A policy-driven preferred habitat in the Turkish Government bond market

Ali İzzeddin Çelebi, Alper Tunga Demir and Ali Gencay Özbekler

Economics Letters, 2025, vol. 246, issue C

Abstract: The pricing dynamics of government bond auctions offer valuable insights into investor behavior. By analyzing Turkish government bond re-issuances, we identify the factors influencing the disparity between primary market (auction) yields and secondary market yields, known as the auction premium. Our findings reveal that pre-auction price drift, the share of unpriced bids, and the fiscal stance are significant determinants of the auction premium. Additionally, our results show that the Securities Maintenance Practice generally leads to an increase in auction premiums. However, bonds with affected maturities exhibit a lower premium, indicating the presence of a policy-induced preferred habitat.

Keywords: Government bond; Auction; Auction cycle; Preferred habitat; Auction premium (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005494

DOI: 10.1016/j.econlet.2024.112065

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