T12:44:19Z | |
| dc.date.available | 2017-10-12T12:44:19Z | |
| dc.date.copyright | 2017-09 | |
| dc.date.issued | 2017-09 | |
| dc.date.submitted | 2017-10-11 | |
| dc.department | Department of Economics | en_US |
| dc.description | Cataloged from PDF version of article. | en_US |
| dc.description | Thesis (M.S.): Bilkent University, Department of Economics, İhsan Doğramacı Bilkent University, 2017 | en_US |
| dc.description | Includes bibliographical references (leaves 26-27). | en_US |
| dc.description.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. | en_US |
| dc.description.degree | M.A. | en_US |
| dc.description.statementofresponsibility | by Murat Adil Can Yılmaz. | en_US |
| dc.embargo.release | 2017-11-04 | |
| dc.format.extent | ix, 33 leaves : charts ; 29 cm | en_US |
| dc.identifier.itemid | B156330 | |
| dc.identifier.uri | http://hdl.handle.net/11693/33804 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Term Premium | en_US |
| dc.subject | Term Structure of Interest Rates | en_US |
| dc.subject | Yield Curve Fitting | en_US |
| dc.title | Estimation of term premia in term structure of Turkish government bond yields | en_US |
| dc.title.alternative | Türkiye devlet tahvili getirilerinin vade yapısındaki vade primi hesaplanması | en_US |
| dc.type | Thesis | en_US |