The yield curve and the macroeconomy: Evidence from Turkey

Huseyin Kaya

Economic Modelling, 2013, vol. 32, issue C, 100-107

Abstract: This paper contributes to the literature on the relationship between the yield curve and macroeconomic variables by focusing on an emerging market case: Turkey. The most important result of the paper is that the relationship between the yield curve and macroeconomic variables is significantly affected by the change in monetary policy which is associated with the implementation of inflation targeting (IT) regime. While before the IT regime the yield curve is affected to some extent by macroeconomic variables, after the IT regime, it is mainly driven by macroeconomic variables. We also find that central bank has gained ability to affect the entire yield curve with the IT regime. The other important result is that in addition to inflation and real activities, the exchange rates also play an important role in the yield curve dynamics in Turkey.

Keywords: Term structure; Yield curve; Monetary policy; Macroeconomics (search for similar items in EconPapers)
JEL-codes: C5 E4 G1 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:32:y:2013:i:c:p:100-107

DOI: 10.1016/j.econmod.2013.01.042

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