Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, cilt.4, sa.3, 2016 (ESCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 4 Sayı: 3
- Basım Tarihi: 2016
- Doi Numarası: 10.3390/ijfs4030014
- Dergi Adı: INTERNATIONAL JOURNAL OF FINANCIAL STUDIES
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, EconLit, Directory of Open Access Journals
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Ankara Yıldırım Beyazıt Üniversitesi Adresli: Evet
Özet
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.