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Return, shock and volatility co-movements between the bond markets of Turkey and developed countries

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  • Bayraci, Selcuk

Abstract

In this study, we present a VAR-BEKK model to investigate the co-movements of long-term 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 is a product of global risk factors rather than country specific factors

Suggested Citation

  • Bayraci, Selcuk, 2015. "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper 65758, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:65758
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    More about this item

    Keywords

    Bond market co-movement; volatility spillover; BEKK-GARCH model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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