The determinants of cross-border bond risk premia

Ge, Futing; Zhang, Weiguo

doi:10.1016/j.intfin.2022.101680

Cited by 2 publications

(1 citation statement)

References 44 publications

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“…This conclusion further confirms the findings of previous studies (Yavuz, 2012;Öner, 2019;Alkan and Cicek 2020;Torun and Demireli 2020) conducted on the Turkish bond market. The findings of the study are not only consistent with research conducted on Turkish financial markets but also align with the findings of various studies (Li et al, 2021;Ge & Zhang, 2022;Malinská, 2022;Grishchenko et al, 2022;Huang et al, 2023a;Qin et al, 2023;Wang et al, 2023;Wei et al, 2023Wei et al, , 2023bChristensen et al, 2024;Uddin et al, 2024) conducted on international markets. To this end, as it stated in many studies (Çepni et al, 2020;Bai et al, 2021;Bekaert & De Santis, 2021;Chen et al, 2022;Zhang et al, 2022;Asonuma et al, 2023;Wu et al, 2022;Zhang & Zhang, 2023;Chen et al, 2024) volatility, as a risk indicator, begins to exert a significant influence on bond yields as the maturity extends.…”

Section: Figure 1 Time Series Plots Of Return Seriessupporting

confidence: 90%

Volatility Connectedness of MOVE Index and Bond Returns

Baykut,

Gökgöz

2024

Etikonomi

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Research Originality: To the best of our knowledge, this is the first study which measures the impact of the MOVE index on bond yield volatility by comparing its effect on both short-term and long-term. The paper contributes to the existing literature by providing a better understanding of the relationship between maturity and volatility spillover. Research Objectives: This study examines the dynamic volatility connectedness between 2 and 10-year bond yields and the MOVE Index. Furthermore, it is aimed at detecting the transmitter of volatility among variables. Research Methods: Using a data set from 2010 to 2022, the study utilizes a Time-Varying Parameter Vector Autoregression (TVP-VAR) model to analyse the dynamics and relationship between bond yields and the MOVE Index. Empirical Results: The study finds a significant volatility spillover between the MOVE Index and Türkiye's bond yields. Notably, the linkage between the MOVE Index and the 10-year bond rates is stronger than with the 2-year rates. Additionally, the MOVE Index emerges as the primary transmitter of volatility, impacting both bond yields. Implications: This study sheds light on the complexity and dynamics of volatility spread in Türkiye's bond market, providing essential insights for forecasting bond yields and shaping financial policies.JEL Classification: G17, C22, G12How to Cite:Baykut, E., Gökgöz, H. (2024). Volatility Connectedness of MOVE Index and Bond Returns. Etikonomi, 23(1), 27 – 46. https://doi.org/10.15408/etk.v23i1.36131.

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