Corporate Bond Yield Curve
[EN] This paper introduces the Turkish lira (TL) corporate bond market and presents the estimations of corporate bond yield curve 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 the response of corporate bond yields to the monetary policy shocks might diverge from that of government bond yields in terms of magnitude or sometimes even direction. [TR] Bu notta Turk lirasi cinsi ozel sektor tahvil piyasasi tanitilmakta ve bu piyasa icin Nelson Siegel yontemi kullanilarak getiri egrisi tahmin edilmektedir. Sonuclar Nelson Siegel yonteminin ozel sektor tahvilleri icin iyi bir tahmin verdigini gostermektedir. Ayrica, not kapsaminda son donemdeki para politikasi kararlarinin ozel sektor getiri egrisi uzerindeki etkisi devlet tahvili getirilerindeki degisim ile kiyaslanarak tartisilmaktadir. Vaka calismalari ozel sektör tahvil getirilerinin devlet tahvillerinden gerek yon gerekse buyukluk olarak farklilasabilecegini gostermektedir.
Year of publication: |
2013
|
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Authors: | Kanli, Ibrahim Burak ; Kucuksarac, Doruk ; Ozel, Ozgur |
Institutions: | Türkiye Cumhuriyet Merkez Bankası |
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