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, no.58, pp.81-104, 2023 (ESCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2023
  • Doi Number: 10.17233/sosyoekonomi.2023.04.04
  • Journal Name: SOSYOEKONOMI
  • Journal Indexes: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Page Numbers: pp.81-104
  • Anadolu University Affiliated: Yes

Abstract

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.