Determining The Country-Specific Variables Affecting The Market Value of Turkish Eurobonds: NARDL Approach

This study aims to determine the country-specific variables influencing market value of eurobonds issued by Republic Turkey Ministry Treasury and Finance. The covers period from January 2012 June 2020. For study, 102-month time series are analysed with NARDL model. Parallel model, independent decomposed into positive negative shocks these components added Thus, existence a significant asymmetric cointegration relationship is investigated. According findings, credit default swap in both short long term significantly affect Turkish eurobond value, but shock has greater impact. In addition, total international reserves current account value.