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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.

Keywords: bond market co-movement; volatility spillover; BEKK-GARCH model.

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The Economicity. The Epistemic Landscape, Marin Dinu, 2016


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