Analysis of fixed income securities in an emerging market

buir.advisorAkdeniz, Levent
dc.contributor.authorKeleş, Gürsu
dc.date.accessioned2016-06-10T06:37:50Z
dc.date.available2016-06-10T06:37:50Z
dc.date.copyright2016-05
dc.date.issued2016-05
dc.date.submitted2016-06-08
dc.departmentDepartment of Managementen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionIncludes bibliographical references (leaves 127-133).en_US
dc.descriptionThesis (Ph.D.): Bilkent University, Department of Management, İhsan Doğramacı Bilkent University, 2016.en_US
dc.description.abstractThis 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.en_US
dc.description.degreePh.D.en_US
dc.description.statementofresponsibilityby Gürsu Keleş.en_US
dc.format.extentix, 133 leaves : illustrations.en_US
dc.identifier.itemidB153477
dc.identifier.urihttp://hdl.handle.net/11693/29153
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBond Pricingen_US
dc.subjectCross Currency Swapsen_US
dc.subjectFixed Income Securitiesen_US
dc.subjectInflation Linker Securitiesen_US
dc.subjectLiquidity Premiumen_US
dc.titleAnalysis of fixed income securities in an emerging marketen_US
dc.title.alternativeGelişmekte olan bir piyasada sabit getirili kıymetlerin analizien_US
dc.typeThesisen_US

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