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.
Download the full article: 
Contents
- Private brand – differentiating concept
and source of stimulation of the Romanian retail trade
Ion ANGHEL
Anca Maria HRISTEA
- Macroeconomic determinants of the labour share of income:
Evidence from OECD economies
Ivan D. TROFIMOV
Nazaria Md. ARIS
Muhammad Khairil Firdaus Bin ROSLI
- Analysis of the investments made on the Romanian capital
market by the privately managed pension funds – Pillar II
Alexandra DARMAZ-GUZUN
- Exchange rate pass-through to macroeconomic indicators using
Vector Auto Regression: Empirical evidence from Pakistan
Farhan AHMED
Muhammad OWAIS
Sandhya KUMARI
Rohit RAJJANI
- Analysis of the educational activity in Romania
Constantin ANGHELACHE
Mădălina Gabriela ANGHEL
- Macroeconomic variables and stock prices
in emerging economies: A panel analysis
Raghutla CHANDRASHEKAR
P. SAKTHIVEL
T. SAMPATH
Krishna Reddy CHITTEDI
- Consumerism and exclusion
in a throw-away culture
Alexandru TAŞNADI
Iustin Emanuel ALEXANDRU
Gheorghe USTINESCU
Petru Ciprian BRADU
- The effects of microeconomic factors on the stock market:
A panel for the stock exchange in Istanbul ARDL analysis
Khatereh SADEGHZADEH
- Return, shock and volatility spillovers
between the bond markets of Turkey and developed countries
Selçuk BAYRACI
- Causal relationship between internet use and economic
development for selected Central Asian economies
Fuat SEKMEN
Hasmet GOKIRMAK
- Financial sector development and the poor in developing
countries: revisiting the access to finance channel
Atul MEHTA
Joysankar BHATTACHARYA
- Impact of unbalanced economic
growth to dynamic trade specialization
Putri AYU
Maizul RAHMIZAL
IRWANDI
- Base erosion and profit shifting
in multinational corporations
Vedang Ratan VATSA
