土耳其政府债券市场上受政策驱动的首选栖息地

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-11-18 DOI:10.1016/j.econlet.2024.112065

Ali İzzeddin Çelebi , Alper Tunga Demir , Ali Gencay Özbekler

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引用次数: 0

摘要

政府债券拍卖的定价动态为了解投资者行为提供了宝贵的信息。通过分析土耳其政府债券的再发行，我们找出了影响一级市场（拍卖）收益率和二级市场收益率（即拍卖溢价）之间差距的因素。我们的研究结果表明，拍卖前价格漂移、未定价出价所占比例和财政立场是拍卖溢价的重要决定因素。此外，我们的研究结果表明，《证券维持惯例》通常会导致拍卖溢价的增加。然而，期限受影响的债券溢价率较低，这表明存在政策诱导的优先栖息地。

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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A policy-driven preferred habitat in the Turkish Government bond market

The pricing dynamics of government bond auctions offer valuable insights into investor behavior. By analyzing Turkish government bond re-issuances, we identify the factors influencing the disparity between primary market (auction) yields and secondary market yields, known as the auction premium. Our findings reveal that pre-auction price drift, the share of unpriced bids, and the fiscal stance are significant determinants of the auction premium. Additionally, our results show that the Securities Maintenance Practice generally leads to an increase in auction premiums. However, bonds with affected maturities exhibit a lower premium, indicating the presence of a policy-induced preferred habitat.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.