An Empirical Analysis of the Relationship Between Türkiye's CDS Premium and Economic, Financial and Political Risk
SOSYOEKONOMI, sa.58, ss.81-104, 2023 (ESCI, TRDizin)
- 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
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- 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.