MOVE 指数和债券收益率的波动关联性

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY
Ender Baykut, Halilibrahim Gökgöz
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引用次数: 0

摘要

研究的独创性:据我们所知,这是第一项通过比较 MOVE 指数对短期和长期影响来衡量其对债券收益率波动性影响的研究。本文有助于更好地理解期限与波动溢出之间的关系,从而为现有文献做出贡献。研究目标:本研究探讨了 2 年期和 10 年期债券收益率与 MOVE 指数之间的动态波动关联性。此外,本研究还旨在检测变量之间的波动性传递。研究方法:本研究使用 2010 年至 2022 年的数据集,利用时变参数向量自回归(TVP-VAR)模型分析债券收益率与 MOVE 指数之间的动态关系。实证结果:研究发现,MOVE 指数与土耳其债券收益率之间存在明显的波动溢出效应。值得注意的是,MOVE 指数与 10 年期债券收益率之间的联系要强于与 2 年期债券收益率之间的联系。此外,MOVE 指数是波动的主要传递者,对两种债券收益率都有影响。影响:本研究揭示了土耳其债券市场波动率差的复杂性和动态性,为预测债券收益率和制定金融政策提供了重要见解:G17、C22、G12How to Cite:Baykut, E., Gökgöz, H. (2024).MOVE 指数和债券回报的波动关联性。Etikonomi, 23(1), 27 - 46. https://doi.org/10.15408/etk.v23i1.36131.
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Volatility Connectedness of MOVE Index and Bond Returns
Research Originality: To the best of our knowledge, this is the first study which measures the impact of the MOVE index on bond yield volatility by comparing its effect on both short-term and long-term. The paper contributes to the existing literature by providing a better understanding of the relationship between maturity and volatility spillover. Research Objectives: This study examines the dynamic volatility connectedness between 2 and 10-year bond yields and the MOVE Index. Furthermore, it is aimed at detecting the transmitter of volatility among variables. Research Methods: Using a data set from 2010 to 2022, the study utilizes a Time-Varying Parameter Vector Autoregression (TVP-VAR) model to analyse the dynamics and relationship between bond yields and the MOVE Index. Empirical Results: The study finds a significant volatility spillover between the MOVE Index and Türkiye's bond yields. Notably, the linkage between the MOVE Index and the 10-year bond rates is stronger than with the 2-year rates. Additionally, the MOVE Index emerges as the primary transmitter of volatility, impacting both bond yields. Implications: This study sheds light on the complexity and dynamics of volatility spread in Türkiye's bond market, providing essential insights for forecasting bond yields and shaping financial policies.JEL Classification: G17, C22, G12How to Cite:Baykut, E., Gökgöz, H. (2024). Volatility Connectedness of MOVE Index and Bond Returns. Etikonomi, 23(1), 27 – 46. https://doi.org/10.15408/etk.v23i1.36131.
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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