Tahvil risk primleri: Türkiye'den analitik kanıtlar

The term structure of government bond yields provides valuable and predictive information. In the first part of this dissertation, I decompose the Turkish government nominal bond yields into their risk-neutral rate and term premium components, and then investigate the local and global drivers of each component separately. One key finding is that spillovers from the U.S. bond market to the Turkish local bond market mainly work through the channel from the U.S. term premia to the Turkish term premia, and solely during the pre-November 2017 period. Regarding the impacts of unconventional bond purchases by the Central Bank of Turkey (CBT), along with the bond purchases by local banks under the scope of the "Asset Ratio" (AR) regulation and the liraization strategy, on the yield components, the results reveal the operations of signaling and duration risk channels in lowering local risk-neutral rates and term premia, respectively. In the second part, I decompose the breakeven inflation (BEI) rates in Turkey. An important finding is that the local bond market does not price in the differential liquid premium between nominal and inflation-indexed bonds. Next, I explore the main determinants of the inflation risk premium component. Notably, changes in the Brent crude oil prices exert a strong positive impact on variations in the country's inflation risk premia. Moreover, there is a statistically significant negative effect of the liraization strategy on inflation risk premia dynamics. Finally, I conduct an ex ante cost-benefit analysis of issuing nominal versus inflation-indexed bonds from the perspective of the Turkish Treasury.