Yield Curve Estimation for Corporate Bonds in Turkey

İbrahim Kanlı, Doruk Küçüksaraç and Ozgur Ozel

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

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.

Keywords: Corporate bonds; Yield curve estimation; Nelson Siegel; Monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E52 G12 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ara
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1326

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