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Yield Curve Estimation for Corporate Bonds in Turkey

Author

Listed:
  • Ibrahim Burak Kanli
  • Doruk Kucuksarac
  • Ozgur Ozel

Abstract

This paper aims to serve two purposes. First, we provide information on the Turkish lira (TL) corporate bond market, which has developed rapidly in the last couple of years. Second and more prominently, we estimate the yield curve for corporate bonds in Turkey using the Nelson Siegel methodology. Results suggest that Nelson Siegel method performs a good fit for corporate bonds. Additionally, we focus on the impact of recent monetary policy induced shocks on the corporate yield curve in comparison with the sovereign yield curve. Event studies present evidence that corporate yields might diverge from sovereign yields in terms of the amount or sometimes even direction of responses to monetary policy shocks.

Suggested Citation

  • Ibrahim Burak Kanli & Doruk Kucuksarac & Ozgur Ozel, 2013. "Yield Curve Estimation for Corporate Bonds in Turkey," Working Papers 1326, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1326
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2013/13-26
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    Citations

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    Cited by:

    1. Ante Toni Vrdoljak, 2016. "Corporate Bond Yield Curve Estimation for the Croatian Financial Market Using the Nelson-Siegel Model," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(4), pages 269-284.

    More about this item

    Keywords

    Corporate bonds; Yield curve estimation; Nelson Siegel; Monetary policy;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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