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Analysis of the Volatility of Macroeconomic Variables in Determining Bond Market Volatility

Author

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  • H. Hakan Yavuz

    (Undersecretariat of Treasury)

Abstract

Revealing the facts about the dynamics of the financial markets is one of the main issues in economics literature. In this regard, analyzing the effects of macroeconomic variables on asset prices provide important insights about the operating principles of the markets. In this study, the relationship between bond market volatility and macroeconomic volatility is investigated by using the Turkish bond yields and selected macroeconomic variables. Results indicate that it is possible to explain almost one-third of the bond market volatility by inflation, industrial production, exchange rates and foreign bond yield volatilities.

Suggested Citation

  • H. Hakan Yavuz, 2012. "Analysis of the Volatility of Macroeconomic Variables in Determining Bond Market Volatility," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 27(96), pages 15-33, July.
    • Handle: RePEc:acc:malfin:v:27:y:2012:i:96:p:15-33
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