Analysis of fixed income securities in an emerging market

Date

2016-05

Editor(s)

Advisor

Akdeniz, Levent

Supervisor

Co-Advisor

Co-Supervisor

Instructor

Source Title

Print ISSN

Electronic ISSN

Publisher

Bilkent University

Volume

Issue

Pages

Language

English

Journal Title

Journal ISSN

Volume Title

Series

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.

Course

Other identifiers

Book Title

Citation

item.page.isversionof