International Government Bond Markets: Analysis of Yield and Volatility

ISBN-13: 9783639108767 / Angielski / Miękka / 2008 / 140 str.

Hasan F. Baklaci

Opis

In this book, insight into characteristics of international government bond markets is provided by identifying the relative effects of domestic and global factors in the determination of yields and by extracting volatility linkages on both a regional and a global scale. For the East European region, domestic factors are found to be much more important in explaining bond yields whereas for the Asian and EU regions, both sets of factors are important in explaining the changes in yields. Volatility transmission is less pronounced at a cross-regional level than at a within region level, an indication that international bond markets are relatively segmented. This study contributes to existing literature by a) Developing a new model for determining the relative weights of domestic and global factors in explaining domestic bond yields, and b) Exploring the unique characteristics of government bond markets at a regional level, The results of this study carry important implications for policymakers and international investors by providing assistance in possibly lowering government borrowing costs and by identifying diversification gains, respectively.

O autorze

Assoc. Prof. Dr. Baklaci, MBA: University of Central Florida,
1994, PhD: University of Texas, 2003. Dr. Baklaci has been
lecturing Finance courses in Izmir University of Economics,
Turkey since September 2003. He has various publications in
journals and proceedings. His latest work (co-authored) has been
published in Applied Financial Economics.