土耳其里拉利率的期限溢价：外国投资者份额的作用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-03-01 DOI:10.1016/j.bir.2024.01.005

Halil İbrahim Aydın , Özgür Özel

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引用次数: 0

摘要

在本文中，我们使用两种行之有效的方法将土耳其里拉利率分解为预期短期利率和期限溢价部分。然后，我们在控制期限溢价的其他宏观经济决定因素的同时，利用 VIX 和 Move 指数作为工具，重点研究外国投资者份额对债券收益率的影响。我们发现，外国投资者在债券市场所占份额每增加一个百分点，5 年期期限溢价就会降低 55 个基点，这可能是由于新兴市场中追求收益的外国投资者的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Term premium in Turkish lira interest rates: The role of foreign investors’ share

In this paper we decompose Turkish Lira interest rates into expected short rate and term premium components, using two well-established methods. Then we focus on the impact of the share of foreign investors on bond yields by instrumenting that share with VIX and Merry Lynch option volatility estimate (Move) indices while controlling for other macroeconomic determinants of term premium. We find that a one-percentage-point increase in the foreign investors’ share in the bond market reduces the 5-year term premium by 55 basis points, which could be attributed to the impact of yield-seeking foreign investors in emerging markets.

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来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations