Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

被引：1
|
作者：
Kar, Muhsin [1 ]
Bayat, Tayfur [2 ]
Kayhan, Selim [3 ]
机构：
[1] Yildirim Beyazit Univ, Dept Econ, TR-06680 Ankara, Turkey
[2] Inonu Univ, Dept Econ, TR-44280 Malatya, Turkey
[3] Univ New Orleans, Dept Econ & Finance, New Orleans, LA 70148 USA
来源：
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | 2016年 / 4卷 / 03期
关键词：
CDS premium; asymmetric causality; rolling windows causality;
D O I：
10.3390/ijfs4030014
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate and what are the possible effects of CDS premium volatility on EUR/TL exchange rate stability in different conditions? In this regard, we developed a MS-VAR regime change model and asymmetric, frequency domain and rolling windows causality analysis methods. Results obtained from all tests imply that risk premium is partially a driver of the EUR/TL exchange rate between the years 2009 and 2015.
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页数：18
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