Inflation risk and default risk in a dynamic general equilibrium asset pricing model for an emerging market economy

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buir.advisorBaşçı, Erdem
dc.contributor.authorEkinci, M. Fatih
dc.date.accessioned2016-07-01T10:55:35Z
dc.date.available2016-07-01T10:55:35Z
dc.date.issued2002
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractIn this thesis, the difference between the T-Bill returns and common stock returns in Turkey is examined. It is observed that there is a bond premium in Turkey unlike the equity premium observed in developed countries. To understand this surprising observation, inflation-risk and default-risk are incorporated to the Mehra-Presscott (1985) dynamic asset pricing model. Inflation-risk alone is found to be insufficient to explain this bond premium. Only after allowing for a perceived default-risk, the observed bond premium of Turkish T-Bills over Turkish common stocks can be explained by such a model.en_US
dc.description.statementofresponsibilityEkinci, M Fatihen_US
dc.format.extentix, 35 leaves, graphicsen_US
dc.identifier.itemidBILKUTUPB067710
dc.identifier.urihttp://hdl.handle.net/11693/29203
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectEquity Premium Puzzleen_US
dc.subjectDefault Risken_US
dc.subjectInflation Risken_US
dc.subjectAsset Pricingen_US
dc.subjectBond Premiumen_US
dc.subject.lccHG4636 .E35 2002en_US
dc.subject.lcshCapital asset pricing model.en_US
dc.titleInflation risk and default risk in a dynamic general equilibrium asset pricing model for an emerging market economyen_US
dc.typeThesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMA (Master of Arts)

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