An Empirical Analysis of the Relationship Between Türkiye's CDS Premium and Economic, Financial and Political Risk

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SOYU YILDIRIM E., Ilikkan-Ozgur M.

SOSYOEKONOMI, sa.58, ss.81-104, 2023 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2023
  • Doi Numarası: 10.17233/sosyoekonomi.2023.04.04
  • Dergi Adı: SOSYOEKONOMI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.81-104
  • Anadolu Üniversitesi Adresli: Evet

Özet

This study investigates the causal relationship between Turkiye's economic, financial, and political risk rates and CDS premiums. This assessment uses the Bootstrap TY and time-varying causality test to scrutinise the relationship between the risk rates and CDS premium between the periods 2000:10 and 2020:06. While the former analysis finds no causal relationship among the variables, the latter analysis deduces a significant causality. The Bootstrap TY asymmetric causality test findings discover causality arising from the negative shocks from political risk to CDS premium. The findings of the time-varying causality test identify periods in Turkiye in which a causal relationship is prevalent between economic, financial, and political risk with CDS premium.