Abstract:

The impact of the United States on the emerging and emerging financial markets and the analysis of the changes in the relationship between the bond markets, due to the crisis in the U.S. mortgage markets, has become important in financial and macroeconomic terms. In this study, the development of the correlation and causality relations between the return and conditional variance series between the U.S. and Turkish bond markets was studied using the non-parametric Wavelet Granger causality method and the relationship of the breakdowns in the variance series with the changes in the dynamic causality sample. The study is the first study in literature on the modeling of volatility and variance fractures. The study used daily data for the U.S. and Turkey in the period 2006 - 2019. The analysis resulted in the predictive frequency-time distribution of causality and correlation tests involving time-related changes between variations between the different periods between the bond markets. The study finds that the causality and correlation in the revenue and variance series are long-term affected by the global crisis and the U.S. monetary policy. In the period when the Fed’s policy steps were taken and later the improvement was seen, the breakdowns broken up, the long-term variance cause has disappeared.

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