The Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market

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dc.authorwosidsaltoğlu, burak/A-9576-2019
dc.authorwosidYazgan, Ege/GPG-1135-2022
dc.contributor.authorSaltoglu, Burak
dc.contributor.authorYazgan, M. Ege
dc.date.accessioned2024-07-18T20:49:17Z
dc.date.available2024-07-18T20:49:17Z
dc.date.issued2012
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractIn this paper, we investigate the interrelationships among Turkish interest rates having different maturities by using a regime-switching vector error correction model. We find a relationship of long-run equilibrium among interest rates having various maturities. Furthermore, we conclude that term structure dynamics exhibit significant nonlinearity. A forecasting experiment also reveals that the nonlinear term structure models fare better in forecasting than other linear specifications. However, we cannot conclude that interest rate adjustments are made in an asymmetric way in the long run.en_US
dc.identifier.doi10.2753/REE1540-496X4806S504
dc.identifier.endpage63en_US
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.startpage48en_US
dc.identifier.urihttps://doi.org/10.2753/REE1540-496X4806S504
dc.identifier.urihttps://hdl.handle.net/11411/8149
dc.identifier.volume48en_US
dc.identifier.wosWOS:000314508100005en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherRoutledge Journals, Taylor & Francis Ltden_US
dc.relation.ispartofEmerging Markets Finance and Tradeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCointegrationen_US
dc.subjectForecast Evaluationen_US
dc.subjectForecastingen_US
dc.subjectRegime Switchingen_US
dc.subjectTerm Structure Of İnterest Ratesen_US
dc.subjectTestsen_US
dc.titleThe Role of Regime Shifts in the Term Structure of Interest Rates: Further Evidence from an Emerging Market
dc.typeArticle

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