Credit Default Swap and Commodity Prices Relations: The Case of Turkey

被引：1
|
作者：
Tanyildizi, Halil [1 ]
Yigiter, Sule Yuksel [2 ]
机构：
[1] Ibrahim Cecen Univ Agri, Dept Business Adm, Agri, Turkey
[2] Erzincan Binali Yildirim Univ, Dept Business Adm, Erzincan, Turkey
来源：
SOSYOEKONOMI | 2021年 / 29卷 / 47期
关键词：
Credit Default Swaps; Credit Risk; Commodity Prices; ARDL Model; CDS; COINTEGRATION; TRANSMISSION; DETERMINANTS;
D O I：
10.17233/sosyoekonomi.2021.01.09
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this study is to reveal the relationship between credit default swaps and commodity prices for Turkey. Additionally, Turkish CDS premiums are investigated in relation to the bond interest rates, BIST100 and VIX indexes. Regression analysis is conducted with daily time series data spanning through 2008-2018 within an ARDL framework and using Pesaran Bond Test. Results indicate a negative relationship between the commodity prices and CDS premiums in Turkey.
引用
收藏
页码：181 / 200
页数：20
相关论文
共 50 条
  • [1] The relationship between credit default swap spreads and equity prices
    Marzano, Michele
    Dunn, Gary
    Constantinou, Nick
    [J]. JOURNAL OF RISK, 2014, 17 (01): : 3 - 28
  • [2] Credit default swap prices as risk indicators of listed German banks
    Duellmann, Klaus
    Sosinska, Agnieszka
    [J]. FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT, 2007, 21 (03) : 269 - 292
  • [3] Credit default swap trees
    Mahfoudhi, Ridha
    [J]. JOURNAL OF CREDIT RISK, 2011, 7 (03): : 3 - 37
  • [4] Explaining credit default swap premia
    Benkert, C
    [J]. JOURNAL OF FUTURES MARKETS, 2004, 24 (01) : 71 - 92
  • [5] Predicting credit default swap prices with financial and pure data-driven approaches
    Guenduez, Yalin
    Uhrig-Homburg, Marliese
    [J]. QUANTITATIVE FINANCE, 2011, 11 (12) : 1709 - 1727
  • [6] The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries
    Ertugrul, Hasan Murat
    Ozturk, Huseyin
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2013, 49 : 228 - 249
  • [7] Liquidity in Credit Default Swap Markets
    Arakelyan, Armen
    Serrano, Pedro
    [J]. JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2016, 37-38 : 139 - 157
  • [8] Explaining credit default swap premia
    [J]. DEFAULT RISK IN BOND AND CREDIT DERIVATIVES MARKETS, 2004, 543 : 91 - +
  • [9] Risk management of Credit Default Swap
    Spuchlakova, Erika
    Misankova, Maria
    [J]. SELECTED PAPERS OF 5TH WORLD CONFERENCE ON BUSINESS, ECONOMICS AND MANAGEMENT (BEM-2016), 2017, : 229 - 234
  • [10] Counterparty credit risk and the credit default swap market
    Arora, Navneet
    Gandhi, Priyank
    Longstaff, Francis A.
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2012, 103 (02) : 280 - 293
12345