| Abstract: |
In this study, we present a VAR-BEKK model to investigate the co-movements of
long-term interest rates between Turkey and four developed (Germany, Japan,
USA and UK) markets . We use weekly rates on the 5-year maturity government
bonds for the period of February 10, 2006 to September 12, 2014 containing 448
observations. We empirically document that, while Turkish bond market is only
correlated with Japanese and the US markets, there are strong ties between the
returns and volatility of developed bond markets. Our findings indicate most
of the movements in international government bond markets is a product of
global risk factors rather than country specific factors |