EXAMINATION OF BOND RISK PREMIA FROM THE BANKING PERSPECTIVE

Download

Selim Orhan_Thesis_07.06.2022.pdf

Date

2022-5-10

Author

Orhan, Selim

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

324
views

103
downloads

Banks are considered as the marginal and sophisticated investors of financial markets. This is evident in the Haddad and Sraer (2020) study that examines the US government bond excess returns. This study extends the Haddad/Sraer analysis to the Turkish government bond market. According to the forecasting results, exposure ratio provides explanatory power over bond excess returns, especially for longer maturities. On the other hand, output gap and industrial growth present strong in-sample forecasting power for shorter-term maturities. The inclusion of macroeconomic variables into the regression along with exposure ratio increases the significance and explanatory power of exposure ratio for the explanation of bond excess returns. Output gap is the most contributive in-sample forecasting macro variable in terms of the explanation of bond excess returns. Together with output gap and exposure ratio, the inclusion of consumer price index (CPI), producer price index (PPI) or consumer confidence index improves the statistical and economic significance of in-sample regression results.

Subject Keywords

Bond Risk Premia, Bond Excess Return, Exposure Ratio, Income Gap, Government Bond Market, Yield, Government Bond Market, Yield Curve

URI

https://hdl.handle.net/11511/97355

Collections

Graduate School of Applied Mathematics, Thesis

Suggestions

OpenMETU
Core

High-yield bond and energy markets Gormus, Alper; NAZLIOĞLU, ŞABAN; Soytaş, Uğur (2018-01-01) High-yield bonds hold a particularly unique space in the debt market. From many aspects, literature suggests these assets to behave more like stocks than bonds. Given the significant similarities between the high-yield bond and stock markets, it is expected for these markets to be similarly affected by certain outside factors. Some shocks, including the ones from energy markets, are known to impact the entire stock market and not just related company shares. Since high-yield bond portfolios include some amo...
Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model Gaygısız Lajunen, Esma; Hekimoglu, Alper (2021-12-01) Liquidity is extremely important not only within the context of financial markets but also in every scale of economic transactions. In this study, within the realm of financial markets, we configure liquidity as an independent stochastic process moderating the fluidity of all transactions and hence dynamically changing asset values. This study's asset value process ignoring liquidity is modelled with a stochastic volatility jump-diffusion (SVJ) model and that model is augmented with the incorporation of a l...
Credit rating changes and the government cost of borrowing in Turkey Derin Güre, Pınar ( Department of Economics Middle East Technical University , 2016-08-01) Standard and Poor’s (S&P), Moody’s and Fitch have been producing credit ratings for government bonds and corporate bonds. Changes in credit ratings affect the investors’ decisions and government cost of borrowing as well. 2008 global financial crisis is an important milestone for the credit rating agencies since during the crisis period high rated countries faced with deep economic fluctuations, which decreased creditworthiness of these agencies. This paper investigates the relationship between sovereign bo...
An empirical study on early warning systems for banking sector Boyraz, Mustafa Fatih; Gaygısız Lajunen, Esma; Department of Economics (2012) Early Warning Systems (EWSs) for banking sectors are used to measure occurrence risks of banking crises, generally observed with a rundown of bank deposits and widespread failures of financial institutions. In countries with a small number of banks, for example Turkey with 48 banks (BDDK, 2011), every bank may be considered to have a systematic importance since the failure of any individual bank may carry a potential threat to lead to a banking crisis. Taking into account this fact the present study focuses...
Analysis of the monetary stance of Turkey between 2011 and 2018 with a new monetary conditions index: the roles of government bond yields and the exchange rate Kaptan, Savaş; Gaygısız Lajunen, Esma; Department of Economics (2019) Measuring the monetary policy stance of central banks is a much-debated issue in the literature. The changing economic dynamics over the time and different structures of economies have made impossible to use only short term interest rates, monetary aggregates or money market rates for analyzing the monetary stance. Accordingly, comprehensive monetary conditions indexes have been discovered and some central banks have started to use them as an operational target. In line with these developments, the main aim...

Citation Formats

S. Orhan, “EXAMINATION OF BOND RISK PREMIA FROM THE BANKING PERSPECTIVE,” M.S. - Master of Science, Middle East Technical University, 2022.