<i>Domestic and Foreign Factors that Change the Level of Treasury Yield Curve: The Case of Türkiye</i>

Kaya U., SİVRİKAYA A.

MALIYE DERGISI, no.186, pp.1-30, 2024 (ESCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2024
  • Journal Name: MALIYE DERGISI
  • Journal Indexes: Emerging Sources Citation Index (ESCI)
  • Page Numbers: pp.1-30
  • Hacettepe University Affiliated: Yes

Abstract

This study investigates the effects of domestic and foreign macroeconomic variables on yield curve derived from T & uuml;rkiye's treasury bonds. First, the yield curves for selected countries are estimated by Diebold-Li method for 2008-2021. Then Global Vector Autoregression (GVAR) model that incorporates the derived yield curve components and selected macroeconomic variables is constructed. Findings reveal that level component is most sensitive to changes in its own slope and curvature. Increases in inflation and BIST100 lead to permanent decrease in bond yields. Level exhibits moderate to small responses to macroeconomic and financial variables changes in both developing countries and the USA.