Theoretical and Applied Economics
No. 3 / 2018 (616), Autumn
Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
C/S Information Technologies, Istanbul, Turkey
Abstract. In this study, we present a VAR-BEKK model to investigate the comovements of longterm interest rates between Turkey and four developed (Germany, Japan, USA and UK) markets. We use weekly rates on the 5-year maturity government bonds for the period of February 10, 2006 to September 12, 2014 containing 448 observations. We empirically document that, while Turkish bond market is only correlated with Japanese and the US markets, there are strong ties between the returns and volatility of developed bond markets. Our findings indicate most of the movements in international government bond markets are a product of global risk factors rather than country specific factors.
Contents
Private brand – differentiating concept and source of stimulation of the Romanian retail trade
Macroeconomic determinants of the labour share of income: Evidence from OECD economies
Analysis of the investments made on the Romanian capital market by the privately managed pension funds – Pillar II
Exchange rate pass-through to macroeconomic indicators using Vector Auto Regression: Empirical evidence from Pakistan
Analysis of the educational activity in Romania
Macroeconomic variables and stock prices in emerging economies: A panel analysis
Consumerism and exclusion in a throw-away culture
The effects of microeconomic factors on the stock market: A panel for the stock exchange in Istanbul ARDL analysis
Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
Causal relationship between internet use and economic development for selected Central Asian economies
Financial sector development and the poor in developing countries: revisiting the access to finance channel
Impact of unbalanced economic growth to dynamic trade specialization
Base erosion and profit shifting in multinational corporations