Data | Cenk C. Karahan

Turkish Sovereign Bond Market & Interest Rate Data Library

Daily Term Structure of Interest Rates Nelson-Siegel Parameters

Daily ACM Term Premium Affine Term Structure of Interest Rates Risk-Neutral Affine Term Structure

You can access the daily interest rates for various maturities (1 day, 1-2 weeks, 1-120 months) for Turkish government bonds from January 6, 2005, to May 31, 2024, providing a comprehensive view of the term structure of zero interest rates. The model employs the Nelson & Siegel (1987) and Diebold & Li (2006) methodologies to calibrate the term structure to the daily discount and fixed coupon government bond prices, sourced from end-of-day Borsa Istanbul bulletin files. The parameters of the model include empirical levels, slopes, and curvature for comparison. We estimate the three-factor version of the Adrian, Crump & Moench (ACM, 2013) affine model to determine term premium values for maturities of 2-120 months. Additionally, we use the noise measure from Hu, Pan & Wang (2013), a byproduct of term structure estimation, as a proxy for market-wide illiquidity.

Our research on yield curve modeling, term premia, and illiquidity is documented in a series of papers referenced below. Notably, our yield curve is directly fitted to bond prices, rather than secondary interest rate data sources. We hope this updated dataset will benefit researchers who need access to this valuable data.

Note on technical aspects of the data: Please see our papers below for details. The yield curve is provided in its entirety for completeness. However, please note that the very short end of the curve (<1 month) and longer maturities (>5 years) before January 26, 2010 (the issue date of the first 10-year bond), are extrapolated and may be less reliable. ACM term premium estimates are highly sensitive to input data, so we use 180 months of data and apply rolling window estimates to fit the affine model every January.

References:
Term premium dynamics in an emerging market: Risk, liquidity, and behavioral factors. 2022. International Review of Financial Analysis, 84, 102355. (with E. Soykök)
On illiquidity of an emerging sovereign bond market. 2023. Economic Systems, 47 (2), 101073. (with E. Soykök)

Borsa Istanbul Factor Data Library

Monthly Market and Risk-free returns (CAPM) Fama-French 3-factors Momentum Fama-French 5-factors q- and q5-factors Amihud market illiquidity

Daily Market and Risk-free returns (CAPM) Fama-French 3-factors Momentum Fama-French 5-factors q- and q5-factors Amihud market illiquidity

Our dataset includes lira-denominated daily and monthly factor returns from January 2, 1989, to December 30, 2022, (start date may change based on fundamental data availability) essential for empirical asset pricing models. It features excess market return (RM-rf), size (small minus big, SMB), value (high minus low, HML), momentum (1-year, 6-month, and 3-month winners minus losers, MOM), operating profitability (robust minus weak, RMW), and investment (conservative minus aggressive, CMA) factors. Additionally, it includes q-factor components: size (market equity, ME), investment (investment-to-assets ratio, I/A), profitability (return on equity, ROE), and expected growth (expected investment-to-assets change, EG) from the q5 model. These factors are widely used in models such as CAPM, the Fama-French three- and five-factor models, the Carhart four-factor model, the q-factor model, and the q5 model. We also include market-wide Amihud illiquidity measures that can be used for LCAPM.

Researchers can freely download the dataset for empirical analysis and model testing, or class use. We appreciate it if you give due credit to this website as the data source, and refer to our papers below, if relevant.

Note on our risk-free proxy: Since Turkish government bond returns, like those of other emerging markets, may not always be considered risk-free and yield negative equity premia, we use a modified one-month US Treasury bill rate adjusted for inflation differential. This measure serves as a proxy for the riskless return of an international investor in the Turkish market, considering parity adjustments or hedging.

References:
Testing asset pricing models with individual stocks: An instrumental variables approach 2024. Borsa Istanbul Review. (with I. Candemir)
Determinants of time-varying equity risk premia in an emerging market. 2024. International Journal of Emerging Markets, Vol. 19 No. 6, pp. 1492-1520. (with I. Candemir)