Return and Maturity Relationship for Treasury Auctions: Theory and Evidence From Turkey

Autor :M. Hakan Berument, Eray Yucel
Herausgeber :
Institute for Fiscal Studies
Herkunft :Sondersammelgebiet Vorderer Orient einschl. Nordafrika
Datum :01.01.2005
Dokumente :
Dataobject from HALCoRe_document_00013005
FS01.pdf ( 637  kB)    ZIP generieren   Details >>
Typ :Forschungsarbeit
Format :Text
Kurzfassung :The relationship between the interest rate and the maturity of newly issued bonds provides information on the debt dynamics of an economy as well as on the sustainability of its debt. Such information is crucial especially for
countries that have debt-rollover concerns due to financial stress and/or macroeconomic instability. This study investigates the relationship between treasury auction maturity, which also dictates the debt maturity, and auction
interest rates. When the Turkish treasury auction data from 1988 to 2004 are analysed, a reciprocal linkage between auction interest rates and maturities can be observed, especially for the 1995–2000 period, when there were
chronic high inflation, high political uncertainty, high public deficits and unsuccessful attempts at stabilisation. This suggests that under an adverse shock, the Treasury decreases the auction maturity in order not to increase
interest rates too much. A change in this reciprocal relationship is also reported for the post-2001 era, which is characterised by decreasing inflation, higher political stability, lower public deficits and successful stabilisation attempts.
Schlagwörter :Türkei
Quelle :http://www.bilkent.edu.tr/~berument/FS01.pdf
Rechte :Autor
Anmerkungen :http://www.econturk.org/
Erstellt am :14.03.2012 - 17:58:51
Letzte Änderung :14.03.2012 - 17:59:18
MyCoRe ID :HALCoRe_document_00013005
Statische URL :http://edoc.bibliothek.uni-halle.de/servlets/DocumentServlet?id=13005