Turkiye’de Dis Borclanma Faiz Oraninin Belirleyicileri

Ismail Anil Talasli, Erdal Yılmaz () and Tuba Yilmaz

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu calismada, T.C. Hazine ve Maliye Bakanligi’nin uluslararasi sermaye piyasalarinda gerceklestirdigi ABD dolari cinsi tahvil faiz oraninin belirleyicileri incelenmektedir. Hazine’nin dis finansman kapsaminda uluslararasi sermaye piyasalarinda ihrac ettigi ABD dolari cinsi tahvil faiz oranini aciklayabilecek olasi degiskenler olarak, dis borclanma vadesi, ABD dolari Libor faiz orani, Turkiye’nin CDS primi, ABD devlet tahvili faiz orani ve VIX endeksi belirlenmistir. Seriler olusturulurken degiskenlerin Hazine’nin dis borclanmaya gittigi gunlerdeki degerleri kullanilmis, ABD devlet tahvil faiz oranlari serisi ise Hazine tahvil vadesine en yakin olan tahviller ile olusturulmustur. En kucuk kareler (EKK) yontemi ile elde edilen sonuclara gore, Amerikan tahvil faiz orani ve CDS degiskenlerinin istatistiksel olarak anlamli ciktigi gorulmektedir. Ayrica, degiskenlerin katsayilarinin zaman icerisindeki seyrini izleyebilmek amaciyla tum degiskenlerin yer aldigi zamana gore degisen parametreler (TVP) modeli tahmin edilmistir. [EN] This study investigates the determinants of the yield on Turkish Treasury’s US dollar-denominated bond. External debt maturities, US dollar Libor interest rate, Turkey's CDS premium, the US Treasury yields and the VIX index are determined as potential explanatory variables in our model. The values of the variables on dates when the Turkish Treasury issued a US dollar bond in international markets are taken, while the yields on US Treasury bonds are formed with the bonds being the closest to Turkish international bonds’ maturities. According to our estimations obtained by using least square estimation, the US Treasury bond yields and Turkey’s CDS premium are found to be statistically significant. Furthermore, time-varying parametersmodel including all variables determined is generated in order to examine changes in the parameters over time.

Date: 2020
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